Damir Filipović

Q: What Schools Are Affiliated With Damir Filipović

Damir Filipović is affiliated with the following schools: ETH Zurich, École Polytechnique Fédérale de Lausanne, Princeton University, University of Zurich

Damir Filipović's AcademicInfluence.com Rankings

Damir Filipović

Mathematics

#6452

World Rank

#8929

Historical Rank

Measure Theory

#2965

World Rank

#3521

Historical Rank

mathematics Degrees

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Mathematics

Damir Filipović's Degrees

PhD Mathematics ETH Zurich
Masters Mathematics ETH Zurich

Why Is Damir Filipović Influential?

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According to Wikipedia, Damir Filipović is a Swiss mathematician specializing in quantitative finance. He holds the Swissquote Chair in Quantitative Finance and is the director of the Swiss Finance Institute at EPFL . Career Filipović studied mathematics at ETH Zurich and earned his Master's degree in 1995. He joined Freddy Delbaen as PhD student and graduated in 2000 with thesis on mathematical finance titled "Consistency problems for HJM interest rate models".

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Damir Filipović's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Affine Processes and Application in Finance (2002) (1066)
Term-Structure Models: A Graduate Course (2009) (307)
Market price of risk speci-fications for a ne models: theory and evidence (2004) (238)
The Term Structure of Interbank Risk (2012) (179)
Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics 1760) (2001) (171)
Equivalent and absolutely continuous measure changes for jump-diffusion processes (2005) (168)
Market Price of Risk Specifications for Affine Models: Theory and Evidence (2003) (165)
Affine Processes on Positive Semidefinite Matrices (2009) (164)
A Note on the Nelson–Siegel Family (1999) (144)
Separation and duality in locally L 0 -convex modules (2009) (134)
A general characterization of one factor affine term structure models (2001) (117)
Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity (2009) (104)
Optimal capital and risk allocations for law- and cash-invariant convex functions (2008) (100)
QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES (2003) (99)
THE CANONICAL MODEL SPACE FOR LAW‐INVARIANT CONVEX RISK MEASURES IS L1 (2012) (95)
Existence of Lévy term structure models (2007) (95)
Time-inhomogeneous affine processes (2005) (92)
Affine Diffusion Processes: Theory and Applications (2009) (88)
Quadratic Variance Swap Models (2014) (87)
EXISTENCE OF INVARIANT MANIFOLDS FOR STOCHASTIC EQUATIONS IN INFINITE DIMENSION (2003) (85)
Polynomial diffusions and applications in finance (2014) (79)
Linear-Rational Term Structure Models (2016) (76)
EXPONENTIAL-POLYNOMIAL FAMILIES AND THE TERM STRUCTURE OF INTEREST RATES (2000) (75)
SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEM (2002) (73)
On the geometry of the term structure of interest rates (2004) (71)
Jump-diffusions in Hilbert spaces: existence, stability and numerics (2008) (66)
EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS (2008) (64)
Approaches to Conditional Risk (2011) (61)
OPTIMAL CAPITAL AND RISK TRANSFERS FOR GROUP DIVERSIFICATION (2007) (59)
The Jacobi stochastic volatility model (2016) (58)
Uniqueness of Equilibrium in a Payment System with Liquidation Costs (2015) (58)
Delayed resonator with speed feedback – design and performance analysis (2002) (55)
Monotone and cash-invariant convex functions and hulls (2007) (51)
Markovian Term Structure Models in Discrete Time (2002) (50)
Systemic Risk and Central Clearing Counterparty Design (2015) (49)
DYNAMIC CDO TERM STRUCTURE MODELING (2010) (48)
MODEL UNCERTAINTY AND SCENARIO AGGREGATION (2014) (44)
Conditional Density Models for Asset Pricing (2010) (38)
Invariant manifolds for weak solutions to stochastic equations (2000) (37)
