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Filipović, Damir

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Author ID: filipovic.damir.1 Recent zbMATH articles by "Filipović, Damir"
Published as: Filipović, D.; Filipović, Damir
Homepage: http://sfi.epfl.ch/op/edit/page-12795.html
External Links: MGP · Wikidata
Documents Indexed: 64 Publications since 1999, including 2 Books

Publications by Year

Citations contained in zbMATH

51 Publications have been cited 1,146 times in 777 Documents Cited by Year
Affine processes and applications in finance. Zbl 1048.60059
Duffie, D.; Filipović, D.; Schachermayer, W.
263
2003
Term-structure models. A graduate course. Zbl 1184.91002
Filipović, Damir
76
2009
Consistency problems for Heath-Jarrow-Morton interest rate models. Zbl 1008.91038
Filipović, Damir
66
2001
Affine processes on positive semidefinite matrices. Zbl 1219.60068
Cuchiero, Christa; Filipović, Damir; Mayerhofer, Eberhard; Teichmann, Josef
55
2011
Equivalent and absolutely continuous measure changes for jump-diffusion processes. Zbl 1082.60034
Cheridito, Patrick; Filipović, Damir; Yor, Marc
50
2005
Separation and duality in locally \(L^0\)-convex modules. Zbl 1180.46055
Filipović, Damir; Kupper, Michael; Vogelpoth, Nicolas
45
2009
A general characterization of one factor affine term structure models. Zbl 0978.91033
Filipović, Damir
37
2001
The canonical model space for law-invariant convex risk measures is \(L^{1}\). Zbl 1278.91086
Filipović, Damir; Svindland, Gregor
34
2012
Density approximations for multivariate affine jump-diffusion processes. Zbl 1284.62110
Filipović, Damir; Mayerhofer, Eberhard; Schneider, Paul
32
2013
Optimal capital and risk allocations for law- and cash-invariant convex functions. Zbl 1164.91012
Filipović, Damir; Svindland, Gregor
32
2008
Time-inhomogeneous affine processes. Zbl 1079.60068
Filipović, Damir
32
2005
Equilibrium prices for monetary utility functions. Zbl 1151.91608
Filipović, Damir; Kupper, Michael
29
2008
Existence of invariant manifolds for stochastic equations in infinite dimension. Zbl 1013.60035
Filipović, Damir; Teichmann, Josef
29
2003
Term structure models driven by Wiener processes and Poisson measures: existence and positivity. Zbl 1207.91068
Filipović, Damir; Tappe, Stefan; Teichmann, Josef
27
2010
Polynomial diffusions and applications in finance. Zbl 1386.60237
Filipović, Damir; Larsson, Martin
24
2016
Affine diffusion processes: theory and applications. Zbl 1205.91068
Filipović, Damir; Mayerhofer, Eberhard
23
2009
On the geometry of the term structure of interest rates. Zbl 1048.60045
Filipović, Damir; Teichmann, Josef
22
2004
Existence of Lévy term structure models. Zbl 1150.91017
Filipović, Damir; Tappe, Stefan
21
2008
Jump-diffusions in Hilbert spaces: existence, stability and numerics. Zbl 1230.60066
Filipović, Damir; Tappe, Stefan; Teichmann, Josef
19
2010
Monotone and cash-invariant convex functions and hulls. Zbl 1119.91051
Filipović, Damir; Kupper, Michael
19
2007
Quadratic term structure models for risk-free and defaultable rates. Zbl 1098.91048
