Claudio Fontana



Senior lecturer

Department of Mathematics "Tullio Levi Civita"
University of Padova
office 415
via Trieste 63

35121 Padova (Italy)


e-mail: fontana(at)math.unipd.it



 


Research Interests

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

Book

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


Book's Webpage

Read the book on SpringerLink


Preprints and Publications

  • Term structure modeling for multiple curves with stochastic discontinuities (2018),
  • with Z. Grbac (Paris Diderot Univ.), S. Gümbel (Univ. Freiburg) and T. Schmidt (Univ. Freiburg), preprint (available on arXiv)
  • Martingale spaces and representations under absolutely continuous changes of probability (2018),
  • with A. Aksamit (Univ. Sydney), preprint (available on arXiv)
  • The value of informational arbitrage (2018),
  • with H.N. Chau (Hungarian Academy of Sciences) and A. Cosso (Univ. Bologna), preprint (available on arXiv)
  • On the existence of sure profits via flash strategies (2018), with M. Pelger (Stanford Univ.) and E. Platen (UTS),
  • Journal of Applied Probability, forthcoming (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)
  • Optimal investment with intermediate consumption under no unbounded profit with bounded risk (2017),
  • with Huy N. Chau (Hungarian Academy of Sciences), Andrea Cosso (Politecnico di Milano) and Oleksii 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 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 or view more)
  • 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)
    • 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)
    • A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing (2014),
      Stochastics, 86(6): 922-931 (also available on arXiv)

    Dissertations

    • Information and Arbitrage in Stochastic Asset Pricing Models, Habilitation Thesis (2018), Paris Diderot University (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