67 citations · 247 across the 21 of their papers we have counts for
4 papers · 1 filter
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…