Damir Filipović

Ecole Polytechnique Fédérale de Lausanne

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

  • Ecole Polytechnique Fédérale de Lausanne

SCHOLARLY PAPERS

56

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19,151

SSRN CITATIONS
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Top 4,464

in Total Papers Citations

172

CROSSREF CITATIONS

135

Scholarly Papers (56)

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1.

Systemic Risk and Central Clearing Counterparty Design

Downloads 1,996 ( 9,559)
Citation 15

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
Georgia State University, Ecole Polytechnique Fédérale de Lausanne and Cornell University
Downloads 1,895 (10,181)
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
Georgia State University, Ecole Polytechnique Fédérale de Lausanne and Cornell University
Downloads 101 (322,042)
Citation 4

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

2.

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
Ecole Polytechnique Fédérale de Lausanne and Copenhagen Business School - Department of Finance
Downloads 1,562 (14,135)
Citation 11

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

3.

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
Ecole Polytechnique Fédérale de Lausanne, ETH Zürich - Department of Mathematics and Copenhagen Business School - Department of Finance
Downloads 1,411 (16,632)
Citation 7

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Swaps, Swaptions, Unspanned Factors, Zero Lower Bound

4.

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
Ecole Polytechnique Fédérale de Lausanne, ESSEC Business School and USI Lugano - Institute of Finance
Downloads 959 (29,396)
Citation 5

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

5.

Model Uncertainty and Scenario Aggregation

Downloads 701 ( 45,230)
Citation 8

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
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 701 (44,606)
Citation 7

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

Model Uncertainty and Scenario Aggregation

Mathematical Finance, Vol. 27, Issue 2, pp. 534-567, 2017
Number of pages: 34 Posted: 28 May 2020
Mathieu Cambou and Damir Filipović
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
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Citation 4
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model uncertainty, scenario aggregation, expected shortfall, value‐at‐risk, statistical divergence, Swiss Solvency Test

6.

Affine Diffusion Processes: Theory and Applications

Number of pages: 30 Posted: 22 Feb 2009
Damir Filipović and Eberhard Mayerhofer
Ecole Polytechnique Fédérale de Lausanne and University of Limerick - Department of Mathematics and Statistics
Downloads 695 (45,743)
Citation 14

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

7.

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
Ecole Polytechnique Fédérale de Lausanne, University of Limerick - Department of Mathematics and Statistics and University of Lugano - Institute of Finance
Downloads 643 (50,686)
Citation 9

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Affine Processes, Asymptotic Expansion, Density Approximation, Orthogonal Polynomials

8.

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
Ecole Polytechnique Fédérale de Lausanne, Humboldt University of Berlin - Department of Mathematics and Vienna Institute of Finance
Downloads 594 (56,191)

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

9.

Machine Learning With Kernels for Portfolio Valuation and Risk Management

Swiss Finance Institute Research Paper No. 19-34
Number of pages: 40 Posted: 18 Jun 2019 Last Revised: 09 Apr 2021
Lotfi Boudabsa and Damir Filipović
Ecole Polytechnique Fédérale de Lausanne - School of Basic Sciences and Ecole Polytechnique Fédérale de Lausanne
Downloads 590 (56,653)
Citation 1

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

10.

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
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 526 (65,356)
Citation 2

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

11.

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, Ecole Polytechnique Fédérale de Lausanne and Independent
Downloads 508 (68,242)
Citation 91

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Affine, Girsanov, arbitrage, Feller

12.

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
Ecole Polytechnique Fédérale de Lausanne, Norwegian School of Economics (NHH) and WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics
Downloads 460 (77,108)

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

13.

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, Ecole Polytechnique Fédérale de Lausanne, University of Limerick - Department of Mathematics and Statistics and Vienna University of Technology
Downloads 453 (78,518)
Citation 5

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affine process, stochastic correlation, term structure

14.

