Damir Filipovic

According to our database, Damir Filipovic authored at least 21 papers between 2001 and 2024.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2024

Sparse Portfolio Selection via Topological Data Analysis based Clustering.

Anubha Goel, Damir Filipovic, Puneet Pasricha

CoRR, 2024

2023

Analysis of Large Market Data Using Neural Networks: A Causal Approach.

Marc-Aurèle Divernois, Jalal Etesami, Damir Filipovic, Negar Kiyavash

IEEE J. Sel. Areas Inf. Theory, 2023

2022

Empirical Asset Pricing via Ensemble Gaussian Process Regression.

Damir Filipovic, Puneet Pasricha

CoRR, 2022

2021

Adaptive joint distribution learning.

Damir Filipovic, Michael D. Multerer, Paul Schneider

CoRR, 2021

2020

Systemic Risk in Networks with a Central Node.

Hamed Amini, Damir Filipovic, Andreea Minca

SIAM J. Financial Math., 2020

2019

Weighted Monte Carlo with least squares and randomized extended Kaczmarz for option pricing.

Damir Filipovic, Kathrin Glau, Yuji Nakatsukasa, Francesco Statti

CoRR, 2019

2018

Exact Smooth Term-Structure Estimation.

Damir Filipovic, Sander Willems

SIAM J. Financial Math., 2018

Replicating portfolio approach to capital calculation.

Mathieu Cambou, Damir Filipovic

Finance Stochastics, 2018

The Jacobi stochastic volatility model.

Damien Ackerer, Damir Filipovic, Sergio Pulido

Finance Stochastics, 2018

2016

Uniqueness of equilibrium in a payment system with liquidation costs.

Hamed Amini, Damir Filipovic, Andreea Minca

Oper. Res. Lett., 2016

To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting.

Hamed Amini, Damir Filipovic, Andreea Minca

Oper. Res., 2016

Polynomial diffusions and applications in finance.

Damir Filipovic, Martin Larsson

Finance Stochastics, 2016

2014

Pricing and hedging of inflation-indexed bonds in an affine framework.

Zehra Eksi, Damir Filipovic

J. Comput. Appl. Math., 2014

2012

Approaches to Conditional Risk.

Damir Filipovic, Michael Kupper, Nicolas Vogelpoth

SIAM J. Financial Math., 2012

2010

Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity.

Damir Filipovic, Stefan Tappe, Josef Teichmann

SIAM J. Financial Math., 2010

2008

A note on natural risk statistics.

Shabbir Ahmed, Damir Filipovic, Gregor Svindland

Oper. Res. Lett., 2008

Existence of Lévy term structure models.

Damir Filipovic, Stefan Tappe

Finance Stochastics, 2008

Optimal capital and risk allocations for law- and cash-invariant convex functions.

Damir Filipovic, Gregor Svindland

Finance Stochastics, 2008

2005

A simple model for credit migration and spread curves.

Li Chen, Damir Filipovic

Finance Stochastics, 2005

2001

A general characterization of one factor affine term structure models.

Damir Filipovic

Finance Stochastics, 2001

Control of vibrations in multi-mass systems with locally controlled absorbers.

Damir Filipovic, Dierk Schröder

Autom., 2001