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A stochastic control perspective on term structure models with roll-over risk
Fontana, Claudio; Pavarana, Simone; Runggaldier, Wolfgang J. - In: Finance and stochastics 27 (2023) 4, pp. 903-932
Persistent link: https://www.econbiz.de/10014426396
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On arbitrages arising with honest times
Fontana, Claudio; Jeanblanc, Monique; Song, Shiqi - In: Finance and stochastics 18 (2014) 3, pp. 515-543
Persistent link: https://www.econbiz.de/10010396032
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An Italian perspective on the development of financial mathematics from 1992 to 2008
Runggaldier, Wolfgang J. - In: Finance and stochastics 26 (2022) 1, pp. 5-31
Persistent link: https://www.econbiz.de/10012796465
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A general HJM framework for multiple yield curve modelling
Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro - In: Finance and stochastics 20 (2016) 2, pp. 267-320
Persistent link: https://www.econbiz.de/10011470672
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The value of informational arbitrage
Chau, Huy N.; Cosso, Andrea; Fontana, Claudio - In: Finance and stochastics 24 (2020) 2, pp. 277-307
Persistent link: https://www.econbiz.de/10012253351
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Term structure modelling for multiple curves with stochastic discontinuities
Fontana, Claudio; Grbac, Zorana; Gümbel, Sandrine; … - In: Finance and stochastics 24 (2020) 2, pp. 465-511
Persistent link: https://www.econbiz.de/10012253393
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Pricing credit derivatives under incomplete information : a nonlinear-filtering approach
Frey, Rüdiger; Runggaldier, Wolfgang J. - In: Finance and stochastics 14 (2010) 4, pp. 495-526
Persistent link: https://www.econbiz.de/10008823701