Claudio Fontana

According to our database, Claudio Fontana authored at least 8 papers between 2014 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2024

CBI-time-changed Lévy processes for multi-currency modeling.

Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda

Ann. Oper. Res., May, 2024

Recent advances in mathematical methods for finance.

Giorgia Callegaro, Claudio Fontana, Martino Grasselli, Wolfgang J. Runggaldier, Tiziano Vargiolu

Ann. Oper. Res., May, 2024

2023

Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates.

Claudio Fontana

SIAM J. Financial Math., March, 2023

2019

On the existence of sure profits via flash strategies.

Claudio Fontana, Markus Pelger, Eckhard Platen

J. Appl. Probab., 2019

2017

Optimal investment with intermediate consumption under no unbounded profit with bounded risk.

Huy N. Chau, Andrea Cosso, Claudio Fontana, Oleksii Mostovyi

J. Appl. Probab., 2017

2016

A general HJM framework for multiple yield curve modelling.

Christa Cuchiero, Claudio Fontana, Alessandro Gnoatto

Finance Stochastics, 2016

2014

A unified approach to pricing and risk management of equity and credit risk.

Claudio Fontana, Juan Miguel A. Montes

J. Comput. Appl. Math., 2014

On arbitrages arising with honest times.

Claudio Fontana, Monique Jeanblanc, Shiqi Song

Finance Stochastics, 2014