Search Results for author: Claudio Fontana

Found 10 papers, 0 papers with code

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.

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

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

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.

Term structure modelling with overnight rates beyond stochastic continuity

no code implementations2 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.

Caplet pricing in affine models for alternative risk-free rates

no code implementations18 Feb 2022 Claudio Fontana

Alternative risk-free rates (RFRs) play a central role in the reform of interest rate benchmarks.

Valuation of general GMWB annuities in a low interest rate environment

no code implementations22 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.

Management

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

no code implementations10 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.

The geometry of multi-curve interest rate models

no code implementations21 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.

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