no code implementations • 10 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.
no code implementations • 7 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).
no code implementations • 28 Jun 2020 • Claudio Fontana, Wolfgang J. Runggaldier
In a discrete-time setting, we study arbitrage concepts in the presence of convex trading constraints.
no code implementations • 4 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.
no code implementations • 2 Feb 2022 • Claudio Fontana, Zorana Grbac, Thorsten Schmidt
Overnight rates, such as the SOFR (Secured Overnight Financing Rate) in the US, are central to the current reform of interest rate benchmarks.
no code implementations • 18 Feb 2022 • Claudio Fontana
Alternative risk-free rates (RFRs) play a central role in the reform of interest rate benchmarks.
no code implementations • 22 Aug 2022 • Claudio Fontana, Francesco Rotondi
Adopting a Hull-White interest rate model, correlated with the equity fund, we propose an efficient tree-based algorithm.
no code implementations • 10 Apr 2023 • Claudio Fontana, Simone Pavarana, Wolfgang J. Runggaldier
In this paper, we consider a generic interest rate market in the presence of roll-over risk, which generates spreads in spot/forward term rates.
no code implementations • 2 Sep 2023 • Viviana Fanelli, Claudio Fontana, Francesco Rotondi
In this work, we study statistical arbitrage strategies in international crude oil futures markets.
no code implementations • 21 Jan 2024 • Claudio Fontana, Giacomo Lanaro, Agatha Murgoci
We study the problems of consistency and of the existence of finite-dimensional realizations for multi-curve interest rate models of Heath-Jarrow-Morton type, generalizing the geometric approach developed by T. Bj\"ork and co-authors in the classical single-curve setting.