Damir Filipović

École Polytechnique Fédérale de Lausanne (EPFL)

Odyssea

Station 5

Lausanne, 1015

Switzerland

http://people.epfl.ch/damir.filipovic

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

  • École Polytechnique Fédérale de Lausanne (EPFL)

SCHOLARLY PAPERS

59

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367

Scholarly Papers (59)

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1.

Machine Learning for Predicting Stock Return Volatility

Swiss Finance Institute Research Paper No. 21-95
Number of pages: 63 Posted: 30 Dec 2021
Damir Filipović and Amir Khalilzadeh
École Polytechnique Fédérale de Lausanne (EPFL) and École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 2,671 (10,607)
Citation 3

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Volatility Prediction, Volatility Clustering, LSTM, Neural Networks, Regression Trees.

2.

Stripping the Discount Curve — a Robust Machine Learning Approach

Swiss Finance Institute Research Paper No. 22-24, Forthcoming, Management Science
Number of pages: 101 Posted: 15 Mar 2022 Last Revised: 08 Nov 2024
Damir Filipović, Markus Pelger and Ye Ye
École Polytechnique Fédérale de Lausanne (EPFL), Stanford University - Department of Management Science & Engineering and Stanford University
Downloads 2,648 (10,731)
Citation 5

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yield curve estimation, U.S. Treasury securities, term structure of interest rates, non-parametric method, machine learning in finance, reproducing kernel Hilbert space

3.

Systemic Risk and Central Clearing Counterparty Design

Downloads 2,354 (12,916)
Citation 17

Systemic Risk and Central Clearing Counterparty Design

Swiss Finance Institute Research Paper No. 13-34
Number of pages: 46 Posted: 09 Jun 2013 Last Revised: 01 Mar 2017
Hamed Amini, Damir Filipović and Andreea Minca
University of Florida - Department of Industrial and Systems Engineering, École Polytechnique Fédérale de Lausanne (EPFL) and Cornell University
Downloads 2,153 (14,623)
Citation 13

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Over the Counter Markets, Central Counterparty Clearing, Market Design, Financial Network, Contagion, Systemic Risk, Credit Default Swap Markets

Systemic Risk in Networks with a Central Node

Forthcoming, SIAM Journal on Financial Mathematics, Swiss Finance Institute Research Paper No. 20-04
Number of pages: 43 Posted: 24 Jan 2020
Hamed Amini, Damir Filipović and Andreea Minca
University of Florida - Department of Industrial and Systems Engineering, École Polytechnique Fédérale de Lausanne (EPFL) and Cornell University
Downloads 201 (306,362)
Citation 4

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Star-shaped Networks, Central Node, Market Design, Financial Network, Contagion, Systemic Risk, Credit Default Swap Markets

4.

The Term Structure of Interbank Risk

Journal of Financial Economics, vol. 109, no. 4, p. 707-733, 2013, Swiss Finance Institute Research Paper No. 11-34
Number of pages: 98 Posted: 08 Sep 2011 Last Revised: 11 Feb 2016
Damir Filipović and Anders B. Trolle
École Polytechnique Fédérale de Lausanne (EPFL) and Copenhagen Business School
Downloads 1,812 (19,603)
Citation 34

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Interbank risk, LIBOR, Swap market, Default risk, Liquidity

5.

Linear-Rational Term Structure Models

Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 14-15
Number of pages: 120 Posted: 28 Feb 2014 Last Revised: 20 Nov 2016
Damir Filipović, Martin Larsson and Anders B. Trolle
École Polytechnique Fédérale de Lausanne (EPFL), ETH Zürich - Department of Mathematics and Copenhagen Business School
Downloads 1,688 (21,864)
Citation 20

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Swaps, Swaptions, Unspanned Factors, Zero Lower Bound

6.

