2 papers
math.PR2026
Weak equilibria of a mean-field market model under asymmetric information
Alekos Cecchin, Markus Fischer, Claudio Fontana +1
We investigate how asymmetric information affects equilibrium price formation in an economy with many interacting agents. Motivated by a finite-player model with two populations of…
q-fin.MF2024
The geometry of multi-curve interest rate models
Claudio Fontana, Giacomo Lanaro, Agatha Murgoci
We study the problems of consistency and of the existence of finite-dimensional realizations for multi-curve interest rate models of Heath-Jarrow-Morton type, generalizing the geom…