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Multiple yield curve modelling with CBI processes

Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume - In: Mathematics and financial economics 15 (2021) 3, pp. 579-610

Persistent link: https://www.econbiz.de/10012586190

A general HJM framework for multiple yield curve modelling

Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro - In: Finance and stochastics 20 (2016) 2, pp. 267-320

Persistent link: https://www.econbiz.de/10011470672

Financial markets theory : equilibrium, efficiency and information

Barucci, Emilio; Fontana, Claudio - 2017 - Second edition

Persistent link: https://www.econbiz.de/10011653613

The value of informational arbitrage

Chau, Huy N.; Cosso, Andrea; Fontana, Claudio - In: Finance and stochastics 24 (2020) 2, pp. 277-307

Persistent link: https://www.econbiz.de/10012253351

Term structure modelling for multiple curves with stochastic discontinuities

Fontana, Claudio; Grbac, Zorana; Gümbel, Sandrine; … - In: Finance and stochastics 24 (2020) 2, pp. 465-511

Persistent link: https://www.econbiz.de/10012253393

Arbitrage concepts under trading restrictions in discrete-time financial markets

Fontana, Claudio; Runggaldier, Wolfgang J. - In: Journal of mathematical economics 92 (2021), pp. 66-80

Persistent link: https://www.econbiz.de/10012654141

Valuation of general GMWB annuities in a low interest rate environment

Fontana, Claudio; Rotondi, Francesco - In: Insurance / Mathematics & economics 112 (2023), pp. 142-167

Persistent link: https://www.econbiz.de/10014446751

Affine multiple yield curve models

Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro - In: Mathematical Finance 29 (2018) 2, pp. 568-611

Persistent link: https://www.econbiz.de/10012095155

Coherent foreign exchange market models

Gnoatto, Alessandro - In: International journal of theoretical and applied finance 20 (2017) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10011686817

Information, no-arbitrage and completeness for asset price models with a change point

Fontana, Claudio; Grbac, Zorana; Jeanblanc, Monique; … - In: Stochastic Processes and their Applications 124 (2014) 9, pp. 3009-3030

We consider a general class of continuous asset price models where the drift and the volatility functions, as well as the driving Brownian motions, change at a random time τ. Under minimal assumptions on the random time and on the driving Brownian motions, we study the behavior of the model in...

Persistent link: https://www.econbiz.de/10011064912