Shrinking the Term Structure

Downloads 1,678 (22,155)
Citation 2

Shrinking the Term Structure

Swiss Finance Institute Research Paper No. 22-61
Number of pages: 82 Posted: 08 Aug 2022 Last Revised: 09 Aug 2024
Damir Filipović, Markus Pelger and Ye Ye
École Polytechnique Fédérale de Lausanne (EPFL), Stanford University - Department of Management Science & Engineering and Stanford University
Downloads 1,667 (21,932)
Citation 2

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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

Shrinking the Term Structure

NBER Working Paper No. w32472
Number of pages: 66 Posted: 21 May 2024
Damir Filipović, Markus Pelger and Ye Ye
École Polytechnique Fédérale de Lausanne (EPFL), Stanford University - Department of Management Science & Engineering and Stanford University
Downloads 11 (1,205,017)
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7.

Quadratic Variance Swap Models

Journal of Financial Economics, Forthcoming
Number of pages: 77 Posted: 23 Mar 2013 Last Revised: 20 Dec 2014
Damir Filipović, Elise Gourier and Loriano Mancini
École Polytechnique Fédérale de Lausanne (EPFL), ESSEC Business School and Università della Svizzera italiana (USI Lugano)
Downloads 1,080 (42,312)
Citation 11

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stochastic volatility, variance swap, quadratic term structure, quadratic jump-diffusion, dynamic optimal portfolio

8.

Machine Learning With Kernels for Portfolio Valuation and Risk Management

Swiss Finance Institute Research Paper No. 19-34, Finance and Stochastics, forthcoming
Number of pages: 40 Posted: 18 Jun 2019 Last Revised: 10 Aug 2021
Lotfi Boudabsa and Damir Filipović
École Polytechnique Fédérale de Lausanne (EPFL) - School of Basic Sciences and École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 868 (57,312)
Citation 1

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dynamic portfolio valuation, kernel ridge regression, learning theory, reproducing kernel Hilbert space, portfolio risk management

9.

Affine Diffusion Processes: Theory and Applications

Number of pages: 30 Posted: 22 Feb 2009
Damir Filipović and Eberhard Mayerhofer
École Polytechnique Fédérale de Lausanne (EPFL) and University of Limerick - Department of Mathematics and Statistics
Downloads 788 (65,273)
Citation 19

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Affine Diffusion Process, Exponential Moments, affine term structure models, Riccati Differential Equations

10.

Model Uncertainty and Scenario Aggregation

Mathematical Finance, Forthcoming, Swiss Finance Institute Research Paper No. 14-38
Number of pages: 34 Posted: 25 May 2014 Last Revised: 28 Nov 2015
Mathieu Cambou and Damir Filipović
École Polytechnique Fédérale de Lausanne (EPFL) and École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 787 (65,373)
Citation 7

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model uncertainty, scenario aggregation, expected shortfall, value-at-risk, statistical divergence, Swiss Solvency Test

11.

Approaches to Conditional Risk

Swiss Finance Institute Research Paper No. 11-02
Number of pages: 36 Posted: 01 Feb 2011 Last Revised: 16 Feb 2012
Damir Filipović, Michael Kupper and Nicolas Vogelpoth
École Polytechnique Fédérale de Lausanne (EPFL), Humboldt University of Berlin - Department of Mathematics and Vienna Institute of Finance
Downloads 726 (72,731)
Citation 1

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Conditional risk measures, L0-modules, Lp type modules, Monotone hulls, Subcash invariant hulls, Cash invariant hulls

12.

Density Approximations for Multivariate Affine Jump-Diffusion Processes

Swiss Finance Institute Research Paper No. 11-20
Number of pages: 42 Posted: 26 May 2011 Last Revised: 17 Mar 2013
Damir Filipović, Eberhard Mayerhofer and Paul Schneider
École Polytechnique Fédérale de Lausanne (EPFL), University of Limerick - Department of Mathematics and Statistics and University of Lugano - Institute of Finance
Downloads 702 (75,965)
Citation 17

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Affine Processes, Asymptotic Expansion, Density Approximation, Orthogonal Polynomials

13.

A Machine Learning Approach to Portfolio Pricing and Risk Management for High-Dimensional Problems

Swiss Finance Institute Research Paper No. 20-28, Mathematical Finance, forthcoming
Number of pages: 45 Posted: 02 May 2020 Last Revised: 01 Apr 2022
Lucio Fernandez Arjona and Damir Filipović
Zurich Insurance Group and École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 645 (84,488)
Citation 1

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Solvency capital; dimensionality reduction; neural networks; nested Monte Carlo; replicating portfolios.

