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Fontana, Claudio

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Author ID: fontana.claudio Recent zbMATH articles by "Fontana, Claudio"
Published as: Fontana, Claudio
Homepage: https://sites.google.com/site/fontanaclaud/
Documents Indexed: 30 Publications since 2010, including 1 Book
1 Contribution as Editor
Reviewing Activity: 34 Reviews
Co-Authors: 28 Co-Authors with 25 Joint Publications
633 Co-Co-Authors
all top 5

Co-Authors

6 single-authored
5 Gnoatto, Alessandro
5 Runggaldier, Wolfgang J.
3 Grbac, Zorana
3 Schmidt, Thorsten
3 Szulda, Guillaume
2 Chau, Huy N.
2 Cosso, Andrea
2 Cuchiero, Christa
2 Jeanblanc, Monique
1 Acciaio, Beatrice
1 Aksamit, Anna
1 Barucci, Emilio
1 Callegaro, Giorgia
1 Grasselli, Martino
1 Gümbel, Sandrine
1 Kardaras, Constantinos
1 Li, Qinghua
1 Montes, Juan Miguel A.
1 Mostovyi, Oleksii
1 Øksendal, Bernt Karsten
1 Pavarana, Simone
1 Pelger, Markus
1 Platen, Eckhard
1 Rotondi, Francesco
1 Schweizer, Martin
1 Song, Shiqi
1 Sulem, Agnès
1 Vargiolu, Tiziano
all top 5

Serials

5 Stochastic Processes and their Applications
5 Finance and Stochastics
2 Journal of Applied Probability
2 Annals of Operations Research
2 Mathematical Finance
2 International Journal of Theoretical and Applied Finance
2 Mathematics and Financial Economics
1 Journal of Computational and Applied Mathematics
1 Journal of Mathematical Economics
1 Insurance Mathematics & Economics
1 Electronic Communications in Probability
1 Methodology and Computing in Applied Probability
1 Stochastics
1 SIAM Journal on Financial Mathematics
1 Springer Finance
all top 5

Fields

28 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
22 Probability theory and stochastic processes (60-XX)
3 Systems theory; control (93-XX)
1 General and overarching topics; collections (00-XX)
1 Numerical analysis (65-XX)
1 Operations research, mathematical programming (90-XX)
1 Information and communication theory, circuits (94-XX)

