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)


Teaching Responsibilities

Research Interests

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


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

  • Multiple yield curve modelling with CBI processes (2020), with A. Gnoatto (Univ. Verona), G. Szulda (Univ. Paris),
  • preprint (available on arXiv)
  • Arbitrage concepts under trading restrictions in discrete-time financial markets (2020), with W.J. Runggaldier (Univ. Padova),
  • Journal of Mathematical Economics, forthcoming (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 (Paris Diderot Univ.), S. Gümbel (Univ. Freiburg) and T. Schmidt (Univ. Freiburg),
    Finance and Stochastics, 24: 465-511 (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)
  • 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)
    • 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)


    • 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