Optimal Investment and Premium Policies under Risk Shifting and Solvency Regulation

Downloads 434 ( 82,588)
Citation 2

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
Ecole Polytechnique Fédérale de Lausanne, Vienna University of Economics and Business - Department of Accounting and Finance and WU (Vienna University of Economics and Business)
Downloads 434 (81,843)

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

Optimal Investment and Premium Policies Under Risk Shifting and Solvency Regulation

Journal of Risk and Insurance, Vol. 82, Issue 2, pp. 261-288, 2015
Number of pages: 28 Posted: 14 May 2015
Damir Filipović, Robert Kremslehner and Alexander Muermann
Ecole Polytechnique Fédérale de Lausanne, Vienna University of Economics and Business - Department of Accounting and Finance and WU (Vienna University of Economics and Business)
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15.

A Term Structure Model for Dividends and Interest Rates

Downloads 421 ( 85,603)

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
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 421 (84,855)
Citation 1

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

A Term Structure Model for Dividends and Interest Rates

Mathematical Finance, Vol. 30, Issue 4, pp. 1461-1496, 2020
Number of pages: 36 Posted: 07 Oct 2020
Damir Filipović and Sander Willems
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
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dividend derivatives, interest rates, moment‐based option pricing, polynomial jump‐diffusion, term structure

16.

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

Swiss Finance Institute Research Paper No. 20-28
Number of pages: 47 Posted: 02 May 2020 Last Revised: 15 Mar 2021
Lucio Fernandez Arjona and Damir Filipović
Zurich Insurance Group and Ecole Polytechnique Fédérale de Lausanne
Downloads 419 (86,043)
Citation 1

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

17.

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
Ecole Polytechnique Fédérale de Lausanne, King's College London - Department of Mathematics and University College London
Downloads 412 (87,736)
Citation 2

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

18.

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
UBS, Ecole Polytechnique Fédérale de Lausanne and Laboratoire de Mathématiques et Modélisation d'Évry (LaMME); Université d'Évry-Val-d'Essonne, ENSIIE, Université Paris-Saclay, UMR CNRS 8071
Downloads 404 (89,783)
Citation 14

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Jacobi process, option pricing, polynomial model, stochastic volatility

19.

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
Ecole Polytechnique Fédérale de Lausanne and University of Freiburg
Downloads 396 (91,870)

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

20.

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
UBS and Ecole Polytechnique Fédérale de Lausanne
Downloads 379 (96,654)
Citation 9

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

21.

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
Ecole Polytechnique Fédérale de Lausanne and ETH Zürich - Department of Mathematics
Downloads 369 (99,621)

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

22.

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, Ecole Polytechnique Fédérale de Lausanne and Independent
Downloads 331 (112,553)
Citation 1

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affine diffusion processes, affine transformations, diagonal diffusion matrices

23.

Dynamic CDO Term Structure Modelling

Mathematical Finance, Forthcoming
Number of pages: 21 Posted: 09 Jul 2009
Damir Filipović, Ludger Overbeck and Thorsten Schmidt
Ecole Polytechnique Fédérale de Lausanne, University of Giessen and University of Freiburg
Downloads 321 (116,341)

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

24.

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
Ecole Polytechnique Fédérale de Lausanne
Downloads 280 (134,456)
Citation 1

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Affine variance swap rate factor models, Variance swaps, VIX

25.

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
Georgia State University, Ecole Polytechnique Fédérale de Lausanne and Cornell University
Downloads 277 (135,972)
Citation 14

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Over the Counter Markets, Financial Network, Partial Multilateral Netting

26.

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, Ecole Polytechnique Fédérale de Lausanne, University of Zurich - Department of Banking and 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 Muenster - Faculty of Economics and University of Lausanne - Department of Actuarial Science (HEC Lausanne)
Downloads 275 (137,061)
Citation 5

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

27.

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
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 269 (140,126)
Citation 1

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

28.

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

Downloads 265 (142,291)
Citation 2

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
Ecole Polytechnique Fédérale de Lausanne, ETH Zürich - Department of Mathematics and Copenhagen Business School - Department of Finance
Downloads 265 (141,669)
Citation 3

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

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

Mathematical Finance, Vol. 29, Issue 3, pp. 804-826, 2019
Number of pages: 23 Posted: 29 May 2020
Damir Filipović, Martin Larsson and Anders B. Trolle
Ecole Polytechnique Fédérale de Lausanne, ETH Zürich - Department of Mathematics and Copenhagen Business School - Department of Finance
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29.