14.

StockTwits Classified Sentiment and Stock Returns

Swiss Finance Institute Research Paper No. 21-33, Digital Finance, Forthcoming
Number of pages: 42 Posted: 27 Aug 2020 Last Revised: 29 Nov 2023
Marc-Aurèle Divernois and Damir Filipović
EPFL and École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 636 (86,075)

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investor sentiment; event study; social media; micro-blogs; natural language processing

15.

Replicating Portfolio Approach to Capital Calculation

Finance Stochastics, Forthcoming, Swiss Finance Institute Research Paper No. 16-25
Number of pages: 32 Posted: 13 Apr 2016 Last Revised: 21 Oct 2017
Mathieu Cambou and Damir Filipović
École Polytechnique Fédérale de Lausanne (EPFL) and École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 628 (87,484)
Citation 2

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Asset-Liability Portfolio, Chaos Expansion, Replicating Portfolio, Solvency Capital

16.

Market Price of Risk Specifications for Affine Models: Theory and Evidence

Number of pages: 39 Posted: 05 Apr 2004
Patrick Cheridito, Damir Filipović and Robert L. Kimmel
ETH Zurich, École Polytechnique Fédérale de Lausanne (EPFL) and Independent
Downloads 613 (90,233)
Citation 102

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Affine, Girsanov, arbitrage, Feller

17.

An Empirical Analysis of Valuation Algorithms for Pricing Callable Snowball Floaters

22nd Australasian Finance and Banking Conference 2009
Number of pages: 28 Posted: 17 Aug 2009
Damir Filipović, Nils Friewald and Stefan Pichler
École Polytechnique Fédérale de Lausanne (EPFL), NHH Norwegian School of Economics and WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics
Downloads 611 (90,605)

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snowball floater, bermudan option, least squares Monte Carlo, nested Monte Carlo simulation

18.

A Term Structure Model for Dividends and Interest Rates

Swiss Finance Institute Research Paper No. 17-52, Forthcoming in Mathematical Finance
Number of pages: 40 Posted: 14 Aug 2017 Last Revised: 26 May 2020
Damir Filipović and Sander Willems
École Polytechnique Fédérale de Lausanne (EPFL) and École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 595 (93,728)
Citation 1

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Dividend derivatives, interest rates, polynomial jump-diffusion, term structure, moment-based option pricing

19.

Asset-Liability Management for Long-Term Insurance Business

Swiss Finance Institute Research Paper No. 17-69
Number of pages: 18 Posted: 21 Dec 2017 Last Revised: 09 Jan 2018
Hansjoerg Albrecher, Daniel Bauer, Paul Embrechts, Damir Filipović, Pablo Koch-Medina, Ralf Korn, Stéphane Loisel, Antoon Pelsser, Frank Schiller, Hato Schmeiser and Joël Wagner
University of Lausanne, University of Wisconsin-Madison, Swiss Federal Institute of Technology Zurich, École Polytechnique Fédérale de Lausanne (EPFL), University of Zurich - Department Finance, University of Kaiserslautern - Department of Mathematics, University of Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA), Maastricht University, MunichRe, University of Münster - Faculty of Economics and University of Lausanne - Department of Actuarial Science (HEC Lausanne)
Downloads 533 (107,657)
Citation 7

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asset-liability management, long-term insurance, valuation, insurance products, investments, models

20.

Insurance: Models, Digitalization, and Data Science

Swiss Finance Institute Research Paper No. 19-26
Number of pages: 14 Posted: 03 May 2019 Last Revised: 09 May 2019
Hansjoerg Albrecher, Antoine Bommier, Damir Filipović, Pablo Koch-Medina, Stéphane Loisel and Hato Schmeiser
University of Lausanne, ETH Zürich - CER-ETH - Center of Economic Research at ETH Zurich, École Polytechnique Fédérale de Lausanne (EPFL), University of Zurich - Department Finance, University of Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA) and University of Münster - Faculty of Economics
Downloads 525 (109,635)
Citation 1

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21.

