1 citations · 1 across the 1 of their papers we have counts for
5 papers
Multiple yield curve modelling with CBI processes
Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda
We develop a modelling framework for multiple yield curves driven by continuous-state branching processes with immigration (CBI processes). Exploiting the self-exciting behavior of…
Martingale spaces and representations under absolutely continuous changes of probability
Anna Aksamit, Claudio Fontana
In a fully general setting, we study the relation between martingale spaces under two locally absolutely continuous probabilities and prove that the martingale representation prope…
Term structure modeling for multiple curves with stochastic discontinuities
Claudio Fontana, Zorana Grbac, Sandrine Gümbel +1
We develop a general term structure framework taking stochastic discontinuities explicitly into account. Stochastic discontinuities are a key feature in interest rate markets, as f…
The value of informational arbitrage
Huy N. Chau, Andrea Cosso, Claudio Fontana
In the context of a general semimartingale model of a complete market, we aim at answering the following question: How much is an investor willing to pay for learning some inside i…
Diffusion-based models for financial markets without martingale measures
Claudio Fontana, Wolfgang J. Runggaldier
We consider a general class of diffusion-based models and show that, even in the absence of an Equivalent Local Martingale Measure, the financial market may still be viable, in the…