Chen, Li; Filipović, Damir; Poor, H. Vincent
19
2004
A note on the Nelson-Siegel family. Zbl 0997.91034
Filipović, Damir
18
1999
Approaches to conditional risk. Zbl 1255.91178
Filipović, Damir; Kupper, Michael; Vogelpoth, Nicolas
15
2012
Optimal capital and risk transfers for group diversification. Zbl 1138.91496
Filipović, Damir; Kupper, Michael
14
2008
Uniqueness of equilibrium in a payment system with liquidation costs. Zbl 1408.91244
Amini, Hamed; Filipović, Damir; Minca, Andreea
13
2016
Dynamic CDO term structure modeling. Zbl 1229.91306
Filipović, Damir; Overbeck, Ludger; Schmidt, Thorsten
12
2011
The Jacobi stochastic volatility model. Zbl 1402.91746
Ackerer, Damien; Filipović, Damir; Pulido, Sergio
11
2018
Multi-level risk aggregation. Zbl 1179.91103
Filipović, Damir
8
2009
A note on natural risk statistics. Zbl 1151.91557
Ahmed, Shabbir; Filipović, Damir; Svindland, Gregor
8
2008
Separable term structures and the maximal degree problem. Zbl 1047.91031
Filipović, Damir
8
2002
To fully net or not to net: adverse effects of partial multilateral netting. Zbl 1378.91130
Amini, Hamed; Filipović, Damir; Minca, Andreea
7
2016
A simple model for credit migration and spread curves. Zbl 1088.60082
Chen, Li; Filipović, Damir
7
2005
Markovian term structure models in discrete time. Zbl 1020.60060
Filipović, Damir; Zabczyk, Jerzy
7
2002
Exponential-polynomial families and the term structure of interest rates. Zbl 0982.60085
Filipović, Damir
7
2000
Invariant manifolds for weak solutions to stochastic equations. Zbl 0970.60069
Filipović, Damir
7
2000
Invariant manifolds with boundary for jump-diffusions. Zbl 1301.60072
Filipović, Damir; Tappe, Stefan; Teichmann, Josef
6
2014
Conditional density models for asset pricing. Zbl 1244.91090
Filipović, Damir; Hughston, Lane P.; Macrina, Andrea
6
2012
Regularity of finite-dimensional realizations for evolution equations. Zbl 1011.37004
Filipović, Damir; Teichmann, Josef
6
2003
A note on the Dai-Singleton canonical representation of affine term structure models. Zbl 1194.91185
Cheridito, Patrick; Filipović, Damir; Kimmel, Robert L.
5
2010
Old-age provision: past, present, future. Zbl 1394.91007
Albrecher, Hansjörg; Embrechts, Paul; Filipović, Damir; Harrison, Glenn W.; Koch, Pablo; Loisel, Stéphane; Vanini, Paolo; Wagner, Joël
4
2016
Convexity theory for the term structure equation. Zbl 1150.91018
Filipović, Damir; Tappe, Stefan
4
2008
Replicating portfolio approach to capital calculation. Zbl 1396.91294
Cambou, Mathieu; Filipović, Damir
3
2018
A note on the Swiss solvency test risk measure. Zbl 1141.91507
Filipović, Damir; Vogelpoth, Nicolas
3
2008
Linear credit risk models. Zbl 1445.91066
Ackerer, Damien; Filipović, Damir
2
2020
Asset-liability management for long-term insurance business. Zbl 1416.91145
Albrecher, Hansjörg (ed.); Bauer, Daniel (ed.); Embrechts, Paul (ed.); Filipović, Damir (ed.); Koch-Medina, Pablo (ed.); Korn, Ralf (ed.); Loisel, Stéphane (ed.); Pelsser, Antoon (ed.); Schiller, Frank (ed.); Schmeiser, Hato (ed.); Wagner, Joël (ed.)