The Jacobi Stochastic Volatility Model

Finance and Stochastics, Volume 22, Issue 3, Pages 667-700, 2018, Swiss Finance Institute Research Paper No. 16-35
Number of pages: 34 Posted: 21 May 2016 Last Revised: 30 Oct 2018
Damien Ackerer, Damir Filipović and Sergio Pulido
École Polytechnique Fédérale de Lausanne (EPFL), École Polytechnique Fédérale de Lausanne (EPFL) and Laboratoire de Mathématiques et Modélisation d'Évry (LaMME); Université d'Évry-Val-d'Essonne, ENSIIE, Université Paris-Saclay, UMR CNRS 8071
Downloads 519 (111,176)
Citation 22

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Jacobi process, option pricing, polynomial model, stochastic volatility

22.

Affine Processes on Positive Semidefinite Matrices

Number of pages: 57 Posted: 04 Oct 2009 Last Revised: 08 Mar 2011
Christa Cuchiero, Damir Filipović, Eberhard Mayerhofer and Josef Teichmann
Independent, École Polytechnique Fédérale de Lausanne (EPFL), University of Limerick - Department of Mathematics and Statistics and Vienna University of Technology
Downloads 500 (116,298)
Citation 7

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affine process, stochastic correlation, term structure

23.

Linear Credit Risk Models

Finance and Stochastics, Forthcoming, Swiss Finance Institute Research Paper No. 16-34, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 51 Posted: 21 May 2016 Last Revised: 23 Jul 2019
Damien Ackerer and Damir Filipović
École Polytechnique Fédérale de Lausanne (EPFL) and École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 489 (119,722)
Citation 15

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credit default swap, credit derivatives, credit risk, polynomial model, survival process

24.

Polynomial Diffusions and Applications in Finance

Finance and Stochastics, Forthcoming, Swiss Finance Institute Research Paper No. 14-54
Number of pages: 43 Posted: 15 Aug 2014 Last Revised: 14 Mar 2016
Damir Filipović and Martin Larsson
École Polytechnique Fédérale de Lausanne (EPFL) and ETH Zürich - Department of Mathematics
Downloads 479 (122,423)
Citation 3

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Polynomial Diffusions, Polynomial Diffusion Models in Finance, Stochastic Invariance, Boundary Attainment, Moment Problem

25.

Optimal Investment and Premium Policies under Risk Shifting and Solvency Regulation

Swiss Finance Institute Research Paper No. 11-11
Number of pages: 39 Posted: 03 Sep 2009 Last Revised: 22 Aug 2013
Damir Filipović, Robert Kremslehner and Alexander Muermann
École Polytechnique Fédérale de Lausanne (EPFL), Vienna University of Economics and Business - Department of Accounting and Finance and WU (Vienna University of Economics and Business)
Downloads 465 (126,819)

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Risk Shifting, Insurance, Regulation, Solvency II, Pareto Optimality

26.

Pricing and Hedging of CDOs: A Top Down Approach

Number of pages: 22 Posted: 14 Sep 2009 Last Revised: 06 Dec 2009
Damir Filipović and Thorsten Schmidt
École Polytechnique Fédérale de Lausanne (EPFL) and University of Freiburg
Downloads 448 (132,634)

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collateralized debt obligations, single tranche CDO, variance-minimizing hedging

27.

Conditional Density Models for Asset Pricing

Swiss Finance Institute Research Paper No. 10-44
Number of pages: 23 Posted: 06 Nov 2010 Last Revised: 09 Nov 2011
Damir Filipović, L. P. Hughston and Andrea Macrina
École Polytechnique Fédérale de Lausanne (EPFL), King’s College London - Department of Mathematics and University College London
Downloads 447 (133,006)
Citation 2

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Option Pricing, Implied Volatility, Breeden-Litzenberger Equation, Volatility Surface, Information-Based Asset Pricing

28.