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, Ecole Polytechnique Fédérale de Lausanne, University of Zurich - Department of Banking and Finance, University of Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA) and University of Muenster - Faculty of Economics
Downloads 264 (142,843)
Citation 1

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30.

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
Ecole Polytechnique Fédérale de Lausanne and Copenhagen Business School - Department of Finance
Downloads 250 (150,841)

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Fed Funds Futures, Funding Costs, Unsecured Interbank Money Market

31.

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 Ecole Polytechnique Fédérale de Lausanne
Downloads 209 (179,060)

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

32.

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 Ecole Polytechnique Fédérale de Lausanne
Downloads 199 (187,339)
Citation 2

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

33.

Option Pricing with Orthogonal Polynomial Expansions

Downloads 198 (188,212)
Citation 6

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
UBS and Ecole Polytechnique Fédérale de Lausanne
Downloads 197 (188,939)
Citation 4

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

Option Pricing with Orthogonal Polynomial Expansions

Mathematical Finance, Vol. 30, Issue 1, pp. 47-84, 2020
Number of pages: 38 Posted: 29 May 2020
Damien Ackerer and Damir Filipović
UBS and Ecole Polytechnique Fédérale de Lausanne
Downloads 1 (813,335)
Citation 2
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Greeks, option pricing, orthogonal polynomials, parameter sensitivity, polynomial diffusion models, stochastic volatility

34.

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
Georgia State University, Ecole Polytechnique Fédérale de Lausanne and Cornell University
Downloads 194 (191,687)
Citation 15

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

35.

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
Ecole Polytechnique Fédérale de Lausanne and ETH Zürich - Department of Mathematics
Downloads 182 (202,891)
Citation 2

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

36.

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
Ecole Polytechnique Fédérale de Lausanne, ETH Zürich - Department of Mathematics and Ecole Polytechnique Fédérale de Lausanne
Downloads 158 (228,930)
Citation 1

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

37.

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, Ecole Polytechnique Fédérale de Lausanne, Georgia State University - J. Mack Robinson College of Business, University of Zurich - Department of Banking and 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 158 (228,930)
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

38.

Event Studies on Investor Sentiment

Swiss Finance Institute Research Paper No. 21-33
Number of pages: 37 Posted: 27 Aug 2020 Last Revised: 23 Apr 2021
Marc-Aurèle Divernois and Damir Filipović
EPFL and Ecole Polytechnique Fédérale de Lausanne
Downloads 144 (247,112)

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Investor sentiment, Event study, Polarity, Social Media, Microblogging, Natural Language Processing, Crowd Wisdom

39.

Multi-Level Risk Aggregation

ASTIN Bulletin, Forthcoming
Number of pages: 11 Posted: 09 Jul 2009
Damir Filipović
Ecole Polytechnique Fédérale de Lausanne
Downloads 143 (249,930)

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Diversification, Risk Aggregation, Solvency II

40.

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
Ecole Polytechnique Fédérale de Lausanne, 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 113 (296,114)

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

41.

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 Ecole Polytechnique Fédérale de Lausanne
Downloads 107 (307,683)

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

42.

Optimal Numeraires for Risk Measures

Downloads 107 (307,683)
Citation 3

Optimal Numeraires for Risk Measures

Number of pages: 4 Posted: 14 Mar 2007
Damir Filipović
Ecole Polytechnique Fédérale de Lausanne
Downloads 102 (319,895)

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Change of Numeraire, Solvency Capital Requirements

Optimal Numeraires for Risk Measures

Mathematical Finance, Vol. 18, Issue 2, pp. 333-336, April 2008
Number of pages: 4 Posted: 12 Mar 2008
Damir Filipović
Ecole Polytechnique Fédérale de Lausanne
Downloads 5 (771,814)
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43.

