67 citations · 247 across the 21 of their papers we have counts for
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q-fin.MF2014★ 67 cited
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…
math.PR2014
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…