Exact Smooth Term-Structure Estimation

SIAM Journal on Financial Mathematics, Forthcoming, Swiss Finance Institute Research Paper No. 16-38
Number of pages: 30 Posted: 14 Jun 2016 Last Revised: 13 Aug 2018
Damir Filipović and Sander Willems
École Polytechnique Fédérale de Lausanne (EPFL) and École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 429 (139,632)
Citation 2

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Bootstrap, discount curve, forward curve, splines, term-structure estimation

29.

A Note on the Dai-Singleton Canonical Representation of Affine Term Structure Models

Fisher College of Business Working Paper No. 2007-03-005, Charles A. Dice Working Paper No. 2007-2
Number of pages: 11 Posted: 26 Feb 2007 Last Revised: 27 Sep 2010
Patrick Cheridito, Damir Filipović and Robert L. Kimmel
ETH Zurich, École Polytechnique Fédérale de Lausanne (EPFL) and Independent
Downloads 371 (164,583)
Citation 1

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affine diffusion processes, affine transformations, diagonal diffusion matrices

30.

To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting

Operations Research, Forthcoming, Swiss Finance Institute Research Paper No. 14-63
Number of pages: 22 Posted: 01 Nov 2014 Last Revised: 18 Jan 2016
Hamed Amini, Damir Filipović and Andreea Minca
University of Florida - Department of Industrial and Systems Engineering, École Polytechnique Fédérale de Lausanne (EPFL) and Cornell University
Downloads 370 (165,102)
Citation 14

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Over the Counter Markets, Financial Network, Partial Multilateral Netting

31.

Dynamic CDO Term Structure Modelling

Mathematical Finance, Forthcoming
Number of pages: 21 Posted: 09 Jul 2009
Damir Filipović, Ludger Overbeck and Thorsten Schmidt
École Polytechnique Fédérale de Lausanne (EPFL), University of Giessen and University of Freiburg
Downloads 362 (169,205)

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affine term structure, collateralized debt obligations, loss process, single tranche CDO, term structure of forward spreads

32.

Empirical Asset Pricing via Ensemble Gaussian Process Regression

Swiss Finance Institute Research Paper No. 22-95
Number of pages: 46 Posted: 02 Dec 2022 Last Revised: 10 Jan 2025
Damir Filipović and Puneet Pasricha
École Polytechnique Fédérale de Lausanne (EPFL) and École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 338 (182,866)
Citation 1

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empirical asset pricing, Gaussian process regression, portfolio selection, ensemble learning, machine learning, firm characteristics

33.

Affine Variance Swap Curve Models

Swiss Finance Institute Research Paper No. 12-14
Number of pages: 13 Posted: 03 Apr 2012 Last Revised: 06 Jul 2012
Damir Filipović
École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 319 (193,838)

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Affine variance swap rate factor models, Variance swaps, VIX

34.

On the Relation between Linearity-Generating Processes and Linear-Rational Models

Mathematical Finance, Forthcoming, Swiss Finance Institute Research Paper No. 16-23
Number of pages: 32 Posted: 24 Mar 2016 Last Revised: 13 Jun 2018
Damir Filipović, Martin Larsson and Anders B. Trolle
École Polytechnique Fédérale de Lausanne (EPFL), ETH Zürich - Department of Mathematics and Copenhagen Business School
Downloads 306 (202,712)
Citation 3

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Linearity-Generating Process, Linear-Rational Model, Long-Term Risk, State Price Density

35.

Fed Funds Futures Variance Futures

Quantitative Finance, Forthcoming, Swiss Finance Institute Research Paper No. 14-66
Number of pages: 24 Posted: 28 Nov 2014 Last Revised: 09 Mar 2016
Damir Filipović and Anders B. Trolle
École Polytechnique Fédérale de Lausanne (EPFL) and Copenhagen Business School
Downloads 300 (207,053)

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Fed Funds Futures, Funding Costs, Unsecured Interbank Money Market

36.

Option Pricing with Orthogonal Polynomial Expansions

Mathematical Finance, Forthcoming, Swiss Finance Institute Research Paper No. 17-41
Number of pages: 40 Posted: 29 Nov 2017 Last Revised: 09 Jun 2019
Damien Ackerer and Damir Filipović
École Polytechnique Fédérale de Lausanne (EPFL) and École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 293 (212,215)
Citation 10

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Greeks, Option Pricing, Orthogonal Polynomials, Parameter Sensitivity, Polynomial Diffusion Models, Stochastic Volatility

37.