2
2018
Optimal numeraires for risk measures. Zbl 1133.91446
Filipović, Damir
2
2008
On the group level Swiss Solvency Test. Zbl 1333.62252
Filipović, Damir; Kupper, Michael
2
2007
Conditions for consistent exponential-polynomial forward rate processes with multiple nontrivial factors. Zbl 1066.91049
Sharef, Emmanuel; Filipović, Damir
2
2004
Polynomial jump-diffusion models. Zbl 07243693
Filipović, Damir; Larsson, Martin
1
2020
Option pricing with orthogonal polynomial expansions. Zbl 07200951
Ackerer, Damien; Filipović, Damir
1
2020
Exact smooth term-structure estimation. Zbl 1416.91374
Filipović, Damir; Willems, Sander
1
2018
Linear credit risk models. Zbl 1445.91066
Ackerer, Damien; Filipović, Damir
2
2020
Polynomial jump-diffusion models. Zbl 07243693
Filipović, Damir; Larsson, Martin
1
2020
Option pricing with orthogonal polynomial expansions. Zbl 07200951
Ackerer, Damien; Filipović, Damir
1
2020
The Jacobi stochastic volatility model. Zbl 1402.91746
Ackerer, Damien; Filipović, Damir; Pulido, Sergio
11
2018
Replicating portfolio approach to capital calculation. Zbl 1396.91294
Cambou, Mathieu; Filipović, Damir
3
2018
Asset-liability management for long-term insurance business. Zbl 1416.91145
Albrecher, Hansjörg (ed.); Bauer, Daniel (ed.); Embrechts, Paul (ed.); Filipović, Damir (ed.); Koch-Medina, Pablo (ed.); Korn, Ralf (ed.); Loisel, Stéphane (ed.); Pelsser, Antoon (ed.); Schiller, Frank (ed.); Schmeiser, Hato (ed.); Wagner, Joël (ed.)
2
2018
Exact smooth term-structure estimation. Zbl 1416.91374
Filipović, Damir; Willems, Sander
1
2018
Polynomial diffusions and applications in finance. Zbl 1386.60237
Filipović, Damir; Larsson, Martin
24
2016
Uniqueness of equilibrium in a payment system with liquidation costs. Zbl 1408.91244
Amini, Hamed; Filipović, Damir; Minca, Andreea
13
2016
To fully net or not to net: adverse effects of partial multilateral netting. Zbl 1378.91130
Amini, Hamed; Filipović, Damir; Minca, Andreea
7
2016
Old-age provision: past, present, future. Zbl 1394.91007
Albrecher, Hansjörg; Embrechts, Paul; Filipović, Damir; Harrison, Glenn W.; Koch, Pablo; Loisel, Stéphane; Vanini, Paolo; Wagner, Joël
4
2016
Invariant manifolds with boundary for jump-diffusions. Zbl 1301.60072
Filipović, Damir; Tappe, Stefan; Teichmann, Josef
6
2014
Density approximations for multivariate affine jump-diffusion processes. Zbl 1284.62110
Filipović, Damir; Mayerhofer, Eberhard; Schneider, Paul
32
2013
The canonical model space for law-invariant convex risk measures is \(L^{1}\). Zbl 1278.91086
Filipović, Damir; Svindland, Gregor
34
2012
Approaches to conditional risk. Zbl 1255.91178
Filipović, Damir; Kupper, Michael; Vogelpoth, Nicolas
15
2012
Conditional density models for asset pricing. Zbl 1244.91090
Filipović, Damir; Hughston, Lane P.; Macrina, Andrea
6
2012
Affine processes on positive semidefinite matrices. Zbl 1219.60068
Cuchiero, Christa; Filipović, Damir; Mayerhofer, Eberhard; Teichmann, Josef
55
2011
Dynamic CDO term structure modeling. Zbl 1229.91306
Filipović, Damir; Overbeck, Ludger; Schmidt, Thorsten
12
2011
Term structure models driven by Wiener processes and Poisson measures: existence and positivity. Zbl 1207.91068
Filipović, Damir; Tappe, Stefan; Teichmann, Josef
27
2010
Jump-diffusions in Hilbert spaces: existence, stability and numerics. Zbl 1230.60066
Filipović, Damir; Tappe, Stefan; Teichmann, Josef
19
2010
A note on the Dai-Singleton canonical representation of affine term structure models. Zbl 1194.91185
Cheridito, Patrick; Filipović, Damir; Kimmel, Robert L.
