Claudio Fontana
Claudio Fontana
University of Padova, Italy
Verified email at math.univ-paris-diderot.fr - Homepage
Title
Cited by
Cited by
Year
Financial markets theory
E Barucci, C Fontana
Springer-Verlag, 2017
124*2017
On arbitrages arising with honest times
C Fontana, M Jeanblanc, S Song
Finance and Stochastics 18 (3), 515-543, 2014
662014
A general HJM framework for multiple yield curve modelling
C Cuchiero, C Fontana, A Gnoatto
Finance and Stochastics 20 (2), 267-320, 2016
522016
Arbitrage of the first kind and filtration enlargements in semimartingale financial models
B Acciaio, C Fontana, C Kardaras
Stochastic Processes and their Applications 126 (6), 1761-1784, 2016
482016
Weak and strong no-arbitrage conditions for continuous financial markets
C Fontana
International Journal of Theoretical and Applied Finance 18 (01), 1550005, 2015
402015
Affine multiple yield curve models
C Cuchiero, C Fontana, A Gnoatto
Mathematical Finance 29 (2), 568-611, 2019
292019
Diffusion-based models for financial markets without martingale measures
C Fontana, WJ Runggaldier
Risk Measures and Attitudes, 45-81, 2013
262013
The strong predictable representation property in initially enlarged filtrations under the density hypothesis
C Fontana
Stochastic Processes and their Applications 128 (3), 1007-1033, 2018
24*2018
Optimal investment with intermediate consumption under no unbounded profit with bounded risk
HN Chau, A Cosso, C Fontana, O Mostovyi
Journal of Applied Probability 54 (3), 710-719, 2017
202017
General dynamic term structures under default risk
C Fontana, T Schmidt
Stochastic Processes and their Applications 128 (10), 3353-3386, 2018
192018
Simplified mean-variance portfolio optimisation
C Fontana, M Schweizer
Mathematics and financial economics 6 (2), 125-152, 2012
182012
Credit risk and incomplete information: filtering and EM parameter estimation
C Fontana, WJ Runggaldier
International Journal of Theoretical and Applied Finance 13 (05), 683-715, 2010
152010
No-arbitrage conditions and absolutely continuous changes of measure
C Fontana
Arbitrage, Credit and Informational Risks, 3-18, 2014
142014
Term structure modelling for multiple curves with stochastic discontinuities
C Fontana, Z Grbac, S Gümbel, T Schmidt
Finance and Stochastics, 1-47, 2020
122020
Information, no-arbitrage and completeness for asset price models with a change point
C Fontana, Z Grbac, M Jeanblanc, Q Li
Stochastic Processes and their Applications 124 (9), 3009-3030, 2014
102014
A unified approach to pricing and risk management of equity and credit risk
C Fontana, JMA Montes
Journal of Computational and Applied Mathematics 259, 350-361, 2014
92014
Four essays in financial mathematics
C Fontana
University of Padova, 2012
92012
Market viability and martingale measures under partial information
C Fontana, B Øksendal, A Sulem
Methodology and Computing in Applied Probability 17 (1), 15-39, 2015
82015
Multiple yield curve modelling with CBI processes
C Fontana, A Gnoatto, G Szulda
Mathematics and Financial Economics 15 (3), 579-610, 2021
42021
The value of informational arbitrage
HN Chau, A Cosso, C Fontana
Finance and Stochastics, 1-31, 2020
42020
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Articles 1–20