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Damir Filipović

Ecole Polytechnique Fédérale de Lausanne

Odyssea

Station 5

Lausanne, 1015

Switzerland

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

Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne

c/o University of Geneve

40, Bd du Pont-d'Arve

1211 Geneva, CH-6900

Switzerland

  • Ecole Polytechnique Fédérale de Lausanne

  • Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne

SCHOLARLY PAPERS

44

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157

Scholarly Papers (44)

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1.

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 Ecole Polytechnique Fédérale de Lausanne
Downloads 1,374 (10,321)
Citation 3

Abstract:

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

2.

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
Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Fédérale de Lausanne and Cornell University
Downloads 962 (9,288)
Citation 1

Abstract:

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

3.

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, Queen Mary, University of London and Ecole Polytechnique Fédérale de Lausanne
Downloads 551 (22,686)

Abstract:

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

4.

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 533 (41,068)

Abstract:

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

5.

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 490 (37,150)
Citation 3

Abstract:

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

6.

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 482 (38,759)
Citation 2

Abstract:

Affine Processes, Asymptotic Expansion, Density Approximation, Orthogonal Polynomials

7.

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 Ohio State University (OSU) - Department of Finance
Downloads 453 (48,033)
Citation 61

Abstract:

Affine, Girsanov, arbitrage, Feller

8.

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 Zurich - Department of Mathematics and Ecole Polytechnique Fédérale de Lausanne
Downloads 443 (14,457)
Citation 1

Abstract:

Swaps, Swaptions, Unspanned Factors, Zero Lower Bound

9.

Optimal Investment and Premium Policies under Risk Shifting and Solvency Regulation

Downloads 405 ( 57,815)

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 405 (57,263)

Abstract:

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)
Downloads 0

Abstract:

10.

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 397 (53,882)
Citation 6

Abstract:

affine process, stochastic correlation, term structure

11.

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 391 (38,568)

Abstract:

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

12.

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, University of London - Department of Mathematics and University College London
Downloads 356 (61,277)

Abstract:

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

13.

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 356 (65,028)
Citation 1

Abstract:

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

14.

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 311 (70,381)

Abstract:

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

15.

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 Ohio State University (OSU) - Department of Finance
Downloads 288 (81,484)
Citation 6

Abstract:

affine diffusion processes, affine transformations, diagonal diffusion matrices

16.

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 281 (80,307)
Citation 2

Abstract:

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

17.

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 213 (102,013)

Abstract:

Affine variance swap rate factor models, Variance swaps, VIX

18.

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 153 (141,102)

Abstract:

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

19.

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 144 (137,622)

Abstract:

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

20.

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
Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Fédérale de Lausanne and Cornell University
Downloads 130 (115,314)

Abstract:

Over the Counter Markets, Financial Network, Partial Multilateral Netting

21.

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 Ecole Polytechnique Fédérale de Lausanne
Downloads 103 (129,522)

Abstract:

Fed Funds Futures, Funding Costs, Unsecured Interbank Money Market

22.

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 Zurich - Department of Mathematics
Downloads 100 (88,782)

Abstract:

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

23.

Optimal Numeraires for Risk Measures

Downloads 99 (221,675)
Citation 3

Optimal Numeraires for Risk Measures

Number of pages: 4 Posted: 14 Mar 2007
Damir Filipović
Ecole Polytechnique Fédérale de Lausanne
Downloads 94 (231,037)
Citation 3

Abstract:

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 (539,955)
Citation 3

Abstract:

24.

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 82 (224,700)

Abstract:

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

25.

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
Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Fédérale de Lausanne and Cornell University
Downloads 42 (178,019)

Abstract:

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

26.

Quadratic Term Structure Models for Risk-Free and Defaultable Rates

Mathematical Finance, Vol. 14, No. 4, pp. 515-536, October 2004
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 33 (377,047)
Citation 22

Abstract:

27.

A Note on the Nelson-Siegel Family

Mathematical Finance, Vol. 9, pp. 349-359, October 1999
Number of pages: 11 Posted: 17 Jun 2004
Damir Filipović
Ecole Polytechnique Fédérale de Lausanne
Downloads 23 (420,602)
Citation 15

Abstract:

Interest rate model, Nelson-Siegel family, consistent state space Ito process, inverse problem

28.

Multi-Level Risk Aggregation

ASTIN Bulletin, Forthcoming
Number of pages: 11 Posted: 09 Jul 2009
Damir Filipović
Ecole Polytechnique Fédérale de Lausanne
Downloads 22 (252,140)

Abstract:

Diversification, Risk Aggregation, Solvency II

29.