Uniqueness of Equilibrium in a Payment System with Liquidation Costs

Operations Research Letters, Forthcoming, Swiss Finance Institute Research Paper No. 15-20
Number of pages: 11 Posted: 18 Jun 2015 Last Revised: 18 Jan 2016
Hamed Amini, Damir Filipović and Andreea Minca
University of Florida - Department of Industrial and Systems Engineering, École Polytechnique Fédérale de Lausanne (EPFL) and Cornell University
Downloads 287 (216,848)
Citation 15

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Financial Network, Systemic Risk, Eiseberg Noe Model, Asset Price Contagion

38.

Polynomial Jump-Diffusion Models

Swiss Finance Institute Research Paper No. 17-60
Number of pages: 40 Posted: 27 Nov 2017 Last Revised: 22 Jul 2019
Damir Filipović and Martin Larsson
École Polytechnique Fédérale de Lausanne (EPFL) and ETH Zürich - Department of Mathematics
Downloads 264 (236,139)
Citation 7

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polynomial jump-diffusions, affine jump-diffusions, polynomial transformations, conditional Lévy processes, Lévy time change, asset pricing models, stochastic volatility

39.

Pricing and Hedging of Inflation-Indexed Bonds in an Affine Framework

Swiss Finance Institute Research Paper No. 13-54
Number of pages: 21 Posted: 19 Oct 2013
Zehra Eksi and Damir Filipović
Vienna University of Economics and Business, Institute for Statistics and Mathematics and École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 252 (247,423)

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affine Gaussian processes, inflation-indexed bonds, no-arbitrage, pricing, hedging, market completeness

40.

A Dynamic Affine Factor Model for the Pricing of Collateralized Debt Obligations

Swiss Finance Institute Research Paper No. 13-09
Number of pages: 30 Posted: 30 Mar 2013 Last Revised: 10 Apr 2013
Zehra Eksi and Damir Filipović
Vienna University of Economics and Business, Institute for Statistics and Mathematics and École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 246 (253,484)
Citation 2

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collateralized debt obligations, single-tranche CDO, affine term-structure of credit spreads, catastrophic risk

41.

Unspanned Stochastic Volatility in the Multi-Factor CIR Model

Mathematical Finance, Forthcoming, Swiss Finance Institute Research Paper No. 17-16
Number of pages: 15 Posted: 08 May 2017 Last Revised: 16 Jan 2019
Damir Filipović, Martin Larsson and Francesco Statti
École Polytechnique Fédérale de Lausanne (EPFL), ETH Zürich - Department of Mathematics and École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 208 (297,575)
Citation 1

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multi-factor Cox-Ingersoll-Ross model, unspanned stochastic volatility, incomplete bond markets

42.

Old-Age Provision: Past, Present, Future

European Actuarial Journal, Forthcoming, Swiss Finance Institute Research Paper No. 16-55
Number of pages: 22 Posted: 17 Sep 2016 Last Revised: 20 Sep 2016
Hansjoerg Albrecher, Paul Embrechts, Damir Filipović, Glenn W. Harrison, Pablo Koch-Medina, Stéphane Loisel, Paolo Vanini and Joël Wagner
University of Lausanne, Swiss Federal Institute of Technology Zurich, École Polytechnique Fédérale de Lausanne (EPFL), Georgia State University - J. Mack Robinson College of Business, University of Zurich - Department Finance, University of Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA), University of Basel and University of Lausanne - Department of Actuarial Science (HEC Lausanne)
Downloads 207 (298,968)
Citation 2

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Pension funding gap, Demographic and societal challenges, Valuation of pension liabilities, Economic and regulatory capital models, Role of financial markets

43.

Multi-Level Risk Aggregation

ASTIN Bulletin, Forthcoming
Number of pages: 11 Posted: 09 Jul 2009
Damir Filipović
École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 203 (304,444)

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Diversification, Risk Aggregation, Solvency II

44.

