Claudio Fontana

Publication Activity (10 Years)

Years Active: 2014-2024
Publications (10 Years): 6

Top Topics

Conditional Expectation

Mathematical Methods

Investment Decisions

Top Venues

Finance Stochastics

Ann. Oper. Res.

J. Appl. Probab.

J. Comput. Appl. Math.

Publications

Giorgia Callegaro, Claudio Fontana, Martino Grasselli, Wolfgang J. Runggaldier, Tiziano Vargiolu
Recent advances in mathematical methods for finance. Ann. Oper. Res. 336 (1-2) (2024)
Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda
CBI-time-changed Lévy processes for multi-currency modeling. Ann. Oper. Res. 336 (1-2) (2024)
Claudio Fontana
Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates. SIAM J. Financial Math. 14 (1) (2023)
Claudio Fontana, Markus Pelger, Eckhard Platen
On the existence of sure profits via flash strategies. J. Appl. Probab. 56 (2) (2019)
Huy N. Chau, Andrea Cosso, Claudio Fontana, Oleksii Mostovyi
Optimal investment with intermediate consumption under no unbounded profit with bounded risk. J. Appl. Probab. 54 (3) (2017)
Christa Cuchiero, Claudio Fontana, Alessandro Gnoatto
A general HJM framework for multiple yield curve modelling. Finance Stochastics 20 (2) (2016)
Claudio Fontana, Monique Jeanblanc, Shiqi Song
On arbitrages arising with honest times. Finance Stochastics 18 (3) (2014)
Claudio Fontana, Juan Miguel A. Montes
A unified approach to pricing and risk management of equity and credit risk. J. Comput. Appl. Math. 259 (2014)