Publications by Year

all cited Publications top 5 cited Publications

Citations contained in zbMATH Open

26 Publications have been cited 224 times in 142 Documents Cited by ▼ Year ▼
A general HJM framework for multiple yield curve modelling. Zbl 1376.91166
Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro
35
2016
On arbitrages arising with honest times. Zbl 1353.60042
Fontana, Claudio; Jeanblanc, Monique; Song, Shiqi
29
2014
Arbitrage of the first kind and filtration enlargements in semimartingale financial models. Zbl 1337.60081
Acciaio, Beatrice; Fontana, Claudio; Kardaras, Constantinos
22
2016
Weak and strong no-arbitrage conditions for continuous financial markets. Zbl 1337.91160
Fontana, Claudio
17
2015
Affine multiple yield curve models. Zbl 1411.91589
Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro
16
2019
Optimal investment with intermediate consumption under no unbounded profit with bounded risk. Zbl 1416.91344
Chau, Huy N.; Cosso, Andrea; Fontana, Claudio; Mostovyi, Oleksii
14
2017
Diffusion-based models for financial markets without martingale measures. Zbl 1306.91125
Fontana, Claudio; Runggaldier, Wolfgang J.
13
2013
The strong predictable representation property in initially enlarged filtrations under the density hypothesis. Zbl 1391.60062
Fontana, Claudio
11
2018
Term structure modelling for multiple curves with stochastic discontinuities. Zbl 1435.91195
Fontana, Claudio; Grbac, Zorana; Gümbel, Sandrine; Schmidt, Thorsten
10
2020
General dynamic term structures under default risk. Zbl 1410.91471
Fontana, Claudio; Schmidt, Thorsten
10
2018
No-arbitrage conditions and absolutely continuous changes of measure. Zbl 1325.91063
Fontana, Claudio
7
2014
Information, no-arbitrage and completeness for asset price models with a change point. Zbl 1326.60057
Fontana, Claudio; Grbac, Zorana; Jeanblanc, Monique; Li, Qinghua
6
2014
Simplified mean-variance portfolio optimisation. Zbl 1264.91115
Fontana, Claudio; Schweizer, Martin
6
2012
Multiple yield curve modelling with CBI processes. Zbl 1471.91588
Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume
5
2021
The value of informational arbitrage. Zbl 1433.91151
Chau, Huy N.; Cosso, Andrea; Fontana, Claudio
4
2020
Credit risk and incomplete information: filtering and EM parameter estimation. Zbl 1233.91298
Fontana, Claudio; Runggaldier, Wolfgang J.
4
2010
Financial markets theory. Equilibrium, efficiency and information. 2nd edition. Zbl 1390.91001
Barucci, Emilio; Fontana, Claudio
3
2017
On the existence of sure profits via flash strategies. Zbl 1422.91650
Fontana, Claudio; Pelger, Markus; Platen, Eckhard
2
2019
Market viability and martingale measures under partial information. Zbl 1338.60121
Fontana, Claudio; Øksendal, Bernt; Sulem, Agnès
2
2015
A unified approach to pricing and risk management of equity and credit risk. Zbl 1314.91227
Fontana, Claudio; Montes, Juan Miguel A.
2
2014
Short communication: caplet pricing in affine models for alternative risk-free rates. Zbl 1511.91149
Fontana, Claudio
1
2023
Credit risk and incomplete information: A filtering framework for pricing and risk management. Zbl 1238.91135
Fontana, Claudio
1
2012
Martingale spaces and representations under absolutely continuous changes of probability. Zbl 1472.60061
Aksamit, Anna; Fontana, Claudio
1
2019
CBI-time-changed Lévy processes. Zbl 1517.60050
Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume
1
2023
Arbitrage concepts under trading restrictions in discrete-time financial markets. Zbl 1458.91204
Fontana, Claudio; Runggaldier, Wolfgang J.
1
2021
Valuation of general GMWB annuities in a low interest rate environment. Zbl 1528.91062
Fontana, Claudio; Rotondi, Francesco
1
2023
Short communication: caplet pricing in affine models for alternative risk-free rates. Zbl 1511.91149
Fontana, Claudio
1
2023
CBI-time-changed Lévy processes. Zbl 1517.60050
Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume
1
2023
Valuation of general GMWB annuities in a low interest rate environment. Zbl 1528.91062
Fontana, Claudio; Rotondi, Francesco
1
2023
Multiple yield curve modelling with CBI processes. Zbl 1471.91588
Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume
5
2021
Arbitrage concepts under trading restrictions in discrete-time financial markets. Zbl 1458.91204
Fontana, Claudio; Runggaldier, Wolfgang J.
1
2021
Term structure modelling for multiple curves with stochastic discontinuities. Zbl 1435.91195
Fontana, Claudio; Grbac, Zorana; Gümbel, Sandrine; Schmidt, Thorsten
10
2020
The value of informational arbitrage. Zbl 1433.91151
Chau, Huy N.; Cosso, Andrea; Fontana, Claudio
4
2020
Affine multiple yield curve models. Zbl 1411.91589
Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro
16
2019
On the existence of sure profits via flash strategies. Zbl 1422.91650
Fontana, Claudio; Pelger, Markus; Platen, Eckhard
2
2019
Martingale spaces and representations under absolutely continuous changes of probability. Zbl 1472.60061
Aksamit, Anna; Fontana, Claudio
1
2019
The strong predictable representation property in initially enlarged filtrations under the density hypothesis. Zbl 1391.60062
Fontana, Claudio
11
2018
General dynamic term structures under default risk. Zbl 1410.91471
Fontana, Claudio; Schmidt, Thorsten
10
2018
Optimal investment with intermediate consumption under no unbounded profit with bounded risk. Zbl 1416.91344
Chau, Huy N.; Cosso, Andrea; Fontana, Claudio; Mostovyi, Oleksii
14
2017
Financial markets theory. Equilibrium, efficiency and information. 2nd edition. Zbl 1390.91001
Barucci, Emilio; Fontana, Claudio
3
2017
A general HJM framework for multiple yield curve modelling. Zbl 1376.91166
Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro
35
2016
Arbitrage of the first kind and filtration enlargements in semimartingale financial models. Zbl 1337.60081
Acciaio, Beatrice; Fontana, Claudio; Kardaras, Constantinos
22
2016
Weak and strong no-arbitrage conditions for continuous financial markets. Zbl 1337.91160
Fontana, Claudio
17
2015
Market viability and martingale measures under partial information. Zbl 1338.60121
Fontana, Claudio; Øksendal, Bernt; Sulem, Agnès
2
2015
On arbitrages arising with honest times. Zbl 1353.60042
Fontana, Claudio; Jeanblanc, Monique; Song, Shiqi
29
2014
No-arbitrage conditions and absolutely continuous changes of measure. Zbl 1325.91063
Fontana, Claudio
7
2014
Information, no-arbitrage and completeness for asset price models with a change point. Zbl 1326.60057
Fontana, Claudio; Grbac, Zorana; Jeanblanc, Monique; Li, Qinghua
6
2014
A unified approach to pricing and risk management of equity and credit risk. Zbl 1314.91227
Fontana, Claudio; Montes, Juan Miguel A.
2
2014
Diffusion-based models for financial markets without martingale measures. Zbl 1306.91125
Fontana, Claudio; Runggaldier, Wolfgang J.
13
2013
Simplified mean-variance portfolio optimisation. Zbl 1264.91115
Fontana, Claudio; Schweizer, Martin
6
2012
Credit risk and incomplete information: A filtering framework for pricing and risk management. Zbl 1238.91135
Fontana, Claudio
1
2012
Credit risk and incomplete information: filtering and EM parameter estimation. Zbl 1233.91298
Fontana, Claudio; Runggaldier, Wolfgang J.
4
2010
all cited Publications top 5 cited Publications
all top 5

