Personal webpage of
Claudio Fontana

Research Interests

Mathematical finance and stochastic processes
in particular: arbitrage theory, modeling of information, enlargement of filtrations, interest rates and credit risk modeling, portfolio optimization, applications of stochastic filtering.

(curriculum vitae: CV.pdf) 

Preprints and publications

• The geometry of multi-curve interest rate models (2024),
  with G. Lanaro (Univ. Padova), A. Murgoci (Centrica Energy),
  preprint, available on arXiv 

• A hidden Markov model for statistical arbitrage in international crude oil futures markets (2023),
  with V. Fanelli (Univ. Bari), F. Rotondi (Bocconi Univ.),
  preprint, available on arXiv 

• Term structure modelling with overnight rates beyond stochastic continuity (2024),
  with Z. Grbac (Univ. Paris), T. Schmidt (Univ. Freiburg),
  Mathematical Finance, 34(1): 151-189 (also available on arXiv)

• A stochastic control perspective on term structure models with roll-over risk (2023),
  with S. Pavarana (Univ. Freiburg), W.J. Runggaldier (Univ. Padova),
  Finance and Stochastics, 27: 903-932 (also available on arXiv) 

• Valuation of general GMWB annuities in a low interest rate environment (2023),
  with F. Rotondi (Univ. Padova),
  Insurance: Mathematics and Economics, 112: 142-167 (also available on arXiv)

• CBI-time-changed Lévy processes (2023),
  with A. Gnoatto (Univ. Verona), G. Szulda (CERMICS - ENPC),
  Stochastic Processes and their Applications, 163: 323-349 (also available on arXiv)

• Caplet pricing in affine models for alternative risk-free rates (2023),
  SIAM Journal on Financial Mathematics, 14(1): SC1-SC16 (longer preprint version available on arXiv)

• CBI-time-changed Lévy processes for multi-currency modeling (2022),
  with A. Gnoatto (Univ. Verona), G. Szulda (Univ. Paris),
  Annals of Operations Research, forthcoming (also available on arXiv)

• Arbitrage concepts under trading restrictions in discrete-time financial markets (2021),
  with W.J. Runggaldier (Univ. Padova),
  Journal of Mathematical Economics, 92: 66-80 (also available on arXiv)

• Multiple yield curve modelling with CBI processes (2021),
  with A. Gnoatto (Univ. Verona), G. Szulda (Univ. Paris),
  Mathematics and Financial Economics, 15: 579-610 (also available on arXiv)

• The value of informational arbitrage (2020),
  with H.N. Chau (Osaka University) and A. Cosso (Univ. Bologna),
  Finance and Stochastics, 24: 277-307 (longer preprint version available on arXiv)

• Term structure modeling for multiple curves with stochastic discontinuities (2020),
  with Z. Grbac (Univ. Paris), S. Gümbel (Univ. Freiburg) and T. Schmidt (Univ. Freiburg),
  Finance and Stochastics, 24: 465-511 (also available on arXiv)

• Martingale spaces and representations under absolutely continuous changes of probability (2019),
  with A. Aksamit (Univ. Sydney),
  Electronic Communications in Probability, 24: no. 62 (also available on arXiv)

• On the existence of sure profits via flash strategies (2019),
  with M. Pelger (Stanford Univ.) and E. Platen (UTS),
  Journal of Applied Probability, 56(2): 384-397 (also available on arXiv)

• Affine multiple yield curve models (2019),
  with C. Cuchiero (Univ. Vienna) and A. Gnoatto (Univ. Verona),
  Mathematical Finance, 29(2): 568-611 (also available on arXiv)

• General dynamic term structures under default risk (2018),
  with T. Schmidt (Univ. Freiburg),
  Stochastic Processes and their Applications, 128(10): 3353-3386 (also available on arXiv)

