Claudio Fontana

Université Paris VII Denis Diderot

avenue de France

Paris, 75205

France

SCHOLARLY PAPERS

10

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939

SSRN CITATIONS
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SSRN RANKINGS

Top 21,676

in Total Papers Citations

14

CROSSREF CITATIONS

22

Scholarly Papers (10)

1.

Simplified Mean-Variance Portfolio Optimisation

Swiss Finance Institute Research Paper No. 11-68
Number of pages: 36 Posted: 18 Jan 2012 Last Revised: 13 Jun 2012
Claudio Fontana and Martin Schweizer
Université Paris VII Denis Diderot and ETH Zurich
Downloads 316 (98,392)
Citation 1

Abstract:

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mean-variance, portfolio choice, hedging, indifference valuation, Markowitz problem, two-fund separation, no approximate profits, minimum variance, Sharpe ratio

2.

A General HJM Framework for Multiple Yield Curve Modeling

Number of pages: 40 Posted: 17 Jun 2014 Last Revised: 08 May 2015
Christa Cuchiero, Claudio Fontana and Alessandro Gnoatto
Independent, Université Paris VII Denis Diderot and University of Verona - Department of Economics
Downloads 271 (115,997)
Citation 10

Abstract:

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Multi-Curve Framework, HJM Framework, Interest Rate Derivatives, Basis Swaps, Discounting Curve, Affine Processes

3.

Affine Multiple Yield Curve Models

Number of pages: 39 Posted: 28 Dec 2016 Last Revised: 16 Apr 2018
Christa Cuchiero, Claudio Fontana and Alessandro Gnoatto
Independent, Université Paris VII Denis Diderot and University of Verona - Department of Economics
Downloads 104 (266,005)
Citation 7

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Multiple yield curves, Libor rate, forward rate agreement, multiplicative spread, affine processes

4.

A Unified Approach to Pricing and Risk Management of Equity and Credit Risk

Journal of Computational and Applied Mathematics, 2014, vol. 259(B): 350-361.
Number of pages: 18 Posted: 22 Dec 2012 Last Revised: 09 May 2017
Claudio Fontana and Juan Miguel Montes
Université Paris VII Denis Diderot and Ludwig Maximilians University Munich, Institute of Mathematics
Downloads 85 (303,152)

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default risk, affine processes, stochastic volatility, market price of risk, change of measure, jump-to-default

5.

Weak and Strong No-Arbitrage Conditions for Continuous Financial Markets

International Journal of Theoretical and Applied Finance, Vol. 18, No. 1, 2015
Number of pages: 28 Posted: 11 Sep 2015
Claudio Fontana
Université Paris VII Denis Diderot
Downloads 44 (421,716)
Citation 1

Abstract:

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arbitrage, benchmark approach, continuous semimartingale, martingale deflator, market price of risk, arbitrage of the first kind, free lunch with vanishing risk

6.

On the Existence of Sure Profits via Flash Strategies

Number of pages: 16 Posted: 08 Aug 2017 Last Revised: 16 Sep 2018
Claudio Fontana, Markus Pelger and Eckhard Platen
Université Paris VII Denis Diderot, Stanford University - Management Science & Engineering and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 40 (437,356)
Citation 2

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Arbitrage, predictable time, semimartingale; high-frequency trading, right-continuity

7.

Diffusion-Based Models for Financial Markets Without Martingale Measures

Risk Measures and Attitudes (F. Biagini, A. Richter and H. Schlesinger, eds.), Springer, EAA Series, pages 45-81 (2013)
Number of pages: 35 Posted: 15 Sep 2015
Claudio Fontana and Wolfgang J. Runggaldier
Université Paris VII Denis Diderot and University of Padova, Department of Mathematics
Downloads 28 (491,921)
Citation 2

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arbitrage, hedging, contingent claim valuation, market price of risk, martingale deflator, growth-optimal portfolio, numeraire portfolio, market completeness, utility indifference valuation, benchmark approach

8.

The Value of Informational Arbitrage

Number of pages: 36 Posted: 17 Apr 2018
Huy N. Chau, Andrea Cosso and Claudio Fontana
Independent, Polytechnic University of Milan - Department of Mathematics and Université Paris VII Denis Diderot
Downloads 18 (549,919)
Citation 2

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inside information, value of information, arbitrage opportunity, indifference price, leverage, portfolio optimization

9.

Multiple Yield Curve Modelling With CBI Processes

Number of pages: 29 Posted: 18 Nov 2019
Claudio Fontana, Alessandro Gnoatto and Guillaume Szulda
Université Paris VII Denis Diderot, University of Verona - Department of Economics and University Paris Diderot, Sorbonne Paris Cité
Downloads 17 (556,041)

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Branching Process, Self-Exciting Process, Multi-Curve Model, Interest Rate, Libor Rate, OIS Rate, Multiplicative Spread, Affine Process

10.

General Dynamic Term Structures Under Default Risk

Stochastic Processes and their Applications, 2018, 128(10): 3353-3386
Number of pages: 31 Posted: 17 Apr 2018 Last Revised: 25 Aug 2019
Claudio Fontana and Thorsten Schmidt
Université Paris VII Denis Diderot and University of Freiburg
Downloads 16 (561,962)
Citation 2

Abstract:

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Credit Risk, HJM, Arbitrage, Forward Rate, Default Compensator, Structural Approach, Reduced-Form Approach, Large Financial Market, Recovery