FONTANA, CLAUDIO
FONTANA, CLAUDIO
Dipartimento di Matematica "Tullio Levi-Civita" - DM
A hidden Markov model for statistical arbitrage in international crude oil futures markets
2026 Fanelli, V.; Fontana, C.; Rotondi, F.
A stochastic Gordon–Loeb model for optimal cybersecurity investment under clustered attacks
2026 Callegaro, G.; Fontana, C.; Hillairet, C.; Ongarato, B.
Weak equilibria of a mean-field market model under asymmetric information
2026 Cecchin, Alekos; Fischer, Markus; Fontana, Claudio; Lanaro, Giacomo
The geometry of multi-curve interest rate models
2025 Fontana, Claudio; Lanaro, Giacomo; Murgoci, Agatha
CBI-time-changed Lévy processes for multi-currency modeling
2024 Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume
Recent advances in mathematical methods for finance
2024 Callegaro, Giorgia; Fontana, Claudio; Grasselli, Martino; Runggaldier, Wolfgang J.; Vargiolu, Tiziano
Term structure modeling with overnight rates beyond stochastic continuity
2024 Fontana, Claudio; Grbac, Zorana; Schmidt, Thorsten
A stochastic control perspective on term structure models with roll-over risk
2023 Fontana, Claudio; Pavarana, Simone; Runggaldier, Wolfgang J.
CBI-time-changed Lévy processes
2023 Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume
Short communication: caplet pricing in affine models for alternative risk-free rates
2023 Fontana, Claudio
Valuation of general GMWB annuities in a low interest rate environment
2023 Fontana, Claudio; Rotondi, Francesco
Arbitrage concepts under trading restrictions in discrete-time financial markets
2021 Fontana, Claudio; Runggaldier, Wolfgang J.
Multiple yield curve modelling with CBI processes
2021 Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume
Term structure modelling for multiple curves with stochastic discontinuities
2020 Fontana, C.; Grbac, Z.; Gümbel, S.; Schmidt, T.
The value of informational arbitrage
2020 Chau, H. N.; Cosso, A.; Fontana, C.
Affine multiple yield curve models
2019 Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro
Martingale spaces and representations under absolutely continuous changes of probability
2019 Aksamit, Anna; Fontana, Claudio
On the existence of sure profits via flash strategies
2019 Fontana, Claudio; Pelger, Markus; Eckhard, Platen
General dynamic term structures under default risk
2018 Fontana, Claudio; Schmidt, Thorsten
The strong predictable representation property in initially enlarged filtrations under the density hypothesis
2018 Fontana, Claudio