Suivre
Damir Filipovic
Damir Filipovic
EPFL, Swiss Finance Institute
Adresse e-mail validée de epfl.ch - Page d'accueil
Titre
Citée par
Citée par
Année
Affine processes and applications in finance
D Duffie, D Filipović, W Schachermayer
The Annals of Applied Probability 13 (3), 984-1053, 2003
12712003
Term-structure models: A graduate course
D Filipovic
Springer Science & Business Media, 2009
5612009
Market price of risk specifications for affine models: Theory and evidence
P Cheridito, D Filipović, RL Kimmel
Journal of Financial Economics 83 (1), 123-170, 2007
4412007
Consistency problems for Heath-Jarrow-Morton interest rate models
D Filipovic
Springer Science & Business Media, 2001
362*2001
The term structure of interbank risk
D Filipović, AB Trolle
Journal of Financial Economics 109 (3), 707-733, 2013
2292013
A note on the Nelson–Siegel family
D Filipović
Mathematical finance 9 (4), 349-359, 1999
2061999
Affine processes on positive semidefinite matrices
C Cuchiero, D Filipović, E Mayerhofer, J Teichmann
2002011
Equivalent and absolutely continuous measure changes for jump-diffusion processes
P Cheridito, D Filipović, M Yor
Annals of applied probability, 1713-1732, 2005
1632005
Density approximations for multivariate affine jump-diffusion processes
D Filipović, E Mayerhofer, P Schneider
Journal of Econometrics 176 (2), 93-111, 2013
1462013
Separation and duality in locally L0-convex modules
D Filipović, M Kupper, N Vogelpoth
Journal of Functional Analysis 256 (12), 3996-4029, 2009
1432009
Affine diffusion processes: theory and applications
D Filipovic, E Mayerhofer
Advanced financial modelling 8, 1-40, 2009
1372009
Linear‐rational term structure models
D Filipović, M Larsson, AB Trolle
The Journal of Finance 72 (2), 655-704, 2017
1312017
A general characterization of one factor affine term structure models
D Filipović
Finance and Stochastics 5, 389-412, 2001
1282001
Quadratic term structure models for risk‐free and defaultable rates
L Chen, D Filipović, HV Poor
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2004
1242004
Polynomial diffusions and applications in finance
D Filipović, M Larsson
Finance and Stochastics 20 (4), 931-972, 2016
1222016
THE CANONICAL MODEL SPACE FOR LAW‐INVARIANT CONVEX RISK MEASURES IS L1
D Filipović, G Svindland
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2012
121*2012
Optimal capital and risk allocations for law-and cash-invariant convex functions
D Filipović, G Svindland
Finance and Stochastics 12, 423-439, 2008
1152008
Time-inhomogeneous affine processes
D Filipović
Stochastic Processes and their Applications 115 (4), 639-659, 2005
1142005
Systemic risk in networks with a central node
H Amini, D Filipovic, A Minca
SIAM Journal on Financial Mathematics 11 (1), 60-98, 2020
113*2020
Quadratic variance swap models
D Filipović, E Gourier, L Mancini
Journal of Financial Economics 119 (1), 44-68, 2016
1132016
Le système ne peut pas réaliser cette opération maintenant. Veuillez réessayer plus tard.
Articles 1–20