67 citations · 247 across the 21 of their papers we have counts for
10 papers · 1 filter
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…
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…
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…
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…
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…
Information, no-arbitrage and completeness for asset price models with a change point
Claudio Fontana, Zorana Grbac, Monique Jeanblanc +1
We consider a general class of continuous asset price models where the drift and the volatility functions, as well as the driving Brownian motions, change at a random time . Und…
Weak and strong no-arbitrage conditions for continuous financial markets
Claudio Fontana
We propose a unified analysis of a whole spectrum of no-arbitrage conditions for financial market models based on continuous semimartingales. In particular, we focus on no-arbitrag…
A unified approach to pricing and risk management of equity and credit risk
Claudio Fontana, Juan Miguel A. Montes
We propose a unified framework for equity and credit risk modeling, where the default time is a doubly stochastic random time with intensity driven by an underlying affine factor p…