5
2010
Term-structure models. A graduate course. Zbl 1184.91002
Filipović, Damir
76
2009
Separation and duality in locally \(L^0\)-convex modules. Zbl 1180.46055
Filipović, Damir; Kupper, Michael; Vogelpoth, Nicolas
45
2009
Affine diffusion processes: theory and applications. Zbl 1205.91068
Filipović, Damir; Mayerhofer, Eberhard
23
2009
Multi-level risk aggregation. Zbl 1179.91103
Filipović, Damir
8
2009
Optimal capital and risk allocations for law- and cash-invariant convex functions. Zbl 1164.91012
Filipović, Damir; Svindland, Gregor
32
2008
Equilibrium prices for monetary utility functions. Zbl 1151.91608
Filipović, Damir; Kupper, Michael
29
2008
Existence of Lévy term structure models. Zbl 1150.91017
Filipović, Damir; Tappe, Stefan
21
2008
Optimal capital and risk transfers for group diversification. Zbl 1138.91496
Filipović, Damir; Kupper, Michael
14
2008
A note on natural risk statistics. Zbl 1151.91557
Ahmed, Shabbir; Filipović, Damir; Svindland, Gregor
8
2008
Convexity theory for the term structure equation. Zbl 1150.91018
Filipović, Damir; Tappe, Stefan
4
2008
A note on the Swiss solvency test risk measure. Zbl 1141.91507
Filipović, Damir; Vogelpoth, Nicolas
3
2008
Optimal numeraires for risk measures. Zbl 1133.91446
Filipović, Damir
2
2008
Monotone and cash-invariant convex functions and hulls. Zbl 1119.91051
Filipović, Damir; Kupper, Michael
19
2007
On the group level Swiss Solvency Test. Zbl 1333.62252
Filipović, Damir; Kupper, Michael
2
2007
Equivalent and absolutely continuous measure changes for jump-diffusion processes. Zbl 1082.60034
Cheridito, Patrick; Filipović, Damir; Yor, Marc
50
2005
Time-inhomogeneous affine processes. Zbl 1079.60068
Filipović, Damir
32
2005
A simple model for credit migration and spread curves. Zbl 1088.60082
Chen, Li; Filipović, Damir
7
2005
On the geometry of the term structure of interest rates. Zbl 1048.60045
Filipović, Damir; Teichmann, Josef
22
2004
Quadratic term structure models for risk-free and defaultable rates. Zbl 1098.91048
Chen, Li; Filipović, Damir; Poor, H. Vincent
19
2004
Conditions for consistent exponential-polynomial forward rate processes with multiple nontrivial factors. Zbl 1066.91049
Sharef, Emmanuel; Filipović, Damir
2
2004
Affine processes and applications in finance. Zbl 1048.60059
Duffie, D.; Filipović, D.; Schachermayer, W.
263
2003
Existence of invariant manifolds for stochastic equations in infinite dimension. Zbl 1013.60035
Filipović, Damir; Teichmann, Josef
29
2003
Regularity of finite-dimensional realizations for evolution equations. Zbl 1011.37004
Filipović, Damir; Teichmann, Josef
6
2003
Separable term structures and the maximal degree problem. Zbl 1047.91031
Filipović, Damir
8
2002
Markovian term structure models in discrete time. Zbl 1020.60060
Filipović, Damir; Zabczyk, Jerzy
7
2002
Consistency problems for Heath-Jarrow-Morton interest rate models. Zbl 1008.91038
Filipović, Damir
66
2001
A general characterization of one factor affine term structure models. Zbl 0978.91033
Filipović, Damir
37
2001
Exponential-polynomial families and the term structure of interest rates. Zbl 0982.60085
Filipović, Damir
7
2000
Invariant manifolds for weak solutions to stochastic equations. Zbl 0970.60069
Filipović, Damir
7
2000
A note on the Nelson-Siegel family. Zbl 0997.91034
Filipović, Damir
18
1999
all top 5

Cited by 969 Authors

