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Filipović, Damir


 SSRN Author Rank: 2,719 by Downloads
 

Ecole Polytechnique Fédérale de Lausanne


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

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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. Filipović, Damir's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
8,807
Total
Citations
167
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 |
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:
18 May 15
1,236
(9,159)
3

2.  
Systemic Risk with Central Counterparty Clearing | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 13-34
Number of Pages in PDF File: 32
Amini, Hamed
Ecole Polytechnique Fédérale de Lausanne
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Minca, Andreea
Cornell University
Posted:
09 Jun 13
Last Revised:
08 Oct 14
908
(14,848)
2

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
Princeton University
Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
Posted:
23 Mar 13
Last Revised:
20 Dec 14
514
(33,341)
 

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
488
(35,671)
 

5.  
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Mayerhofer, Eberhard
Dublin City University
Posted:
22 Feb 09
482
(36,203)
4

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
Dublin City University
Schneider, Paul
University of Lugano - Institute of Finance
Posted:
26 May 11
Last Revised:
17 Mar 13
475
(36,905)
1

7.  
Cheridito, Patrick
Princeton University
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Kimmel, Robert L.
Ohio State University (OSU) - Department of Finance
Posted:
05 Apr 04
447
(39,879)
64

8.  
Linear-Rational Term Structure Models | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 14-15
Number of Pages in PDF File: 94
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:
05 Sep 14
420
(43,088)
1

9.  
Cuchiero, Christa
Independent
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Mayerhofer, Eberhard
Dublin City University
Teichmann, Josef
Vienna University of Technology
Posted:
04 Oct 09
Last Revised:
08 Mar 11
394
(46,625)
8

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
371
(50,203)
1

11.  
Model Uncertainty and Scenario Aggregation | Show Abstract | Download This Paper | Open PDF in Browser |
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 May 15
370
(50,380)
 

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
affiliation not provided to SSRN
Posted:
06 Nov 10
Last Revised:
09 Nov 11
355
(52,939)
 

13.  
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Schmidt, Thorsten
University of Freiburg
Posted:
14 Sep 09
Last Revised:
06 Dec 09
355
(52,939)
1

14.  
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Friewald, Nils
WU (Vienna University of Economics and Business)
Pichler, Stefan
WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics
Posted:
17 Aug 09
310
(62,095)
 

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
Princeton University
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
286
(67,944)
7

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
(69,608)
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
212
(93,239)
 

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
152
(127,480)
 

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
140
(136,689)
 

20.  
To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting | Show Abstract | Download This Paper | Open PDF in Browser |
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:
25 Jun 15
118
(155,649)
 

21.   Incl. Electronic Paper
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Posted:
14 Mar 07
Last Revised:
01 Oct 09
93
(184,178)
3

22.  
Fed Funds Futures Variance Futures | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 14-66
Number of Pages in PDF File: 22
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Trolle, Anders B.
Ecole Polytechnique Fédérale de Lausanne
Posted:
28 Nov 14
Last Revised:
18 May 15
91
(186,773)
 

23.  
Polynomial Preserving Diffusions and Applications in Finance | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 14-54
Number of Pages in PDF File: 42
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Larsson, Martin
ETH Zurich - Department of Mathematics
Posted:
15 Aug 14
Last Revised:
26 May 15
90
(188,093)
 

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
81
(200,965)
 

25.  
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
(304,085)
23

26.  
Uniqueness of Equilibrium in a Payment System with Liquidation Costs | Show Abstract | Download This Paper | Open PDF in Browser |
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:
09 Jul 15
30
(313,841)
 

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
(341,255)
16

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
21
(350,007)
 

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
(367,821)
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
(408,639)
5

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
Princeton University
Filipović, Damir
Ecole Polytechnique Fédérale de Lausanne
Kimmel, Robert L.
Ohio State University (OSU) - Department of Finance
Posted:
08 Jun 10
2
(436,624)
7

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
(436,624)
 

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
(445,700)
2

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
(445,700)
4

35.  
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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