67 citations · 247 across the 21 of their papers we have counts for
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q-fin.MF2016
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…
q-fin.MF2016
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…