Separable Term Structures and the Maximal Degree Problem

Mathematical Finance, Vol. 12, pp. 341-349, 2002
Number of pages: 9 Posted: 07 Feb 2003
Damir Filipović
Ecole Polytechnique Fédérale de Lausanne
Downloads 17 (451,613)
Citation 12

Abstract:

30.

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
Downloads 8 (502,309)
Citation 4

Abstract:

31.

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 Ohio State University (OSU) - Department of Finance
Downloads 2 (524,789)
Citation 6

Abstract:

32.

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) - School of Finance and Economics
Downloads 2 (524,789)

Abstract:

33.

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
Downloads 1 (540,136)
Citation 3

Abstract:

34.

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
Downloads 1 (540,136)
Citation 4

Abstract:

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

35.

Unspanned Stochastic Volatility in the Multi-Factor CIR Model

Swiss Finance Institute Research Paper No. 17-13
Number of pages: 9 Posted: 08 May 2017 Last Revised: 20 May 2017
Damir Filipović, Martin Larsson and Francesco Statti
Ecole Polytechnique Fédérale de Lausanne, ETH Zurich - Department of Mathematics and Ecole Polytechnique Fédérale de Lausanne
Downloads 0 (330,672)

Abstract:

Multi-factor Cox-Ingersoll-Ross (CIR) Model, Unspanned Stochastic Volatility (USV)

36.

Markov Cubature Rules for Polynomial Processes

Swiss Finance Institute Research Paper No. 16-79
Number of pages: 32 Posted: 27 Dec 2016 Last Revised: 04 Jan 2017
Damir Filipović, Martin Larsson and Sergio Pulido
Ecole Polytechnique Fédérale de Lausanne, ETH Zurich - Department of Mathematics and Laboratoire de Mathématiques et Modélisation d'Évry (LaMME); Université d'Évry-Val-d'Essonne, ENSIIE, UMR CNRS 8071
Downloads 0 (313,333)

Abstract:

Polynomial Process, Cubature Rule, Asymptotic Moments, Transition Rate Matrix, Transition Probabilities, Negative Probabilities

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 Lyon 1 - Institute of Finance and Insurance Science (ISFA), University of Basel and University of Lausanne - Department of Actuarial Science (HEC Lausanne)
Downloads 0 (223,163)

Abstract:

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

38.

On the American Swaption in the Linear-Rational Framework

Swiss Finance Institute Research Paper No. 16-44
Number of pages: 21 Posted: 08 Jul 2016 Last Revised: 03 May 2017
Damir Filipović and Yerkin Kitapbayev
Ecole Polytechnique Fédérale de Lausanne and Boston University - Questrom School of Business
Downloads 0 (313,333)

Abstract:

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

39.

Exact Smooth Term Structure Estimation

Swiss Finance Institute Research Paper No. 16-38
Number of pages: 28 Posted: 14 Jun 2016
Damir Filipović and Sander Willems
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 0 (212,740)

Abstract:

Bootstrap, Discount Curve, Forward Curve, Splines, Term Structure Estimation

40.

The Jacobi Stochastic Volatility Model

Swiss Finance Institute Research Paper No. 16-35
Number of pages: 45 Posted: 21 May 2016 Last Revised: 17 Jun 2016
Damien Ackerer, Damir Filipović and Sergio Pulido
Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Fédérale de Lausanne and Laboratoire de Mathématiques et Modélisation d'Évry (LaMME); Université d'Évry-Val-d'Essonne, ENSIIE, UMR CNRS 8071
Downloads 0 (104,662)

Abstract:

Jacobi process, option pricing, polynomial model, stochastic volatility

41.

Linear Credit Risk Models

Swiss Finance Institute Research Paper No. 16-34, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 45 Posted: 21 May 2016 Last Revised: 01 Jun 2016
Damien Ackerer and Damir Filipović
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 0 (106,962)

Abstract:

Credit Default Swap, Credit Default Swap Option, Credit Risk, Credit Valuation Adjustment, Survival Process

42.

Replicating Portfolio Approach to Capital Calculation

Swiss Finance Institute Research Paper No. 16-25
Number of pages: 33 Posted: 13 Apr 2016 Last Revised: 10 Nov 2016
Mathieu Cambou and Damir Filipović
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 0 (84,064)

Abstract:

asset-liability portfolio, chaos expansion, replicating portfolio, solvency capital

43.

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

Swiss Finance Institute Research Paper No. 16-23
Number of pages: 22 Posted: 24 Mar 2016
Damir Filipović, Martin Larsson and Anders B. Trolle
Ecole Polytechnique Fédérale de Lausanne, ETH Zurich - Department of Mathematics and Ecole Polytechnique Fédérale de Lausanne
Downloads 0 (166,150)

Abstract:

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

44.

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

Abstract:

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

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