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
Ecole Polytechnique Fédérale de Lausanne
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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
Interbank risk, LIBOR, Swap market, Default risk, Liquidity
Volatility Prediction, Volatility Clustering, LSTM, Neural Networks, Regression Trees.
Swaps, Swaptions, Unspanned Factors, Zero Lower Bound
stochastic volatility, variance swap, quadratic term structure, quadratic jump-diffusion, dynamic optimal portfolio
yield curve estimation, U.S. Treasury securities, term structure of interest rates, nonparametric method, machine learning in finance, reproducing kernel Hilbert space
model uncertainty, scenario aggregation, expected shortfall, value-at-risk, statistical divergence, Swiss Solvency Test
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
dynamic portfolio valuation, kernel ridge regression, learning theory, reproducing kernel Hilbert space, portfolio risk management
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.
Dividend derivatives, interest rates, polynomial jump-diffusion, term structure, moment-based option pricing
dividend derivatives, interest rates, moment‐based option pricing, polynomial jump‐diffusion, term structure
affine process, stochastic correlation, term structure
Risk Shifting, Insurance, Regulation, Solvency II, Pareto Optimality
Option Pricing, Implied Volatility, Breeden-Litzenberger Equation, Volatility Surface, Information-Based Asset Pricing
Jacobi process, option pricing, polynomial model, stochastic volatility
credit default swap, credit derivatives, credit risk, polynomial model, survival process
collateralized debt obligations, single tranche CDO, variance-minimizing hedging
Polynomial Diffusions, Polynomial Diffusion Models in Finance, Stochastic Invariance, Boundary Attainment, Moment Problem
investor sentiment; event study; social media; micro-blogs; natural language processing
affine diffusion processes, affine transformations, diagonal diffusion matrices
asset-liability management, long-term insurance, valuation, insurance products, investments, models
affine term structure, collateralized debt obligations, loss process, single tranche CDO, term structure of forward spreads
Bootstrap, discount curve, forward curve, splines, term-structure estimation
Over the Counter Markets, Financial Network, Partial Multilateral Netting
Affine variance swap rate factor models, Variance swaps, VIX
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
Linearity-Generating Process, Linear-Rational Model, Long-Term Risk, State Price Density
Fed Funds Futures, Funding Costs, Unsecured Interbank Money Market
affine Gaussian processes, inflation-indexed bonds, no-arbitrage, pricing, hedging, market completeness
Greeks, Option Pricing, Orthogonal Polynomials, Parameter Sensitivity, Polynomial Diffusion Models, Stochastic Volatility
Greeks, option pricing, orthogonal polynomials, parameter sensitivity, polynomial diffusion models, stochastic volatility
Financial Network, Systemic Risk, Eiseberg Noe Model, Asset Price Contagion
collateralized debt obligations, single-tranche CDO, affine term-structure of credit spreads, catastrophic risk
polynomial jump-diffusions, affine jump-diffusions, polynomial transformations, conditional Lévy processes, Lévy time change, asset pricing models, stochastic volatility
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
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
Change of Numeraire, Solvency Capital Requirements
American swaption, swaption, swap, linear-rational term structure model, polynomial diffusion, optimal stopping, free-boundary problem, local time-space calculus, integral equation
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
dynamic portfolio valuation, ensemble learning, gradient boosting, random forest, regression trees, risk management, Bermudan options
single-tranche CDO, affine term-structure of credit spreads, catastrophic risk, variance minimizing hedge
Interest rate model, Nelson-Siegel family, consistent state space Ito process, inverse problem
incomplete bond markets, multifactor Cox–Ingersoll‐Ross model, unspanned stochastic volatility
Existence of equilibrium prices, monetary utility functions, Pareto optimal allocation, convex consumption constraints