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
Ecole Polytechnique Fédérale de Lausanne and North Carolina State University
Downloads 91 (341,846)
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

44.

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
Ecole Polytechnique Fédérale de Lausanne, ETH Zürich - Department of Mathematics and University of Calgary
Downloads 84 (359,186)
Citation 1

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energy prices, electricity markets, polynomial processes

45.

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
Ecole Polytechnique Fédérale de Lausanne, Queen Mary University of London, University of Oxford and Ecole Polytechnique Fédérale de Lausanne
Downloads 72 (392,349)

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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

46.

Quadratic Term Structure Models for Risk-Free and Defaultable Rates

Number of pages: 22 Posted: 21 Sep 2004
Li Chen, Damir Filipović and H. Vincent Poor
Princeton University - Department of Electrical Engineering, Ecole Polytechnique Fédérale de Lausanne and Princeton University - Department of Electrical Engineering
Downloads 35 (536,453)
Citation 1
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47.

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 Ecole Polytechnique Fédérale de Lausanne
Downloads 34 (541,706)

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

48.

A Note on the Nelson-Siegel Family

Number of pages: 11 Posted: 17 Jun 2004
Damir Filipović
Ecole Polytechnique Fédérale de Lausanne
Downloads 24 (600,741)
Citation 2
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Interest rate model, Nelson-Siegel family, consistent state space Ito process, inverse problem

49.

Separable Term Structures and the Maximal Degree Problem

Number of pages: 9 Posted: 07 Feb 2003
Damir Filipović
Ecole Polytechnique Fédérale de Lausanne
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50.

Optimal Capital and Risk Transfers for Group Diversification

Mathematical Finance, Vol. 18, Issue 1, pp. 55-76, January 2008
Number of pages: 22 Posted: 19 Dec 2007
Damir Filipović and Michael Kupper
Ecole Polytechnique Fédérale de Lausanne and Vienna Institute of Finance
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51.

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

Mathematical Finance, Vol. 20, Issue 3, pp. 509-519, July 2010
Number of pages: 11 Posted: 08 Jun 2010
Patrick Cheridito, Damir Filipović and Robert L. Kimmel
ETH Zurich, Ecole Polytechnique Fédérale de Lausanne and Independent
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52.

Consistent Market Extensions under the Benchmark Approach

Mathematical Finance, Vol. 19, Issue 1, pp. 41-52, January 2009
Number of pages: 12 Posted: 17 Jan 2009
Damir Filipović and Eckhard Platen
Ecole Polytechnique Fédérale de Lausanne and University of Technology, Sydney (UTS) - Finance Discipline Group
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53.

Unspanned Stochastic Volatility in the Multifactor CIR Model

Mathematical Finance, Vol. 29, Issue 3, pp. 827-836, 2019
Number of pages: 10 Posted: 28 May 2020
Damir Filipović, Martin Larsson and Francesco Statti
Ecole Polytechnique Fédérale de Lausanne, ETH Zürich - Department of Mathematics and Ecole Polytechnique Fédérale de Lausanne
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incomplete bond markets, multifactor Cox–Ingersoll‐Ross model, unspanned stochastic volatility

54.

The Canonical Model Space for Law‐Invariant Convex Risk Measures is L

Mathematical Finance, Vol. 22, Issue 3, pp. 585-589, 2012
Number of pages: 5 Posted: 08 Jun 2012
Damir Filipović and Gregor Svindland
Ecole Polytechnique Fédérale de Lausanne and Ludwig Maximilian University of Munich (LMU)
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55.

Dynamic CDO Term Structure Modeling

Mathematical Finance, Vol. 21, Issue 1, pp. 53-71, 2010
Number of pages: 19 Posted: 30 Dec 2010
Damir Filipović, Ludger Overbeck and Thorsten Schmidt
Ecole Polytechnique Fédérale de Lausanne, University of Giessen and University of Freiburg
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affine term structure, collateralized debt obligations, loss process, single tranche CDO, term structure of forward spreads

56.

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
Ecole Polytechnique Fédérale de Lausanne and Vienna Institute of Finance

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