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Damir Filipović

SSRN Author Rank: 2,293 by Downloads and 3,382 by Citations

 

Ecole Polytechnique Fédérale de Lausanne


 Odyssea
 Station 5
 Lausanne, 1015
 Switzerland
 HOME PAGE: http://people.epfl.ch/damir.filipovic
 email address
 

Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute


 c/o University of Geneve
 40, Bd du Pont-d'Arve
 1211 Geneva, CH-6900
 Switzerland
 email address


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. Damir Filipović's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
11,122
Total
Citations
158
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
The Term Structure of Interbank Risk | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Financial Economics, vol. 109, no. 4, p. 707-733, 2013, Swiss Finance Institute Research Paper No. 11-34
Number of Pages in PDF File: 98
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Trolle, Anders B.
Ecole Polytechnique Fédérale de Lausanne
Posted:
08 Sep 11
Last Revised:
11 Feb 16
1,328
(9,567)
3

2.  
Systemic Risk and Central Clearing Counterparty Design | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 13-34
Number of Pages in PDF File: 52
Amini, Hamed
Ecole Polytechnique Fédérale de Lausanne
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Minca, Andreea
Cornell University
Posted:
09 Jun 13
Last Revised:
04 Sep 15
962
(10,713)
1

3.  
Quadratic Variance Swap Models | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Financial Economics, Forthcoming
Number of Pages in PDF File: 77
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Gourier, Elise
Queen Mary, University of London
Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
Posted:
23 Mar 13
Last Revised:
20 Dec 14
551
(24,701)
1

4.  
Approaches to Conditional Risk | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 11-02
Number of Pages in PDF File: 36
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Kupper, Michael
Humboldt University of Berlin - Department of Mathematics
Vogelpoth, Nicolas
Vienna Institute of Finance
Posted:
01 Feb 11
Last Revised:
16 Feb 12
519
(37,996)
 

5.  
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Mayerhofer, Eberhard
University of Limerick - Department of Mathematics and Statistics
Posted:
22 Feb 09
490
(35,949)
3

6.  
Density Approximations for Multivariate Affine Jump-Diffusion Processes | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 11-20
Number of Pages in PDF File: 42
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Mayerhofer, Eberhard
University of Limerick - Department of Mathematics and Statistics
Schneider, Paul
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Posted:
26 May 11
Last Revised:
17 Mar 13
482
(38,287)
1

7.  
Cheridito, Patrick
ETH Zurich
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Kimmel, Robert L.
Ohio State University (OSU) - Department of Finance
Posted:
05 Apr 04
453
(44,023)
62

8.  
Linear-Rational Term Structure Models | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 14-15
Number of Pages in PDF File: 118
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Larsson, Martin
ETH Zurich - Department of Mathematics
Trolle, Anders B.
Ecole Polytechnique Fédérale de Lausanne
Posted:
28 Feb 14
Last Revised:
24 Mar 16
443
(19,858)
1

9.  
Cuchiero, Christa
Independent
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Mayerhofer, Eberhard
University of Limerick - Department of Mathematics and Statistics
Teichmann, Josef
Vienna University of Technology
Posted:
04 Oct 09
Last Revised:
08 Mar 11
397
(49,732)
6

10.   Incl. Electronic Paper
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Kremslehner, Robert
Vienna University of Economics and Business - Department of Accounting and Finance
Muermann, Alexander
WU (Vienna University of Economics and Business)
Posted:
03 Sep 09
Last Revised:
14 May 15
393
(53,762)
 

11.  
Model Uncertainty and Scenario Aggregation | Show Abstract | Download This Paper | Open PDF in Browser |
Mathematical Finance, Forthcoming, Swiss Finance Institute Research Paper No. 14-38
Number of Pages in PDF File: 34
Cambou, Mathieu
Ecole Polytechnique Fédérale de Lausanne
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Posted:
25 May 14
Last Revised:
28 Nov 15
391
(41,298)
 

12.  
Conditional Density Models for Asset Pricing | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 10-44
Number of Pages in PDF File: 23
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Hughston, L. P.
University of London - Department of Mathematics
Macrina, Andrea
University College London
Posted:
06 Nov 10
Last Revised:
09 Nov 11
356
(58,329)
 

13.  
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Schmidt, Thorsten
University of Freiburg
Posted:
14 Sep 09
Last Revised:
06 Dec 09
356
(59,070)
1

14.  
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Friewald, Nils
Norwegian School of Economics (NHH)
Pichler, Stefan
WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics
Posted:
17 Aug 09
311
(65,752)
 

