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Filipovic, Damir


 SSRN Author Rank: 2,882 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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. Filipovic, Damir's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
8,085
Total
Citations
161
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 |
Swiss Finance Institute Research Paper No. 11-34
Number of Pages in PDF File: 98
Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
Trolle, Anders B.
Ecole Polytechnique Fédérale de Lausanne
Posted:
08 Sep 11
Last Revised:
15 May 13
1,193
(9,208)
3

2.  
Systemic Risk with Central Counterparty Clearing | Show Abstract | Download This Paper |
Swiss Finance Institute Research Paper No. 13-34
Number of Pages in PDF File: 32
Amini, Hamed
Ecole Polytechnique Fédérale de Lausanne
Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
Minca, Andreea
Cornell University
Posted:
09 Jun 13
Last Revised:
08 Oct 14
790
(17,416)
2

3.  
Approaches to Conditional Risk | Show Abstract | Download This Paper |
Swiss Finance Institute Research Paper No. 11-02
Number of Pages in PDF File: 36
Filipovic, 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
480
(34,663)
 

4.  
Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
Mayerhofer, Eberhard
Dublin City University
Posted:
22 Feb 09
451
(37,605)
4

5.  
Density Approximations for Multivariate Affine Jump-Diffusion Processes | Show Abstract | Download This Paper |
Swiss Finance Institute Research Paper No. 11-20
Number of Pages in PDF File: 42
Filipovic, 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
450
(37,698)
1

6.  
Cheridito, Patrick
Princeton University
Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
Kimmel, Robert L.
Ohio State University (OSU) - Department of Finance
Posted:
05 Apr 04
445
(38,231)
64

7.  
Quadratic Variance Swap Models | Show Abstract | Download This Paper |
Journal of Financial Economics, Forthcoming
Number of Pages in PDF File: 77
Filipovic, 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
406
(42,900)
 

8.  
Cuchiero, Christa
Independent
Filipovic, 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
383
(46,020)
8

9.  
Optimal Investment and Premium Policies under Risk Shifting and Solvency Regulation | Show Abstract | Download This Paper |
Swiss Finance Institute Research Paper No. 11-11
Number of Pages in PDF File: 39
Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
Kremslehner, Robert
Vienna University of Economics and Business
Muermann, Alexander
WU (Vienna University of Economics and Business)
Posted:
03 Sep 09
Last Revised:
22 Aug 13
362
(49,262)
1

10.  
Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
Schmidt, Thorsten
Chemnitz University of Technology
Posted:
14 Sep 09
Last Revised:
06 Dec 09
354
(50,646)
1

11.  
Conditional Density Models for Asset Pricing | Show Abstract | Download This Paper |
Swiss Finance Institute Research Paper No. 10-44
Number of Pages in PDF File: 23
Filipovic, 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
346
(52,104)
 

12.  
Linear-Rational Term Structure Models | Show Abstract | Download This Paper |
Swiss Finance Institute Research Paper No. 14-15
Number of Pages in PDF File: 94
Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
Larsson, Martin
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Trolle, Anders B.
Ecole Polytechnique Fédérale de Lausanne
Posted:
28 Feb 14
Last Revised:
05 Sep 14
328
(55,483)
1

13.  
An Empirical Analysis of Valuation Algorithms for Pricing Callable Snowball Floaters | Show Abstract | Download This Paper |
22nd Australasian Finance and Banking Conference 2009
Number of Pages in PDF File: 28
Filipovic, 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
301
(61,339)
 

14.  
Model Uncertainty and Scenario Aggregation | Show Abstract | Download This Paper |
Swiss Finance Institute Research Paper No. 14-38
Number of Pages in PDF File: 34
Cambou, Mathieu
Ecole Polytechnique Fédérale de Lausanne
Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
Posted:
25 May 14
Last Revised:
07 Feb 15
295
(62,738)
 

