Claudio Fontana

1. Arbitrage of the first kind and filtration enlargements in\n semimartingale financial models
   2014/01/28 by Beatrice Acciaio, Acciaio, Beatrice, Claudio Fontana +3 · 1 citation
   Decision Sciences · Economics, Econometrics and Finance · #60G44 #91G10 #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Portfolio Management (q-fin.PM) #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications
2. The strong predictable representation property in initially enlarged filtrations under the density hypothesis
   2015/08/13 by Claudio Fontana, Fontana, Claudio · 1 citation
   Economics, Econometrics and Finance · #60G07 #60G44 #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance and Financial Risk Management #Mathematical Finance (q-fin.MF) #Probability (math.PR) #Stochastic processes and financial applications
3. Caplet pricing in affine models for alternative risk-free rates
   2022/02/18 by Claudio Fontana, Fontana, Claudio · 2 citations
   Economics, Econometrics and Finance · #60J25 #91G15 #91G20 #91G30 #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Pricing of Securities (q-fin.PR) #Stochastic processes and financial applications
4. CBI-time-changed Lévy processes
   2023/09/01 by Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda · 1 citation