15.  
A Note on the Dai-Singleton Canonical Representation of Affine Term Structure Models | Show Abstract | Download This Paper | Open PDF in Browser |
Fisher College of Business Working Paper No. 2007-03-005, Charles A. Dice Working Paper No. 2007-2
Number of Pages in PDF File: 11
Cheridito, Patrick
ETH Zurich
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Kimmel, Robert L.
Ohio State University (OSU) - Department of Finance
Posted:
26 Feb 07
Last Revised:
27 Sep 10
288
(75,325)
6

16.  
Dynamic CDO Term Structure Modelling | Show Abstract | Download This Paper | Open PDF in Browser |
Mathematical Finance, Forthcoming
Number of Pages in PDF File: 21
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Overbeck, Ludger
University of Giessen
Schmidt, Thorsten
University of Freiburg
Posted:
09 Jul 09
281
(75,846)
2

17.  
Affine Variance Swap Curve Models | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 12-14
Number of Pages in PDF File: 13
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Posted:
03 Apr 12
Last Revised:
06 Jul 12
213
(100,216)
 

18.  
Eksi, Zehra
Vienna University of Economics and Business Administration-Institute for Statistics and Mathematics
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Posted:
30 Mar 13
Last Revised:
10 Apr 13
153
(133,617)
 

19.  
Pricing and Hedging of Inflation-Indexed Bonds in an Affine Framework | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 13-54
Number of Pages in PDF File: 21
Eksi, Zehra
Vienna University of Economics and Business Administration-Institute for Statistics and Mathematics
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Posted:
19 Oct 13
144
(135,059)
 

20.  
To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting | Show Abstract | Download This Paper | Open PDF in Browser |
Operations Research, Forthcoming, Swiss Finance Institute Research Paper No. 14-63
Number of Pages in PDF File: 22
Amini, Hamed
Ecole Polytechnique Fédérale de Lausanne
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Minca, Andreea
Cornell University
Posted:
01 Nov 14
Last Revised:
18 Jan 16
130
(119,759)
 

21.  
Fed Funds Futures Variance Futures | Show Abstract | Download This Paper | Open PDF in Browser |
Quantitative Finance, Forthcoming, Swiss Finance Institute Research Paper No. 14-66
Number of Pages in PDF File: 24
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Trolle, Anders B.
Ecole Polytechnique Fédérale de Lausanne
Posted:
28 Nov 14
Last Revised:
09 Mar 16
103
(131,459)
 

22.  
Polynomial Diffusions and Applications in Finance | Show Abstract | Download This Paper | Open PDF in Browser |
Finance and Stochastics, Forthcoming, Swiss Finance Institute Research Paper No. 14-54
Number of Pages in PDF File: 43
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Larsson, Martin
ETH Zurich - Department of Mathematics
Posted:
15 Aug 14
Last Revised:
14 Mar 16
100
(114,152)
 

23.   Incl. Electronic Paper
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Posted:
14 Mar 07
Last Revised:
22 Jun 16
95
(204,561)
3

24.  
On Dynamic Hedging of Single-Tranche Collateralized Debt Obligations | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 13-18
Number of Pages in PDF File: 31
Eksi, Zehra
Vienna University of Economics and Business Administration-Institute for Statistics and Mathematics
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Posted:
12 Apr 13
82
(211,877)
 

25.  
Uniqueness of Equilibrium in a Payment System with Liquidation Costs | Show Abstract | Download This Paper | Open PDF in Browser |
Operations Research Letters, Forthcoming, Swiss Finance Institute Research Paper No. 15-20
Number of Pages in PDF File: 11
Amini, Hamed
Ecole Polytechnique Fédérale de Lausanne
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Minca, Andreea
Cornell University
Posted:
18 Jun 15
Last Revised:
18 Jan 16
42
(183,500)
 

26.  
Quadratic Term Structure Models for Risk-Free and Defaultable Rates | Show Abstract | Add to Cart |
Mathematical Finance, Vol. 14, No. 4, pp. 515-536, October 2004
Number of Pages in PDF File: 22
Chen, Li
Princeton University - Department of Electrical Engineering
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Poor, H. Vincent
Princeton University - Department of Electrical Engineering
Posted:
21 Sep 04
33
(340,693)
22

27.  
A Note on the Nelson-Siegel Family | Show Abstract | Add to Cart |
Mathematical Finance, Vol. 9, pp. 349-359, October 1999
Number of Pages in PDF File: 11
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Posted:
17 Jun 04
23
(381,372)
15