To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting (2015) (37)
Linear-Rational Term Structure Models: Linear-Rational Term Structure Models (2017) (36)
Torsional delayed resonator with velocity feedback (1998) (36)
A note on natural risk statistics (2008) (35)
A NOTE ON THE DAI–SINGLETON CANONICAL REPRESENTATION OF AFFINE TERM STRUCTURE MODELS * (2010) (34)
ON FINITE-DIMENSIONAL TERM STRUCTURE MODELS (2002) (31)
Consistency problems for HJM interest rate models (2000) (30)
Optimal Investment and Premium Policies Under Risk Shifting and Solvency Regulation (2011) (30)
Invariant manifolds with boundary for jump-diffusions (2012) (30)
Multi-Level Risk Aggregation (2009) (29)
Option pricing with orthogonal polynomial expansions (2017) (26)
A simple model for credit migration and spread curves (2005) (25)
Insurance: models, digitalization, and data science (2019) (21)
BANDPASS VIBRATION ABSORBER (1998) (21)
A note on the Swiss Solvency Test risk measure (2008) (19)
A term structure model for dividends and interest rates (2018) (19)
Regularity of finite dimensional realizations for evolution equations (2001) (18)
Credit Derivatives in an Affine Framework (2007) (18)
CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH (2009) (17)
On the Group Level Swiss Solvency Test (2007) (17)
Conditions For Consistent Exponential-Polynomial Forward Rate Processes With Multiple Nontrivial Factors (2004) (16)
Asset-liability management for long-term insurance business (2017) (16)
Replicating portfolio approach to capital calculation (2017) (15)
Old-age provision: past, present, future (2016) (13)
Vibration Absorption With Linear Active Resonators: Continuous and Discrete Time Design and Analysis (1999) (12)
Pricing Credit Default Swaps Under Default Correlations and Counterparty Risk (2003) (12)
Delayed resonator with speed feedback including dual frequency-theory and experiments (1997) (12)
On the relation between linearity‐generating processes and linear‐rational models (2016) (11)
OPTIMAL NUMERAIRES FOR RISK MEASURES (2006) (11)
Machine learning with kernels for portfolio valuation and risk management (2019) (11)
Control of vibrations in multi-mass systems with locally controlled absorbers (2001) (10)
Affine Term Structure Models (2006) (10)
Exact Smooth Term-Structure Estimation (2016) (9)
Polynomial Preserving Diffusions and Applications in Finance (2014) (8)
2. Stochastic Equations in Infinite Dimensions (2001) (7)
A machine learning approach to portfolio pricing and risk management for high‐dimensional problems (2020) (7)
Finite dimensional Realizations of Stochastic Equations (2001) (6)
Systemic Risk in Networks with a Central Node (2019) (6)
Pricing and Hedging of CDOs : A Top Down Approach (2009) (6)
Affine Models (2008) (6)
Polynomial diffusions and applications in finance (2016) (5)
A Note on the Dai-Singleton Canonical Representation of Affine Term Structure Models (2008) (5)
Unspanned stochastic volatility in the multifactor CIR model (2017) (5)
Pricing and hedging of inflation-indexed bonds in an affine framework (2012) (5)
Realizable Group Diversification Effects (2008) (5)
Credit Derivatives in an Affine Framework ( Working Paper Version ) (2007) (5)
A Mixed Approach to Modeling Default Risk (2004) (4)
Existence and Uniqueness of Polynomial Preserving Diffusions (2014) (4)
Affine Variance Swap Curve Models (2012) (4)
On the American swaption in the linear-rational framework (2016) (4)
Replicating portfolio approach to capital calculation (2017) (3)
Stripping the Discount Curve - a Robust Machine Learning Approach (2022) (3)
Adaptive joint distribution learning (2021) (3)
Shrinking the Term Structure (2022) (2)
Doubly Stochastic CDO Term Structures (2011) (2)
Estimating the Term-Structure (2009) (2)
Benchmarking Study of Internal Models (2005) (2)
Weighted Monte Carlo with Least Squares and Randomized Extended Kaczmarz for Option Pricing (2019) (2)
