Search Results for author: Claudio Fontana

Found 4 papers, 0 papers with code

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

no code implementations4 Dec 2021 Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda

We develop a stochastic volatility framework for modeling multiple currencies based on CBI-time-changed L\'evy processes.

Arbitrage concepts under trading restrictions in discrete-time financial markets

no code implementations28 Jun 2020 Claudio Fontana, Wolfgang J. Runggaldier

In a discrete-time setting, we study arbitrage concepts in the presence of convex trading constraints.

Portfolio Optimization

Multiple yield curve modelling with CBI processes

no code implementations7 Nov 2019 Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda

We develop a modelling framework for multiple yield curves driven by continuous-state branching processes with immigration (CBI processes).

Quantization

On the existence of sure profits via flash strategies

no code implementations10 Aug 2017 Claudio Fontana, Markus Pelger, Eckhard Platen

We introduce and study the notion of sure profit via flash strategy, consisting of a high-frequency limit of buy-and-hold trading strategies.

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