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