E-LIB Suche - Ergebnisse für: Fontana, Claudio

1

Recent advances in mathematical methods for finance:

Callegaro, Giorgia ; Fontana, Claudio ; Grasselli, Martino..
Annals of Operations Research. 336 (2024) 1-2 - p. 1-2 , 2024

Link: https://doi.org/10.1007/..

2

Term structure modeling with overnight rates beyond stochas..:

Fontana, Claudio ; Grbac, Zorana ; Schmidt, Thorsten
Mathematical Finance. 34 (2023) 1 - p. 151-189 , 2023

Link: https://doi.org/10.1111/..

3

Valuation of general GMWB annuities in a low interest rate ..:

Fontana, Claudio ; Rotondi, Francesco
Insurance: Mathematics and Economics. 112 (2023) - p. 142-167 , 2023

Link: https://doi.org/10.1016/..

4

CBI-time-changed Lévy processes:

Fontana, Claudio ; Gnoatto, Alessandro ; Szulda, Guillaume
Stochastic Processes and their Applications. 163 (2023) - p. 323-349 , 2023

Link: https://doi.org/10.1016/..

5

Short Communication: Caplet Pricing in Affine Models for Al..:

Fontana, Claudio
SIAM Journal on Financial Mathematics. 14 (2023) 1 - p. SC1-SC16 , 2023

Link: https://doi.org/10.1137/..

6

A stochastic control perspective on term structure models w..:

Fontana, Claudio ; Pavarana, Simone ; Runggaldier, Wolfgang J.
Finance and Stochastics. 27 (2023) 4 - p. 903-932 , 2023

Link: https://doi.org/10.1007/..

7

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

Fontana, Claudio ; Gnoatto, Alessandro ; Szulda, Guillaume
Annals of Operations Research. 336 (2022) 1-2 - p. 127-152 , 2022

Link: https://doi.org/10.1007/..

8

Multiple yield curve modelling with CBI processes:

Fontana, Claudio ; Gnoatto, Alessandro ; Szulda, Guillaume
Mathematics and Financial Economics. 15 (2021) 3 - p. 579-610 , 2021

Link: https://doi.org/10.1007/..

9

Arbitrage concepts under trading restrictions in discrete-t..:

Fontana, Claudio ; Runggaldier, Wolfgang J.
Journal of Mathematical Economics. 92 (2021) - p. 66-80 , 2021

Link: https://doi.org/10.1016/..

10

Term structure modelling for multiple curves with stochasti..:

Fontana, Claudio ; Grbac, Zorana ; Gümbel, Sandrine.
Finance and Stochastics. 24 (2020) 2 - p. 465-511 , 2020

Link: https://doi.org/10.1007/..

11

The value of informational arbitrage:

Chau, Huy N. ; Cosso, Andrea ; Fontana, Claudio
Finance and Stochastics. 24 (2020) 2 - p. 277-307 , 2020

Link: https://doi.org/10.1007/..

12

A Smart Sensing Method for Real- Time Monitoring of Low Vol..:

, In: 2020 IEEE 20th Mediterranean Electrotechnical Conference ( MELECON),

Ala, Guido ; Artale, Giovanni ; Cataliotti, Antonio... - p. 512-516 , 2020

Link: https://doi.org/10.1109/..

13

ON THE EXISTENCE OF SURE PROFITS VIA FLASH STRATEGIES:

FONTANA, CLAUDIO ; PELGER, MARKUS ; PLATEN, ECKHARD
Journal of Applied Probability. 56 (2019) 2 - p. 384-397 , 2019

Link: https://www.jstor.org/st..

14

On the existence of sure profits via flash strategies:

Fontana, Claudio ; Pelger, Markus ; Platen, Eckhard
Journal of Applied Probability. 56 (2019) 2 - p. 384-397 , 2019

Link: https://doi.org/10.1017/..

15

Affine multiple yield curve models:

Cuchiero, Christa ; Fontana, Claudio ; Gnoatto, Alessandro
Mathematical Finance. 29 (2018) 2 - p. 568-611 , 2018

Link: https://doi.org/10.1111/..