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Filipovic, Damir's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
4,775 |
Total
Citations
150 |
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1.
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Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne Trolle, Anders B.
Ecole Polytechnique Fédérale de Lausanne
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08 Sep 11
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Last Revised:
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15 May 13
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801
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2
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Interbank risk, LIBOR, Swap market, Default risk, Liquidity
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2.
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Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne Kupper, Michael
Humboldt University of Berlin - Department of Mathematics Vogelpoth, Nicolas
Vienna Institute of Finance
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01 Feb 11
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Last Revised:
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16 Feb 12
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439
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Conditional risk measures, L0-modules, Lp type modules, Monotone hulls, Subcash invariant hulls, Cash invariant hulls
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3.
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Cheridito, Patrick
Princeton University Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne Kimmel, Robert L.
Ohio State University (OSU) - Department of Finance
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416
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62
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Affine, Girsanov, arbitrage, Feller
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4.
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Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne Schmidt, Thorsten
Chemnitz University of Technology
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14 Sep 09
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Last Revised:
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06 Dec 09
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337
(42,104)
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1
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collateralized debt obligations, single tranche CDO, variance-minimizing hedging
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5.
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Cuchiero, Christa
affiliation not provided to SSRN Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne Mayerhofer, Eberhard
Deutsche Bundesbank, Research Centre Teichmann, Josef
Vienna University of Technology
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04 Oct 09
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Last Revised:
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08 Mar 11
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334
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7
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affine process, stochastic correlation, term structure
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6.
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Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne Mayerhofer, Eberhard
Deutsche Bundesbank, Research Centre
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333
(42,698)
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3
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Affine Diffusion Process, Exponential Moments, affine term structure models, Riccati Differential Equations
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7.
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Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne Mayerhofer, Eberhard
Deutsche Bundesbank, Research Centre Schneider, Paul
University of Lugano - Institute of Finance
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26 May 11
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Last Revised:
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17 Mar 13
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312
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Affine Processes, Asymptotic Expansion, Density Approximation, Orthogonal Polynomials
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8.
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Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne Hughston, L. P.
University of London - Department of Mathematics Macrina, Andrea
affiliation not provided to SSRN
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06 Nov 10
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Last Revised:
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09 Nov 11
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294
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Option Pricing, Implied Volatility, Breeden-Litzenberger Equation, Volatility Surface, Information-Based Asset Pricing
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9.
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Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne Kremslehner, Robert
Vienna University of Economics and Business Muermann, Alexander
Vienna University of Economics and Business
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291
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1
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Risk Shifting, Insurance, Regulation, Pareto Optimality
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10.
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Cheridito, Patrick
Princeton University Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne Kimmel, Robert L.
Ohio State University (OSU) - Department of Finance
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26 Feb 07
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Last Revised:
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27 Sep 10
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264
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7
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affine diffusion processes, affine transformations, diagonal diffusion matrices
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11.
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Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne Friewald, Nils
Vienna University of Economics and Business Pichler, Stefan
WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics
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255
(57,996)
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snowball floater, bermudan option, least squares Monte Carlo, nested Monte Carlo simulation
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12.
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Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne Overbeck, Ludger
University of Giessen Schmidt, Thorsten
Chemnitz University of Technology
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235
(63,386)
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2
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affine term structure, collateralized debt obligations, loss process, single tranche CDO, term structure of forward spreads
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13.
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Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
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03 Apr 12
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Last Revised:
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06 Jul 12
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159
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Affine variance swap rate factor models, Variance swaps, VIX
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14.
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Optimal Numeraires for Risk Measures
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Show Abstracts |
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Versions (2)
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hide multiple versions |
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Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
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Posted:
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14 Mar 07
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Last Revised:
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01 Oct 09
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91
(144,231)
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3
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Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
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5
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Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
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86
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3
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Change of Numeraire, Solvency Capital Requirements
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15.
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Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne Gourier, Elise
Swiss Finance Institute Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
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23 Mar 13
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Last Revised:
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14 May 13
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64
(179,478)
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variance swap, quadratic term structure model, dynamic optimal portfolio
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16.
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Eksi, Zehra
Vienna University of Economics and Business Administration-Institute for Statistics and Mathematics Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
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30 Mar 13
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Last Revised:
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10 Apr 13
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38
(224,307)
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collateralized debt obligations, single-tranche CDO, affine term-structure of credit spreads, catastrophic risk
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17.
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Chen, Li
Princeton University - Department of Electrical Engineering Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne Poor, H. Vincent
Princeton University - Department of Electrical Engineering
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33
(235,824)
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23
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18.
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Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
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23
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15
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Interest rate model, Nelson-Siegel family, consistent state space Ito process, inverse problem
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19.
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Eksi, Zehra
Vienna University of Economics and Business Administration-Institute for Statistics and Mathematics Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
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20
(275,477)
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single-tranche CDO, affine term-structure of credit spreads, catastrophic risk, variance-minimizing hedge, regression-based hedge
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20.
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Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
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17
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11
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21.
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Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne Kupper, Michael
Vienna Institute of Finance
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8
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5
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22.
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Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
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7
(320,004)
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Diversification, Risk Aggregation, Solvency II
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23.
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Cheridito, Patrick
Princeton University Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne Kimmel, Robert L.
Ohio State University (OSU) - Department of Finance
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2
(336,218)
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7
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24.
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Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
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2
(336,218)
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25.
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Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne Kupper, Michael
Vienna Institute of Finance
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Existence of equilibrium prices, monetary utility functions, Pareto optimal allocation, convex consumption constraints
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