67 citations · 247 across the 21 of their papers we have counts for
30 papers
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…
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…
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 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…
A stochastic control perspective on term structure models with roll-over risk
Claudio Fontana, Simone Pavarana, Wolfgang J. Runggaldier
In this paper, we consider a generic interest rate market in the presence of roll-over risk, which generates spreads in spot/forward term rates. We do not require classical absence…
Valuation of general GMWB annuities in a low interest rate environment
Claudio Fontana, Francesco Rotondi
Variable annuities with Guaranteed Minimum Withdrawal Benefits (GMWB) entitle the policy holder to periodic withdrawals together with a terminal payoff linked to the performance of…
CBI-time-changed Lévy processes
Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda
We introduce and study the class of CBI-time-changed Lévy processes (CBITCL), obtained by time-changing a Lévy process with respect to an integrated continuous-state branching proc…
Caplet pricing in affine models for alternative risk-free rates
Claudio Fontana
Alternative risk-free rates (RFRs) play a central role in the reform of interest rate benchmarks. We study a model for RFRs driven by a general affine process. Under minimal assump…
Term structure modelling with overnight rates beyond stochastic continuity
Claudio Fontana, Zorana Grbac, Thorsten Schmidt
Overnight rates, such as the SOFR (Secured Overnight Financing Rate) in the US, are central to the current reform of interest rate benchmarks. A striking feature of overnight rates…
CBI-time-changed Lévy processes for multi-currency modeling
Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda
We develop a stochastic volatility framework for modeling multiple currencies based on CBI-time-changed Lévy processes. The proposed framework captures the typical risk characteris…
Arbitrage concepts under trading restrictions in discrete-time financial markets
Claudio Fontana, Wolfgang J. Runggaldier
In a discrete-time setting, we study arbitrage concepts in the presence of convex trading constraints. We show that solvability of portfolio optimization problems is equivalent to…
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…
On the existence of sure profits via flash strategies
Claudio Fontana, Markus Pelger, Eckhard Platen
We introduce and study the notion of sure profit via flash strategy, consisting of a high-frequency limit of buy-and-hold trading strategies. In a fully general setting, without im…
General dynamic term structures under default risk
Claudio Fontana, Thorsten Schmidt
We consider the problem of modelling the term structure of defaultable bonds, under minimal assumptions on the default time. In particular, we do not assume the existence of a defa…
Affine multiple yield curve models
Christa Cuchiero, Claudio Fontana, Alessandro Gnoatto
We provide a general and tractable framework under which all multiple yield curve modeling approaches based on affine processes, be it short rate, Libor market, or HJM modeling, ca…
Optimal investment with intermediate consumption under no unbounded profit with bounded risk
Huy N. Chau, Andrea Cosso, Claudio Fontana +1
We consider the problem of optimal investment with intermediate consumption in a general semimartingale model of an incomplete market, with preferences being represented by a utili…
The strong predictable representation property in initially enlarged filtrations under the density hypothesis
Claudio Fontana
We study the strong predictable representation property in filtrations initially enlarged with a random variable L. We prove that the strong predictable representation property can…
A general HJM framework for multiple yield curve modeling
Christa Cuchiero, Claudio Fontana, Alessandro Gnoatto
We propose a general framework for modeling multiple yield curves which have emerged after the last financial crisis. In a general semimartingale setting, we provide an HJM approac…
Arbitrage of the first kind and filtration enlargements in semimartingale financial models
Beatrice Acciaio, Claudio Fontana, Constantinos Kardaras
In a general semimartingale financial model, we study the stability of the No Arbitrage of the First Kind (NA1) (or, equivalently, No Unbounded Profit with Bounded Risk) condition…
No-arbitrage conditions and absolutely continuous changes of measure
Claudio Fontana
We study the stability of several no-arbitrage conditions with respect to absolutely continuous, but not necessarily equivalent, changes of measure. We first consider models based…
A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing
Claudio Fontana
We provide a critical analysis of the proof of the fundamental theorem of asset pricing given in the paper "Arbitrage and approximate arbitrage: the fundamental theorem of asset pr…