Cited by 189 Authors

21 Fontana, Claudio
11 Jeanblanc, Monique
8 Choulli, Tahir
8 Gnoatto, Alessandro
5 Gerhart, Christoph
5 Grbac, Zorana
5 Mostovyi, Oleksii
5 Protter, Philip Elliott
4 Aksamit, Anna
4 Bormetti, Giacomo
4 Brigo, Damiano
4 Calzolari, Antonella
4 Chau, Huy N.
4 Deng, Jun
4 Li, Libo
4 Skovmand, David
4 Torti, Barbara
3 Bálint, Dániel Ágoston
3 Criens, David
3 Eberlein, Ernst W.
3 Francischello, Marco
3 Kardaras, Constantinos
3 Lütkebohmert, Eva
3 Macrina, Andrea
3 Pallavicini, Andrea
3 Platen, Eckhard
3 Runggaldier, Wolfgang J.
3 Rutkowski, Marek
3 Schmidt, Thorsten
3 Song, Shiqi
3 Szulda, Guillaume
2 Biagini, Francesca
2 Bielecki, Tomasz R.
2 Carassus, Laurence
2 Coculescu, Delia
2 Colaneri, Katia
2 Cosso, Andrea
2 Cuchiero, Christa
2 Dandapani, Aditi
2 Gümbel, Sandrine
2 Imkeller, Peter
2 Jarrow, Robert Alan
2 Øksendal, Bernt Karsten
2 Papapantoleon, Antonis
2 Radi, Davide
2 Sulem, Agnès
2 Tankov, Peter
2 Tappe, Stefan
2 Tian, Boping
2 Wardenga, Robert
2 Yansori, Sina
2 Zhang, Shuxia
1 Acciaio, Beatrice
1 Alharbi, Ferdoos
1 Andriosopoulos, Kostas
1 Atkins, Philip J.
1 Bacinello, Anna Rita
1 Backwell, Alex
1 Baldeaux, Jan
1 Ballestra, Luca Vincenzo
1 Bandini, Elena
1 Bao, Gejun
1 Bienek, Tobias
1 Bilina Falafala, Roseline
1 Blanchet-Scalliet, Christophette
1 Brignone, Riccardo
1 Buckner, Dean
1 Calvia, Alessandro
1 Cavalcante, Charles Casimiro
1 Celary, Andreas
1 Cialenco, Igor
1 Cousin, Areski
1 Crepey, Stephane
1 Crisóstomo, Vicente L.
1 Cummins, Mark
1 Dam, Henrik T.
1 D’Auria, Bernardo
1 Deelstra, Griselda
1 Detemple, Jerome B.
1 Di Persio, Luca
1 Dowd, Kevin
1 Dvořáčková, Hana
1 Eksi-Altay, Zehra
1 Ernst, Philip A.
1 Esfahanipour, Akbar
1 Esmaeeli, Neda
1 Fanelli, Viviana
1 Farinelli, Simone
1 Frey, Rüdiger
1 Fries, Christian P.
1 Gapeev, Pavel V.
1 García-Rodríguez, José Antonio
1 Graceffa, Federico
1 Gueye, Djibril
1 Guida, Francesco
1 Hainaut, Donatien
1 Härtel, Maximilian
1 Hatgioannides, John
1 Herbertsson, Alexander
1 Herzel, Stefano
...and 89 more Authors
all top 5

