Damir Filipovic - researchr alias

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Viewing Publication 1 - 19 from 19

2025

Adaptive Joint Distribution LearningDamir Filipovic, Michael D. Multerer, Paul Schneider. simods, 7(1):28-54, 2025. [doi]

2023

Analysis of Large Market Data Using Neural Networks: A Causal ApproachMarc-Aurèle Divernois, Jalal Etesami, Damir Filipovic, Negar Kiyavash. jsait, 4:833-847, 2023. [doi]

Vertical and Topical TracksDamir Filipovic, Heiner Stüttgen. wf-iot 2023: 1-76 [doi]

2020

Systemic Risk in Networks with a Central NodeHamed Amini, Damir Filipovic, Andreea Minca. siamfm, 11(1):60-98, 2020. [doi]

2018

The Jacobi stochastic volatility modelDamien Ackerer, Damir Filipovic, Sergio Pulido. fs, 22(3):667-700, 2018. [doi]

Replicating portfolio approach to capital calculationMathieu Cambou, Damir Filipovic. fs, 22(1):181-203, 2018. [doi]

Exact Smooth Term-Structure EstimationDamir Filipovic, Sander Willems. siamfm, 9(3):907-929, 2018. [doi]

2016

To Fully Net or Not to Net: Adverse Effects of Partial Multilateral NettingHamed Amini, Damir Filipovic, Andreea Minca. ior, 64(5):1135-1142, 2016. [doi]

Uniqueness of equilibrium in a payment system with liquidation costsHamed Amini, Damir Filipovic, Andreea Minca. orl, 44(1):1-5, 2016. [doi]

Polynomial diffusions and applications in financeDamir Filipovic, Martin Larsson. fs, 20(4):931-972, 2016. [doi]

2014

Pricing and hedging of inflation-indexed bonds in an affine frameworkZehra Eksi, Damir Filipovic. jcam, 259:452-463, 2014. [doi]

2012

Approaches to Conditional RiskDamir Filipovic, Michael Kupper, Nicolas Vogelpoth. siamfm, 3(1):402-432, 2012. [doi]

2010

Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and PositivityDamir Filipovic, Stefan Tappe, Josef Teichmann. siamfm, 1(1):523-554, 2010. [doi]

2008

A note on natural risk statisticsShabbir Ahmed, Damir Filipovic, Gregor Svindland. orl, 36(6):662-664, 2008. [doi]

Optimal capital and risk allocations for law- and cash-invariant convex functionsDamir Filipovic, Gregor Svindland. fs, 12(3):423-439, 2008. [doi]

Existence of Lévy term structure modelsDamir Filipovic, Stefan Tappe. fs, 12(1):83-115, 2008. [doi]

2005

A simple model for credit migration and spread curvesLi Chen, Damir Filipovic. fs, 9(2):211-231, 2005. [doi]

2001

Control of vibrations in multi-mass systems with locally controlled absorbersDamir Filipovic, Dierk Schröder. automatica, 37(2):213-220, 2001. [doi]

A general characterization of one factor affine term structure modelsDamir Filipovic. fs, 5(3):389-412, 2001. [doi]

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