• Personal webpage of
    Claudio Fontana

Associate Professor

Department of Mathematics "Tullio Levi-Civita"

University of Padova

office 415

via Trieste 63

35121 Padova (Italy)

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


and


Scientific Collaborator

Centre de Mathématiques Appliquées (CMAP)

École Polytechnique, France

Invited session on Recent Advances in Martingale Representation Theorems and Enlarged Filtrations

Teaching Responsibilities

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)

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

  • CBI-time-changed Lévy processes (2022),
    with A
    . Gnoatto (Univ. Verona), G. Szulda (Univ. Paris),
    preprint, available on
    arXiv

  • Caplet pricing in affine models for alternative risk-free rates (2022),
    preprint, available on arXiv

  • Term structure modelling with overnight rates beyond stochastic continuity (2022),
    with
    Z. Grbac (Univ. Paris), T. Schmidt (Univ. Freiburg),
    preprint, available on arXiv

  • CBI-time-changed Lévy processes for multi-currency modeling (2021),
    with
    A. Gnoatto (Univ. Verona), G. Szulda (Univ. Paris),
    preprint, 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)

  • 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)

  • 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)


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