28.  
Multi-Level Risk Aggregation | Show Abstract | Download This Paper | Open PDF in Browser |
ASTIN Bulletin, Forthcoming
Number of Pages in PDF File: 11
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Posted:
09 Jul 09
22
(264,649)
 

29.  
Separable Term Structures and the Maximal Degree Problem | Show Abstract | Add to Cart |
Mathematical Finance, Vol. 12, pp. 341-349, 2002
Number of Pages in PDF File: 9
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Posted:
07 Feb 03
17
(410,131)
12

30.  
Optimal Capital and Risk Transfers for Group Diversification | Show Abstract | Add to Cart |
Mathematical Finance, Vol. 18, Issue 1, pp. 55-76, January 2008
Number of Pages in PDF File: 22
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Kupper, Michael
Vienna Institute of Finance
Posted:
19 Dec 07
8
(454,436)
4

31.  
A Note on the Dai–Singleton Canonical Representation of Affine Term Structure Models | Show Abstract | Add to Cart |
Mathematical Finance, Vol. 20, Issue 3, pp. 509-519, July 2010
Number of Pages in PDF File: 11
Cheridito, Patrick
ETH Zurich
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Kimmel, Robert L.
Ohio State University (OSU) - Department of Finance
Posted:
08 Jun 10
2
(485,043)
6

32.  
Consistent Market Extensions under the Benchmark Approach | Show Abstract | Add to Cart |
Mathematical Finance, Vol. 19, Issue 1, pp. 41-52, January 2009
Number of Pages in PDF File: 12
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Posted:
17 Jan 09
2
(485,043)
 

33.  
The Canonical Model Space for Law‐Invariant Convex Risk Measures is L | Show Abstract | Add to Cart |
Mathematical Finance, Vol. 22, Issue 3, pp. 585-589, 2012
Number of Pages in PDF File: 5
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Svindland, Gregor
Ludwig Maximilian University of Munich
Posted:
08 Jun 12
1
(494,621)
3

34.  
Dynamic CDO Term Structure Modeling | Show Abstract | Add to Cart |
Mathematical Finance, Vol. 21, Issue 1, pp. 53-71, 2010
Number of Pages in PDF File: 19
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Overbeck, Ludger
University of Giessen
Schmidt, Thorsten
University of Freiburg
Posted:
30 Dec 10
1
(494,621)
4

35.  
On the American Swaption in the Linear-Rational Framework | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 16-44
Number of Pages in PDF File: 22
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Kitapbayev, Yerkin
Boston University - Questrom School of Business
Posted:
08 Jul 16
Last Revised:
12 Jul 16
0
(395,657)
 

36.  
Exact Smooth Term Structure Estimation | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 16-38
Number of Pages in PDF File: 28
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Willems, Sander
Ecole Polytechnique Fédérale de Lausanne
Posted:
14 Jun 16
0
(330,727)
 

37.  
Linear Credit Risk Models | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 16-34
Number of Pages in PDF File: 45
Ackerer, Damien
Ecole Polytechnique Fédérale de Lausanne
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Posted:
21 May 16
Last Revised:
01 Jun 16
0
(174,357)
 

38.  
The Jacobi Stochastic Volatility Model | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 16-35
Number of Pages in PDF File: 45
Ackerer, Damien
Ecole Polytechnique Fédérale de Lausanne
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Pulido, Sergio
Laboratoire de Mathématiques et Modélisation d'Évry (LaMME); Université d'Évry-Val-d'Essonne, ENSIIE, UMR CNRS 8071
Posted:
21 May 16
Last Revised:
17 Jun 16
0
(179,992)
 

39.  
Replicating Portfolio Approach to Capital Calculation | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 16-25
Number of Pages in PDF File: 32
Cambou, Mathieu
Ecole Polytechnique Fédérale de Lausanne
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Posted:
13 Apr 16
Last Revised:
10 May 16
0
(181,159)
 

40.  
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Larsson, Martin
ETH Zurich - Department of Mathematics
Trolle, Anders B.
Ecole Polytechnique Fédérale de Lausanne
Posted:
24 Mar 16
0
(236,662)
 

41.  
Equilibrium Prices for Monetary Utility Functions | Show Abstract |
International Journal of Theoretical and Applied Finance, Vol. 11, No. 3, pp. 325-343, 2008
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Kupper, Michael
Vienna Institute of Finance
Posted:
02 Dec 09
 


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