Discount Models

Finance and Stochastics, Forthcoming, Swiss Finance Institute Research Paper No. 23-34
Number of pages: 13 Posted: 02 Jun 2023 Last Revised: 27 Jul 2023
Damir Filipović
École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 197 (314,461)

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discount, factor models, stochastic partial differential equation, term structure models, zero-coupon bonds

45.

Fundamental Properties of Linear Factor Models

Swiss Finance Institute Research Paper No. 24-42
Number of pages: 24 Posted: 22 Aug 2024 Last Revised: 13 Jan 2025
Damir Filipović and Paul Schneider
École Polytechnique Fédérale de Lausanne (EPFL) and University of Lugano - Institute of Finance
Downloads 193 (321,984)

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asset pricing, factor models, characteristics, covariances, meanvariance efficient portfolio, stochastic discount factor, covariance estimation

46.

Weighted Monte Carlo with Least Squares and Randomized Extended Kaczmarz for Option Pricing

Swiss Finance Institute Research Paper No. 19-54
Number of pages: 31 Posted: 18 Oct 2019 Last Revised: 23 Oct 2019
Damir Filipović, Kathrin Glau, Yuji Nakatsukasa and Francesco Statti
École Polytechnique Fédérale de Lausanne (EPFL), Queen Mary University of London, University of Oxford and École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 180 (339,863)
Citation 4

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Monte Carlo, Monte Carlo under budget constraints, variance reduction, multi-asset options, Kaczmarz algorithm, weighted sampling, large-scale least-squares problems

47.

Ensemble learning for portfolio valuation and risk management

Swiss Finance Institute Research Paper No. 22-30, Forthcoming, Quantitative Finance
Number of pages: 37 Posted: 15 Apr 2022 Last Revised: 15 Nov 2024
Lotfi Boudabsa and Damir Filipović
École Polytechnique Fédérale de Lausanne (EPFL) - School of Basic Sciences and École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 166 (364,701)

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dynamic portfolio valuation, ensemble learning, gradient boosting, random forest, regression trees, risk management, Bermudan options

48.

Stripping the Swiss Discount Curve using Kernel Ridge Regression

Swiss Finance Institute Research Paper No. 23-97, European Actuarial Journal, forthcoming
Number of pages: 42 Posted: 24 Oct 2023 Last Revised: 14 May 2024
Nicolas Camenzind and Damir Filipović
Swiss Federal Institute of Technology in Lausanne -EPFL and École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 157 (382,338)

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Yield curve estimation, Swiss government bond market, Smith–Wilson method, Swiss Solvency Test, Swiss National Bank, machine learning in finance, reproducing kernel Hilbert space

49.

Polynomial Processes for Power Prices

Swiss Finance Institute Research Paper No. 18-34
Number of pages: 19 Posted: 08 May 2018
Damir Filipović, Martin Larsson and Tony Ware
École Polytechnique Fédérale de Lausanne (EPFL), ETH Zürich - Department of Mathematics and University of Calgary
Downloads 155 (386,600)
Citation 1

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energy prices, electricity markets, polynomial processes

50.

Markov Cubature Rules for Polynomial Processes

Forthcoming publication in Stochastic Processes and their Applications, Swiss Finance Institute Research Paper No. 16-79
Number of pages: 31 Posted: 27 Dec 2016 Last Revised: 13 Jun 2019
Damir Filipović, Martin Larsson and Sergio Pulido
École Polytechnique Fédérale de Lausanne (EPFL), ETH Zürich - Department of Mathematics and Laboratoire de Mathématiques et Modélisation d'Évry (LaMME); Université d'Évry-Val-d'Essonne, ENSIIE, Université Paris-Saclay, UMR CNRS 8071
Downloads 153 (390,888)

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Polynomial process; cubature rule; asymptotic moments; transition rate matrix; transition probabilities; American options

51.

Mean-Covariance Robust Risk Measurement

Swiss Finance Institute Research Paper No. 21-93
Number of pages: 70 Posted: 22 Dec 2021 Last Revised: 30 Nov 2023
Viet-Anh Nguyen, Soroosh Shafieezadeh Abadeh, Damir Filipović and Daniel Kuhn
Ecole Polytechnique Federale de Lausanne - MTEI, Carnegie Mellon University - David A. Tepper School of Business, École Polytechnique Fédérale de Lausanne (EPFL) and École polytechnique fédérale de Lausanne
Downloads 152 (392,989)
Citation 3

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Robust optimization, risk measurement, optimal transport

52.

