67 citations · 247 across the 21 of their papers we have counts for
3 papers · 1 filter
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…
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…
On arbitrages arising from honest times
Claudio Fontana, Monique Jeanblanc, Shiqi Song
In the context of a general continuous financial market model, we study whether the additional information associated with an honest time gives rise to arbitrage profits. By relyin…