Claudio Fontana

Assistant professor

Laboratoire de Probabilités et Modèles Aléatoires
(equipe Financial Mathematics and Numerical Probability)
Paris Diderot University (Paris VII)
Sophie Germain building, av. de France
, 75205, Paris (France)

e-mail: fontana(at)


Research Interests

Mathematical finance and stochastic processes,
in particular: arbitrage theory,
enlargement of filtrations, interest rate and credit risk modelling, mean-variance problems and quadratic hedging, applications of stochastic filtering.
(curriculum vitae CV.pdf)


E. Barucci and C. Fontana, Financial Markets Theory: Equilibrium, Efficiency and Information, second edition, Springer Finance, forthcoming, 2017.

Preprints and Publications

  • General dynamic term structures under default risk (2017),
  • with T. Schmidt (Univ. Freiburg), preprint (available on arXiv)
  • Affine multiple yield curve models (2016),
  • with C. Cuchiero (Univ. Vienna) and A. Gnoatto (LMU Munich), preprint (available on arXiv)
  • Optimal investment with intermediate consumption under no unbounded profit with bounded risk (2015),
  • with Huy N. Chau (Univ. Paris VII), Andrea Cosso (Politecnico di Milano) and Oleksii Mostovyi (Univ. Connecticut), preprint (available on arXiv)
  • The strong predictable representation property in initially enlarged filtrations (2015),
  • preprint (available on arXiv)
  • Arbitrage of the first kind and filtration enlargements in semimartingale financial models (2016), with Beatrice Acciaio (LSE) and Kostas Kardaras (LSE),
  • Stochastic Processes and their Applications, 126(6): 1761-1784 (also available on arXiv)
  • A general HJM framework for multiple yield curve modeling (2016), with Christa Cuchiero (Univ. Vienna) and Alessandro 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)
    • A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing (2014),
      Stochastics, 86(6): 922-931 (also available on arXiv)
    • On arbitrages arising with honest times (2014), with Monique Jeanblanc and Shiqi 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 Zorana Grbac (Univ. Paris VII), Monique Jeanblanc (Univ. Evry) and Qinghua Li (Humboldt Univ. Berlin), Stochastic Processes and their Applications, 124(9): 3009-3030 (available on arXiv)

    PhD and Master Theses

    • 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