On Dynamic Hedging of Single-Tranche Collateralized Debt Obligations

Swiss Finance Institute Research Paper No. 13-18
Number of pages: 31 Posted: 12 Apr 2013
Zehra Eksi and Damir Filipović
Vienna University of Economics and Business, Institute for Statistics and Mathematics and École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 146 (406,094)

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single-tranche CDO, affine term-structure of credit spreads, catastrophic risk, variance-minimizing hedge, regression-based hedge

53.

On the American Swaption in the Linear-Rational Framework

Forthcoming, Quantitative Finance, Swiss Finance Institute Research Paper No. 16-44
Number of pages: 26 Posted: 08 Jul 2016 Last Revised: 12 Mar 2018
Damir Filipović and Yerkin Kitapbayev
École Polytechnique Fédérale de Lausanne (EPFL) and Khalifa University
Downloads 131 (442,323)
Citation 1

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American swaption, swaption, swap, linear-rational term structure model, polynomial diffusion, optimal stopping, free-boundary problem, local time-space calculus, integral equation

54.

Sparse Portfolio Selection via Topological Data Analysis-Based Clustering

Swiss Finance Institute Research Paper No. 24-07
Number of pages: 42 Posted: 01 Feb 2024 Last Revised: 07 Jan 2025
Anubha Goel, Damir Filipović and Puneet Pasricha
Tampere University - Faculty of Information Technology and Communication Sciences, École Polytechnique Fédérale de Lausanne (EPFL) and Indian Institute of Technology (IIT), Ropar
Downloads 130 (445,014)

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portfolio optimization, topological data analysis, clustering techniques, index tracking, Markowitz model, sparse portfolio construction, investment strategies

55.

Optimal Numeraires for Risk Measures

Number of pages: 4 Posted: 14 Mar 2007
Damir Filipović
École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 123 (464,496)

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Change of Numeraire, Solvency Capital Requirements

56.

Affine Pricing and Hedging of Collateralized Debt Obligations

Swiss Finance Institute Research Paper No. 20-94
Number of pages: 35 Posted: 25 Nov 2020
Zehra Eksi and Damir Filipović
Vienna University of Economics and Business, Institute for Statistics and Mathematics and École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 85 (598,775)

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single-tranche CDO, affine term-structure of credit spreads, catastrophic risk, variance minimizing hedge

57.

Adaptive Joint Distribution Learning

Swiss Finance Institute Research Paper No. 24-50, SIAM Journal on Mathematics of Data Science, forthcoming
Number of pages: 26 Posted: 24 Sep 2024
Damir Filipović, Michael D. Multerer and Paul Schneider
École Polytechnique Fédérale de Lausanne (EPFL), Swiss Finance Institute - USI Lugano and University of Lugano - Institute of Finance
Downloads 54 (768,182)

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distribution estimation, tensor product RKHS, low-rank approximation

58.

Joint Estimation of Conditional Mean and Covariance for Unbalanced Panels

Swiss Finance Institute Research Paper No. 24-60
Number of pages: 40 Posted: 01 Nov 2024 Last Revised: 20 Dec 2024
Damir Filipović and Paul Schneider
École Polytechnique Fédérale de Lausanne (EPFL) and University of Lugano - Institute of Finance
Downloads 52 (768,182)

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nonparametric estimation, conditional mean, conditional covariance matrix, unbalanced panels, mean-variance efficient portfolio

59.

Equilibrium Prices for Monetary Utility Functions

International Journal of Theoretical and Applied Finance, Vol. 11, No. 3, pp. 325-343, 2008
Posted: 02 Dec 2009
Damir Filipović and Michael Kupper
École Polytechnique Fédérale de Lausanne (EPFL) and Vienna Institute of Finance

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Existence of equilibrium prices, monetary utility functions, Pareto optimal allocation, convex consumption constraints