SUPPRESSION OF MECHANICAL VIBRATIONS WITH LINEAR ACTIVE RESONATOR : EXPERIMENTAL SYSTEM (1997) (2)
Modeling Credit Risk by Affine Processes (2003) (2)
A Dynamic Affine Factor Model for the Pricing of Collateralized Debt Obligations (2013) (2)
Low Rank Matrix Algebra for the Method of Moments (2018) (2)
Asset-liability management for long-term insurance business (2018) (2)
The Geometry of Interest Rate Models Lecture Notes from the Dimitsana Summer School 2005 (2006) (2)
Pricing and Hedging of CDOs: A Top Down Approach (2009) (1)
ORF555 / FIN555: Fixed Income Models (2002) (1)
Application of MEMS in Turbomachinery Environment (2004) (1)
Machine Learning for Predicting Stock Return Volatility (2021) (1)
Linear credit risk models (2019) (1)
Spectral and Cubature Methods in Finance and Econometrics (2009) (1)
APPENDIX TO Quadratic Variance Swap Models (2015) (1)
Affine Short Rate Models (2002) (1)
Short-Rate Models (2009) (1)
Old-age provision: past, present, future (2016) (1)
Forwards and Futures (2009) (0)
6. Invariant Manifolds for Stochastic Equations (2001) (0)
Probability: A Graduate Course (2006) (0)
Financial Valuation and Risk Management Working Paper No . 749 Affine Variance Swap Curve Models Damir Filipovic (2012) (0)
Najstariji, do sada nepoznat plan Vinkovaca (1993) (0)
Spatial-historical development and architecture of the town of Vinkovci in the second half of the nineteenth century (2000) (0)
Special Issue on Dimensionality Reduction, Learning, and Machines (2021) (0)
7. Consistent HJM Models (2001) (0)
Investor Sentiment and Stock Return Draw-downs (2020) (0)
Heath–Jarrow–Morton (HJM) Methodology (2009) (0)
BRIEF PROJECT REPORT ON THE START PROJECT “GEOMETRY OF STOCHASTIC DIFFERENTIAL EQUATIONS” (Y328) 1. Information on the research work (2010) (0)
Organizing Committee Giulia Di Nunno Ryan Donnelly Damir Filipovic Yaroslav Melnyk Sergio Pulido Administrative Assistance (2015) (0)
The oldest town plan of Vinkovci, previously unknown, from the second half of the eighteenth century (1993) (0)
Fed funds futures variance futures (2015) (0)
The Jacobi stochastic volatility model (2018) (0)
Pricing and Hedging of Inflation-Indexed Bonds in an Affi ne Framework (2013) (0)
Conservation study for Master plan of town Vukovar (2006) (0)
Financial Valuation and Risk Management Working Paper No . 749 Affine Variance Swap Curve Models Damir Filipovic (2012) (0)
Minimal Realizations of Market Models (2010) (0)
Event Studies on Investor Sentiment (2020) (0)
Interest Rates and Related Contracts (2009) (0)
5. The Forward Curve Spaces H w (2001) (0)
Experience of developed European countries in biodiesel fuel application. (1995) (0)
8. Appendix: A Summary of Conditions (2001) (0)
Conservation study for Physical plan of Vukovar District (2006) (0)
Vibration Suppression Using Bandpass Absorber (1999) (0)
Polynomial Preserving Diffusions (2014) (0)
Consistent Term-Structure Parametrizations (2009) (0)
An Empirical Analysis of Valuation Algorithms for Pricing Callable Snowball Floaters (2009) (0)
3. Consistent State Space Processes (2001) (0)
M F ] 2 1 Ju l 2 01 9 Polynomial Jump-Diffusion Models ∗ (2019) (0)
Affine Pricing and Hedging of Collateralized Debt Obligations (2020) (0)
2 A General Affine Framework of Modeling Credit Risk (0)
Spatial and historical development and the architecture of Vinkovci town in the 18th century (1997) (0)
Probability: A Graduate Course. Allan Gut (2006) (0)
2 6 A pr 2 01 8 Polynomial processes for power prices ∗ (2018) (0)
The Geometry of Interest Rate Models (2006) (0)
On Dynamic Hedging of Single-Tranche Collateralized Debt Obligations (2013) (0)
4. The HJM Methodology Revisited (2001) (0)

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What Schools Are Affiliated With Damir Filipović?

Damir Filipović is affiliated with the following schools:

Damir Filipović's Academic­Influence.com Rankings