4 papers
Real-world models for multiple term structures: a unifying HJM semimartingale framework
Claudio Fontana, Eckhard Platen, Stefan Tappe
We develop a unified framework for modeling multiple term structures arising in financial, insurance, and energy markets, adopting an extended Heath-Jarrow-Morton (HJM) approach un…
A stochastic Gordon-Loeb model for optimal cybersecurity investment under clustered attacks
Giorgia Callegaro, Claudio Fontana, Caroline Hillairet +1
We develop a continuous-time stochastic model for optimal cybersecurity investment under the threat of cyberattacks. The arrival of attacks is modeled using a Hawkes process, captu…
A hidden Markov model for statistical arbitrage in international crude oil futures markets
Viviana Fanelli, Claudio Fontana, Francesco Rotondi
In this work, we study statistical arbitrage strategies in international crude oil futures markets. We analyse strategies that extend classical pairs trading strategies, considerin…
An extended CIR process with stochastic discontinuities
Claudio Fontana, Simone Pavarana, Thorsten Schmidt
We study an extension of the Cox-Ingersoll-Ross (CIR) process that incorporates jumps at deterministic dates, referred to as stochastic discontinuities. Our main motivation stems f…