Claudio Fontana

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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

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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)

• 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 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)

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

• Market viability and martingale measures under partial information (2015), with Bernt Øksendal (Univ. Oslo) and Agnès Sulem (INRIA),
  Methodology and Computing in Applied Probability, 17(1): 15-39 (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)

• A unified approach to pricing and risk management of equity and credit risk (2014), with Juan Miguel A. 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 (available on arXiv)

• Diffusion-based models for financial markets without martingale measures (2013), with Wolfgang 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 Martin 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 Wolfgang 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), 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

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