36 Filipović, Damir
19 Teichmann, Josef
15 Keller-Ressel, Martin
15 Kupper, Michael
14 Tappe, Stefan
12 Guo, Tiexin
12 Mayerhofer, Eberhard
12 Schmidt, Thorsten
11 Grasselli, Martino
11 Kallsen, Jan
11 Pap, Gyula
10 Barczy, Mátyás
10 Benth, Fred Espen
10 Larsson, Martin
10 Svindland, Gregor
9 Cuchiero, Christa
9 Feinstein, Zachary
9 Li, Zenghu
9 Rüdiger, Barbara
9 Wang, Ruodu
8 Biagini, Francesca
8 Gourieroux, Christian
8 Linetsky, Vadim
7 Krühner, Paul
7 Levendorskiĭ, Sergei
7 Papapantoleon, Antonis
7 Pelsser, Antoon A. J.
7 Zabczyk, Jerzy
6 Brody, Dorje C.
6 Cheridito, Patrick
6 Criens, David
6 Da Fonseca, José
6 Gnoatto, Alessandro
6 Grbac, Zorana
6 Guasoni, Paolo
6 Jamneshan, Asgar
6 Jin, Peng
6 Mendoza-Arriaga, Rafael
6 Platen, Eckhard
6 Weber, Stefan
5 Acciaio, Beatrice
5 Bielecki, Tomasz R.
5 Cialenco, Igor
5 Drapeau, Samuel
5 Glau, Kathrin
5 Horst, Ulrich
5 Hughston, Lane P.
5 Jiao, Ying
5 Kim, Kyoung-Kuk
5 Liu, Haiyan
5 Monfort, Alain
5 Muhle-Karbe, Johannes
5 Robertson, Scott
5 Todorov, Viktor
5 Yuen, Kam Chuen
4 Akahori, Jirô
4 Albeverio, Sergio A.
4 Anthropelos, Michail
4 Assa, Hirbod
4 Barski, Michał
4 Bo, Lijun
4 Boonen, Tim J.
4 Carmona, René A.
4 Carr, Peter P.
4 Cui, Zhenyu
4 Dassios, Angelos
4 Dong, Yinghui
4 Fontana, Claudio
4 Jacquier, Antoine
4 Jang, Jiwook
4 Jentzen, Arnulf
4 Kardaras, Constantinos
4 Li, Lingfei
4 Ma, Chunhua
4 Maccheroni, Fabio
4 Macrina, Andrea
4 Marinacci, Massimo
4 Minca, Andreea
4 Munari, Cosimo
4 Patie, Pierre
4 Pulido, Sergio
4 Sircar, Ronnie
4 Spreij, Peter
4 Tebaldi, Claudio
4 Tsanakas, Andreas
4 Wang, Guojing
4 Xing, Hao
4 Yang, Xuewei
4 Zagst, Rudi
4 Zhang, Xia
4 Zhao, Hongbiao
4 Zhao, Shien
3 Ackerer, Damien
3 Alfonsi, Aurélien
3 Amini, Hamed
3 Angelini, Flavio
3 Belomestny, Denis
3 Björk, Tomas
3 Cerreia-Vioglio, Simone
3 Christensen, Jens H. E.
...and 869 more Authors
all top 5

Cited in 152 Serials

55 Finance and Stochastics
47 Stochastic Processes and their Applications
46 Insurance Mathematics & Economics
43 International Journal of Theoretical and Applied Finance
40 Mathematical Finance
31 Quantitative Finance
28 SIAM Journal on Financial Mathematics
23 Mathematics and Financial Economics
19 The Annals of Applied Probability
18 Journal of Mathematical Analysis and Applications
16 Journal of Econometrics
15 Applied Mathematical Finance
14 Stochastic Analysis and Applications
13 ASTIN Bulletin
12 European Journal of Operational Research
10 Statistics & Probability Letters
10 European Actuarial Journal
10 Annals of Finance
9 Operations Research Letters
9 Journal of Economic Dynamics & Control
9 Review of Derivatives Research
8 Journal of Computational and Applied Mathematics
8 Mathematics of Operations Research
8 Scandinavian Actuarial Journal
8 Decisions in Economics and Finance
8 Stochastics
7 Advances in Applied Probability
7 Journal of Theoretical Probability
7 Asia-Pacific Financial Markets
6 Journal of Applied Probability
6 Journal of Functional Analysis
6 Journal of Mathematical Economics
6 Operations Research
6 Electronic Journal of Probability
5 Stochastic Models
5 Dependence Modeling
4 Applied Mathematics and Optimization
4 Annals of Operations Research
4 Bernoulli
4 Journal of Inequalities and Applications
4 Science China. Mathematics
4 Probability, Uncertainty and Quantitative Risk
3 Chaos, Solitons and Fractals
3 Journal of Optimization Theory and Applications
3 Transactions of the American Mathematical Society
3 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
3 Mathematical Methods of Operations Research
3 Proceedings of the Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences
3 Acta Mathematica Sinica. English Series
3 Methodology and Computing in Applied Probability