Cited in 46 Serials

14 Stochastic Processes and their Applications
12 Finance and Stochastics
12 International Journal of Theoretical and Applied Finance
12 SIAM Journal on Financial Mathematics
11 Quantitative Finance
5 Mathematics and Financial Economics
5 Frontiers of Mathematical Finance
4 Annals of Operations Research
4 The Annals of Applied Probability
4 Mathematical Finance
3 Theory of Probability and its Applications
3 Journal of Applied Probability
3 Communications in Statistics. Theory and Methods
3 Stochastics
2 Lithuanian Mathematical Journal
2 Journal of Computational and Applied Mathematics
2 Journal of Mathematical Economics
2 Insurance Mathematics & Economics
2 European Journal of Operational Research
2 Applied Mathematical Finance
2 Decisions in Economics and Finance
2 Probability, Uncertainty and Quantitative Risk
1 Advances in Applied Probability
1 Computers & Mathematics with Applications
1 Journal of Mathematical Analysis and Applications
1 Physica A
1 Applied Mathematics and Optimization
1 Econometrica
1 Statistics & Probability Letters
1 Bulletin of the Iranian Mathematical Society
1 Journal of Theoretical Probability
1 Electronic Journal of Probability
1 Electronic Communications in Probability
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 Studies in Nonlinear Dynamics and Econometrics
1 Methodology and Computing in Applied Probability
1 RAIRO. Operations Research
1 Journal of Applied Mathematics
1 OR Spectrum
1 Missouri Journal of Mathematical Sciences
1 Mathematical Biosciences and Engineering
1 Science China. Mathematics
1 Annals of Finance
1 Numerical Algebra, Control and Optimization
1 Modern Stochastics. Theory and Applications
1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
all top 5

Cited in 15 Fields

126 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
94 Probability theory and stochastic processes (60-XX)
11 Systems theory; control (93-XX)
7 Statistics (62-XX)
5 Calculus of variations and optimal control; optimization (49-XX)
3 Partial differential equations (35-XX)
2 Functional analysis (46-XX)
2 Computer science (68-XX)
1 Special functions (33-XX)
1 Integral transforms, operational calculus (44-XX)
1 Integral equations (45-XX)
1 Fluid mechanics (76-XX)
1 Statistical mechanics, structure of matter (82-XX)
1 Biology and other natural sciences (92-XX)
1 Information and communication theory, circuits (94-XX)

Citations by Year