15.  
A Note on the Dai-Singleton Canonical Representation of Affine Term Structure Models | Show Abstract | Download This Paper |
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
Filipovic, 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
283
(65,745)
7

16.  
Dynamic CDO Term Structure Modelling | Show Abstract | Download This Paper |
Mathematical Finance, Forthcoming
Number of Pages in PDF File: 21
Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
Overbeck, Ludger
University of Giessen
Schmidt, Thorsten
Chemnitz University of Technology
Posted:
09 Jul 09
274
(68,135)
2

17.  
Affine Variance Swap Curve Models | Show Abstract | Download This Paper |
Swiss Finance Institute Research Paper No. 12-14
Number of Pages in PDF File: 13
Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
Posted:
03 Apr 12
Last Revised:
06 Jul 12
210
(90,043)
 

18.  
A Dynamic Affine Factor Model for the Pricing of Collateralized Debt Obligations | Show Abstract | Download This Paper |
Swiss Finance Institute Research Paper No. 13-09
Number of Pages in PDF File: 30
Eksi, Zehra
Vienna University of Economics and Business Administration-Institute for Statistics and Mathematics
Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
Posted:
30 Mar 13
Last Revised:
10 Apr 13
143
(128,126)
 

19.  
Pricing and Hedging of Inflation-Indexed Bonds in an Affine Framework | Show Abstract | Download This Paper |
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
Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
Posted:
19 Oct 13
121
(146,554)
 

20.   Incl. Electronic Paper
Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
Posted:
14 Mar 07
Last Revised:
01 Oct 09
93
(176,922)
3

21.  
To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting | Show Abstract | Download This Paper |
Swiss Finance Institute Research Paper No. 14-63
Number of Pages in PDF File: 18
Amini, Hamed
Ecole Polytechnique Fédérale de Lausanne
Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
Minca, Andreea
Cornell University
Posted:
01 Nov 14
84
(188,716)
 

22.  
On Dynamic Hedging of Single-Tranche Collateralized Debt Obligations | Show Abstract | Download This Paper |
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
Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
Posted:
12 Apr 13
78
(197,391)
 

23.  
Polynomial Preserving Diffusions and Applications in Finance | Show Abstract | Download This Paper |
Swiss Finance Institute Research Paper No. 14-54
Number of Pages in PDF File: 48
Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
Larsson, Martin
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Posted:
15 Aug 14
63
(222,418)
 

24.  
Fed Funds Futures Variance Futures | Show Abstract | Download This Paper |
Swiss Finance Institute Research Paper No. 14-66
Number of Pages in PDF File: 24
Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
Trolle, Anders B.
Ecole Polytechnique Fédérale de Lausanne
Posted:
28 Nov 14
54
(240,206)
 

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
Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
Poor, H. Vincent
Princeton University - Department of Electrical Engineering
Posted:
21 Sep 04
33
(292,299)
23

26.  
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
Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
Posted:
17 Jun 04
23
(328,321)
16

27.  
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
Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
Posted:
07 Feb 03
17
(354,392)
12

28.  
Multi-Level Risk Aggregation | Show Abstract | Download This Paper |
ASTIN Bulletin, Forthcoming
Number of Pages in PDF File: 11
Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
Posted:
09 Jul 09
13
(372,235)
 

29.  
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
Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
Kupper, Michael
Vienna Institute of Finance
Posted:
19 Dec 07
8
(394,417)
5

30.  
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
Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
Kimmel, Robert L.
Ohio State University (OSU) - Department of Finance
Posted:
08 Jun 10
2
(421,647)
7

31.  
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
Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
Posted:
17 Jan 09
2
(421,647)
 

32.  
Equilibrium Prices for Monetary Utility Functions | Show Abstract |
International Journal of Theoretical and Applied Finance, Vol. 11, No. 3, pp. 325-343, 2008
Filipovic, Damir
Ecole Polytechnique Fédérale de Lausanne
Kupper, Michael
Vienna Institute of Finance
Posted:
02 Dec 09
 


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