Odyssea
Station 5
Lausanne, 1015
Switzerland
http://people.epfl.ch/damir.filipovic
c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
École Polytechnique Fédérale de Lausanne
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
Over the Counter Markets, Central Counterparty Clearing, Market Design, Financial Network, Contagion, Systemic Risk, Credit Default Swap Markets
Star-shaped Networks, Central Node, Market Design, Financial Network, Contagion, Systemic Risk, Credit Default Swap Markets
Volatility Prediction, Volatility Clustering, LSTM, Neural Networks, Regression Trees.
yield curve estimation, U.S. Treasury securities, term structure of interest rates, non-parametric method, machine learning in finance, reproducing kernel Hilbert space
Interbank risk, LIBOR, Swap market, Default risk, Liquidity
Swaps, Swaptions, Unspanned Factors, Zero Lower Bound
Term structure of interest rates, bond returns, factor space, U.S. Treasury securities, non-parametric method, principal components, machine learning in finance, reproducing kernel Hilbert space
stochastic volatility, variance swap, quadratic term structure, quadratic jump-diffusion, dynamic optimal portfolio
dynamic portfolio valuation, kernel ridge regression, learning theory, reproducing kernel Hilbert space, portfolio risk management
model uncertainty, scenario aggregation, expected shortfall, value-at-risk, statistical divergence, Swiss Solvency Test
Affine Diffusion Process, Exponential Moments, affine term structure models, Riccati Differential Equations
Affine Processes, Asymptotic Expansion, Density Approximation, Orthogonal Polynomials
Conditional risk measures, L0-modules, Lp type modules, Monotone hulls, Subcash invariant hulls, Cash invariant hulls
Asset-Liability Portfolio, Chaos Expansion, Replicating Portfolio, Solvency Capital
Affine, Girsanov, arbitrage, Feller
snowball floater, bermudan option, least squares Monte Carlo, nested Monte Carlo simulation
Solvency capital; dimensionality reduction; neural networks; nested Monte Carlo; replicating portfolios.
investor sentiment; event study; social media; micro-blogs; natural language processing
Dividend derivatives, interest rates, polynomial jump-diffusion, term structure, moment-based option pricing
affine process, stochastic correlation, term structure
Jacobi process, option pricing, polynomial model, stochastic volatility
asset-liability management, long-term insurance, valuation, insurance products, investments, models
Risk Shifting, Insurance, Regulation, Solvency II, Pareto Optimality
credit default swap, credit derivatives, credit risk, polynomial model, survival process
Polynomial Diffusions, Polynomial Diffusion Models in Finance, Stochastic Invariance, Boundary Attainment, Moment Problem
Option Pricing, Implied Volatility, Breeden-Litzenberger Equation, Volatility Surface, Information-Based Asset Pricing
collateralized debt obligations, single tranche CDO, variance-minimizing hedging
Bootstrap, discount curve, forward curve, splines, term-structure estimation
affine diffusion processes, affine transformations, diagonal diffusion matrices
affine term structure, collateralized debt obligations, loss process, single tranche CDO, term structure of forward spreads
Over the Counter Markets, Financial Network, Partial Multilateral Netting
Affine variance swap rate factor models, Variance swaps, VIX
Linearity-Generating Process, Linear-Rational Model, Long-Term Risk, State Price Density
Fed Funds Futures, Funding Costs, Unsecured Interbank Money Market
Greeks, Option Pricing, Orthogonal Polynomials, Parameter Sensitivity, Polynomial Diffusion Models, Stochastic Volatility
Financial Network, Systemic Risk, Eiseberg Noe Model, Asset Price Contagion
polynomial jump-diffusions, affine jump-diffusions, polynomial transformations, conditional Lévy processes, Lévy time change, asset pricing models, stochastic volatility
affine Gaussian processes, inflation-indexed bonds, no-arbitrage, pricing, hedging, market completeness
empirical asset pricing, Gaussian process regression, portfolio selection, ensemble learning, machine learning, firm characteristics
collateralized debt obligations, single-tranche CDO, affine term-structure of credit spreads, catastrophic risk
multi-factor Cox-Ingersoll-Ross model, unspanned stochastic volatility, incomplete bond markets
Pension funding gap, Demographic and societal challenges, Valuation of pension liabilities, Economic and regulatory capital models, Role of financial markets
Diversification, Risk Aggregation, Solvency II
dynamic portfolio valuation, ensemble learning, gradient boosting, random forest, regression trees, risk management, Bermudan options
Polynomial process; cubature rule; asymptotic moments; transition rate matrix; transition probabilities; American options
single-tranche CDO, affine term-structure of credit spreads, catastrophic risk, variance-minimizing hedge, regression-based hedge
energy prices, electricity markets, polynomial processes
Robust optimization, risk measurement, optimal transport
Monte Carlo, Monte Carlo under budget constraints, variance reduction, multi-asset options, Kaczmarz algorithm, weighted sampling, large-scale least-squares problems
discount, factor models, stochastic partial differential equation, term structure models, zero-coupon bonds
American swaption, swaption, swap, linear-rational term structure model, polynomial diffusion, optimal stopping, free-boundary problem, local time-space calculus, integral equation
Change of Numeraire, Solvency Capital Requirements
Yield curve estimation, Swiss government bond market, Smith–Wilson method, Swiss Solvency Test, Swiss National Bank, machine learning in finance, reproducing kernel Hilbert space
single-tranche CDO, affine term-structure of credit spreads, catastrophic risk, variance minimizing hedge
Existence of equilibrium prices, monetary utility functions, Pareto optimal allocation, convex consumption constraints