Claudio Fontana

University of Padova, Department of Mathematics

Via Trieste 63

Padova, 35121

Italy

SCHOLARLY PAPERS

19

DOWNLOADS
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2,464

SSRN CITATIONS
Rank 19,396

SSRN RANKINGS

Top 19,396

in Total Papers Citations

46

CROSSREF CITATIONS

21

Scholarly Papers (19)

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
University of Padova, Department of Mathematics and ETH Zurich
Downloads 378 (145,087)
Citation 2

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, University of Padova, Department of Mathematics and University of Verona - Department of Economics
Downloads 358 (154,135)
Citation 13

Abstract:

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

3.

Term Structure Modelling With Overnight Rates Beyond Stochastic Continuity

Number of pages: 27 Posted: 15 Feb 2022 Last Revised: 12 Feb 2023
Claudio Fontana, Zorana Grbac and Thorsten Schmidt
University of Padova, Department of Mathematics, Université Paris VII Denis Diderot and University of Freiburg
Downloads 293 (190,892)

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Libor reform, alternative risk-free rate, SOFR, SONIA, €STR, affine processes, semimartingales, stochastic discontinuities, BSDE, local risk-minimization

4.

A Hidden Markov Model for Statistical Arbitrage in International Crude Oil Futures Markets

Number of pages: 31 Posted: 20 Sep 2023 Last Revised: 03 Oct 2023
Viviana Fanelli, Claudio Fontana and Francesco Rotondi
Independent, University of Padova, Department of Mathematics and Bocconi University - Department of Finance
Downloads 254 (223,122)

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Pairs trading, crude oil futures, Shanghai crude oil futures, cointegration, spread process, mean-reverting process, regime switching, stochastic filtering

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
University of Padova, Department of Mathematics
Downloads 163 (331,474)
Citation 3

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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.

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, University of Padova, Department of Mathematics and University of Verona - Department of Economics
Downloads 162 (333,275)
Citation 10

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

7.

Caplet Pricing in Affine Models for Alternative Risk-Free Rates

Number of pages: 19 Posted: 15 Mar 2022 Last Revised: 23 Jan 2023
Claudio Fontana
University of Padova, Department of Mathematics
Downloads 133 (390,724)

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Risk-free rate, Libor reform, backward-looking rate, overnight rate, affine process, Fourier pricing

8.

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
University of Padova, Department of Mathematics and Ludwig Maximilians University Munich, Institute of Mathematics
Downloads 115 (436,113)
Citation 1

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

9.

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
University of Padova, Department of Mathematics, Stanford University - Department of Management Science & Engineering and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 88 (523,643)
Citation 4

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

10.

Multiple Yield Curve Modelling With CBI Processes

Number of pages: 29 Posted: 18 Nov 2019
Claudio Fontana, Alessandro Gnoatto and Guillaume Szulda
University of Padova, Department of Mathematics, University of Verona - Department of Economics and University Paris Diderot, Sorbonne Paris Cité
Downloads 86 (531,117)
Citation 5

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

11.

CBI-time-changed Lévy processes for multi-currency modeling

Number of pages: 24 Posted: 11 Feb 2022
Claudio Fontana, Alessandro Gnoatto and Guillaume Szulda
University of Padova, Department of Mathematics, University of Verona - Department of Economics and University Paris Diderot, Sorbonne Paris Cité
Downloads 79 (558,814)

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FX market, multi-currency market, branching process, self-exciting process, time-change, stochastic volatility, deep calibration, affine process

12.

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
University of Padova, Department of Mathematics and University of Freiburg
Downloads 56 (669,101)
Citation 2

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

13.

Arbitrage Concepts Under Trading Restrictions in Discrete-Time Financial Markets

Journal of Mathematical Economics, Vol. 92, 2021
Number of pages: 29 Posted: 21 Jul 2020 Last Revised: 20 Feb 2021
Claudio Fontana and Wolfgang J. Runggaldier
University of Padova, Department of Mathematics and University of Padova, Department of Mathematics
Downloads 53 (686,128)

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Trading constraints, market viability, arbitrage of the first kind, numeraire portfolio

14.

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
University of Padova, Department of Mathematics and University of Padova, Department of Mathematics
Downloads 51 (697,932)
Citation 4

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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

15.

A stochastic control perspective on term structure models with roll-over risk

Number of pages: 25 Posted: 19 Apr 2023 Last Revised: 11 Dec 2023
University of Padova, Department of Mathematics, Independent and University of Padova, Department of Mathematics
Downloads 47 (723,116)

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Roll-over risk, liquidity risk, interest rate, multiplicative spread, term rate, benchmark approach, stochastic control, risk-sensitive portfolio optimization

16.

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 University of Padova, Department of Mathematics
Downloads 47 (723,116)
Citation 2

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

17.

CBI-Time-Changed Lévy Processes

Number of pages: 24 Posted: 01 Jun 2022
Claudio Fontana, Alessandro Gnoatto and Guillaume Szulda
University of Padova, Department of Mathematics, University of Verona - Department of Economics and University Paris Diderot, Sorbonne Paris Cité
Downloads 43 (749,640)
Citation 1

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Branching process; change of time; affine process; stochastic volatility; moment explosion.

18.

The Geometry of Multi-curve Interest Rate Models

Number of pages: 28 Posted: 12 Feb 2024
Claudio Fontana, Giacomo Lanaro and Agatha Murgoci
University of Padova, Department of Mathematics, University of Padua - Department of Mathematics "Tullio Levi-Civita" and Independent
Downloads 32 (832,034)

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Term structure modeling; spreads; interest rate benchmarks; Heath-Jarrow-Morton model, consistency problem, finite-dimensional realization, model calibration

19.

Valuation of General Gmwb Annuities in a Low Interest Rate Environment

Number of pages: 30 Posted: 29 Aug 2022 Last Revised: 15 Mar 2024
Claudio Fontana and Francesco Rotondi
University of Padova, Department of Mathematics and Bocconi University - Department of Finance
Downloads 26 (883,325)

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Variable annuity, Guaranteed Minimum Withdrawal Benefit, dynamic withdrawal, step-up feature, stochastic interest rate