• The strong predictable representation property in initially enlarged filtrations under the density hypothesis (2018),
  Stochastic Processes and their Applications, 128(3): 1007-1033 (also available on arXiv)

• Optimal investment with intermediate consumption under no unbounded profit with bounded risk (2017),
  with H. N. Chau (Hungarian Academy of Sciences), A. Cosso (Politecnico di Milano) and O. Mostovyi (Univ. Connecticut),
  Journal of Applied Probability, 54(3): 710-719 (also available on arXiv)

• A general HJM framework for multiple yield curve modeling (2016),
  with C. Cuchiero (Univ. Vienna) and A. Gnoatto (LMU Munich),
  Finance and Stochastics, 20(2): 267-320 (also available on arXiv)
  EIF prize 2017 for the best paper in finance (read more or view more)

• Arbitrage of the first kind and filtration enlargements in semimartingale financial models (2016),
  with B. Acciaio (LSE) and C. Kardaras (LSE),
  Stochastic Processes and their Applications, 126(6): 1761-1784 (also available on arXiv)

• Weak and strong no-arbitrage conditions for continuous financial markets (2015),
  International Journal of Theoretical and Applied Finance, 18(1): 1550005 (also available on arXiv)

• Market viability and martingale measures under partial information (2015),
  with B. Øksendal (Univ. Oslo) and A. Sulem (INRIA),
  Methodology and Computing in Applied Probability, 17(1): 15-39 (also available on arXiv)

• On arbitrages arising with honest times (2014),
  with M. Jeanblanc and S. Song (Univ. Evry),
  Finance and Stochastics, 18(3): 515-543 (also available on arXiv)

• Information, no-arbitrage and completeness for asset price models with a change point (2014),
  with Z. Grbac (Univ. Paris VII), M. Jeanblanc (Univ. Evry) and Q. Li (Humboldt Univ. Berlin),
  Stochastic Processes and their Applications, 124(9): 3009-3030 (also available on arXiv)

• A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing (2014),
  Stochastics, 86(6): 922-931 (also available on arXiv)

• A unified approach to pricing and risk management of equity and credit risk (2014),
  with J. M. Montes (LMU Munich),
  Journal of Computational and Applied Mathematics, 259(B): 350-361 (also available on arXiv)

• No-arbitrage conditions and absolutely continuous changes of measure (2014),
  Arbitrage, Credit and Informational Risks, Hillairet, C., Jeanblanc, M. & Jiao, Y. (eds.), 3-18, World Scientific (also available on arXiv)

• Diffusion-based models for financial markets without martingale measures (2013),
  with W.J. Runggaldier (Univ. Padova),
  Risk Measures and Attitudes, Biagini, F., Richter, A. & Schlesinger, H. (eds.), 45-81, EAA Series, Springer (also available on arXiv)

• Simplified mean-variance portfolio optimisation (2012),
  with M. Schweizer (ETH Zürich),
  Mathematics and Financial Economics, 6(2): 125-153 (also available on SSRN)

• Credit risk and incomplete information: a filtering framework for pricing and risk-management (2012),
  Mathematical and Statistical Methods for Actuarial Sciences and Finance, Perna, C. and Sibillo, M. (eds.), 193-202, Springer

• Credit risk and incomplete information: filtering and EM parameter estimation (2010),
  with W.J. Runggaldier (Univ. Padova),
  International Journal of Theoretical and Applied Finance, 13(5): 683-715

Dissertations

• Information and Arbitrage in Stochastic Asset Pricing Models, Habilitation Thesis (2018), Université Sorbonne Paris Cité (PDF file) 

• Four Essays in Financial Mathematics, PhD Thesis (2012), University of Padova

• Mean-variance Problems with Applications to Credit Risk Models, Master of Advanced Studies in Finance Thesis (2010), ETH Zürich and University of Zürich

• Affine Multi-factor Credit Risk Models under Incomplete Information: Filtering and Parameter Estimation, Master Thesis (2007), University of Padova