3 Frontiers of Mathematics in China
3 International Journal of Stochastic Analysis
3 Stochastic and Partial Differential Equations. Analysis and Computations
2 Journal of Mathematical Physics
2 The Annals of Probability
2 The Annals of Statistics
2 Journal of Multivariate Analysis
2 Proceedings of the American Mathematical Society
2 Statistics
2 Probability Theory and Related Fields
2 Communications in Statistics. Theory and Methods
2 International Journal of Computer Mathematics
2 SIAM Journal on Optimization
2 Potential Analysis
2 Journal of Convex Analysis
2 Abstract and Applied Analysis
2 The Econometrics Journal
2 Econometric Theory
2 Differential Equations
2 Discrete and Continuous Dynamical Systems. Series B
2 Stochastics and Dynamics
2 Journal of Function Spaces and Applications
2 Journal of Industrial and Management Optimization
2 ALEA. Latin American Journal of Probability and Mathematical Statistics
2 Probability Surveys
2 Statistics & Risk Modeling
1 Computers & Mathematics with Applications
1 Journal of Mathematical Biology
1 Journal of Statistical Physics
1 Lithuanian Mathematical Journal
1 Linear and Multilinear Algebra
1 Metrika
1 Moscow University Mathematics Bulletin
1 Moscow University Mechanics Bulletin
1 Physica A
1 Scandinavian Journal of Statistics
1 ZAMP. Zeitschrift für angewandte Mathematik und Physik
1 Journal of Geometry and Physics
1 Theory of Probability and its Applications
1 BIT
1 Information Sciences
1 Journal of Differential Equations
1 Journal of Economic Theory
1 Journal of Statistical Planning and Inference
1 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
1 Numerische Mathematik
1 Quaestiones Mathematicae
1 SIAM Journal on Control and Optimization
1 Theory and Decision
1 Systems & Control Letters
...and 52 more Serials
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Cited in 44 Fields

588 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
410 Probability theory and stochastic processes (60-XX)
118 Statistics (62-XX)
53 Functional analysis (46-XX)
42 Numerical analysis (65-XX)
35 Partial differential equations (35-XX)
28 Systems theory; control (93-XX)
25 Operator theory (47-XX)
22 Operations research, mathematical programming (90-XX)
19 Calculus of variations and optimal control; optimization (49-XX)
10 Measure and integration (28-XX)
9 Dynamical systems and ergodic theory (37-XX)
8 Real functions (26-XX)
7 Ordinary differential equations (34-XX)
6 Integral transforms, operational calculus (44-XX)
5 Approximations and expansions (41-XX)
4 Mathematical logic and foundations (03-XX)
4 Global analysis, analysis on manifolds (58-XX)
4 Information and communication theory, circuits (94-XX)
3 Linear and multilinear algebra; matrix theory (15-XX)
3 Convex and discrete geometry (52-XX)
3 Mechanics of particles and systems (70-XX)
3 Quantum theory (81-XX)
2 General and overarching topics; collections (00-XX)
2 Order, lattices, ordered algebraic structures (06-XX)
2 Commutative algebra (13-XX)
2 Nonassociative rings and algebras (17-XX)
2 Potential theory (31-XX)
2 Special functions (33-XX)
2 Harmonic analysis on Euclidean spaces (42-XX)
2 Integral equations (45-XX)
2 Differential geometry (53-XX)
2 General topology (54-XX)
2 Biology and other natural sciences (92-XX)
1 Combinatorics (05-XX)
1 Number theory (11-XX)
1 Category theory; homological algebra (18-XX)
1 Topological groups, Lie groups (22-XX)
1 Functions of a complex variable (30-XX)
1 Several complex variables and analytic spaces (32-XX)
1 Difference and functional equations (39-XX)
1 Computer science (68-XX)
1 Fluid mechanics (76-XX)
1 Geophysics (86-XX)

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