Damir Filipovic

27 papers Journal 26Unranked 1
YearRankTypeTitle / Venue / Authors
2025 J jnl
Adaptive Joint Distribution Learning.
SIAM J. Math. Data Sci.
Damir Filipovic, Michael D. Multerer, Paul Schneider
2025 J jnl
Error Propagation in Dynamic Programming: From Stochastic Control to Option Pricing.
CoRR
Andrea Della Vecchia, Damir Filipovic
2025 J jnl
Kernel Density Machines.
CoRR
Damir Filipovic, Paul Schneider
2025 J jnl
Transfer Learning Across Fixed-Income Product Classes.
CoRR
Nicolas Camenzind, Damir Filipovic
2024 J jnl
Joint Estimation of Conditional Mean and Covariance for Unbalanced Panels.
CoRR
Damir Filipovic, Paul Schneider
2024 J jnl
Sparse Portfolio Selection via Topological Data Analysis based Clustering.
CoRR
Anubha Goel, Damir Filipovic, Puneet Pasricha
2023 J jnl
Analysis of Large Market Data Using Neural Networks: A Causal Approach.
IEEE J. Sel. Areas Inf. Theory
Marc-Aurèle Divernois, Jalal Etesami, Damir Filipovic, Negar Kiyavash
2023 — conf
Vertical and Topical Tracks.
WF-IoT
Damir Filipovic, Heiner Stüttgen
2022 J jnl
Empirical Asset Pricing via Ensemble Gaussian Process Regression.
CoRR
Damir Filipovic, Puneet Pasricha
2021 J jnl
Adaptive joint distribution learning.
CoRR
Damir Filipovic, Michael D. Multerer, Paul Schneider
2020 J jnl
Systemic Risk in Networks with a Central Node.
SIAM J. Financial Math.
Hamed Amini, Damir Filipovic, Andreea Minca
2019 J jnl
Weighted Monte Carlo with least squares and randomized extended Kaczmarz for option pricing.
CoRR
Damir Filipovic, Kathrin Glau, Yuji Nakatsukasa, Francesco Statti
2018 J jnl
Exact Smooth Term-Structure Estimation.
SIAM J. Financial Math.
Damir Filipovic, Sander Willems
2018 J jnl
Replicating portfolio approach to capital calculation.
Finance Stochastics
Mathieu Cambou, Damir Filipovic
2018 J jnl
The Jacobi stochastic volatility model.
Finance Stochastics
Damien Ackerer, Damir Filipovic, Sergio Pulido
2016 J jnl
Polynomial diffusions and applications in finance.
Finance Stochastics
Damir Filipovic, Martin Larsson
2016 J jnl
To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting.
Oper. Res.
Hamed Amini, Damir Filipovic, Andreea Minca
2016 J jnl
Uniqueness of equilibrium in a payment system with liquidation costs.
Oper. Res. Lett.
Hamed Amini, Damir Filipovic, Andreea Minca
2014 J jnl
Pricing and hedging of inflation-indexed bonds in an affine framework.
J. Comput. Appl. Math.
Zehra Eksi, Damir Filipovic
2012 J jnl
Approaches to Conditional Risk.
SIAM J. Financial Math.
Damir Filipovic, Michael Kupper, Nicolas Vogelpoth
2010 J jnl
Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity.
SIAM J. Financial Math.
Damir Filipovic, Stefan Tappe, Josef Teichmann
2008 J jnl
A note on natural risk statistics.
Oper. Res. Lett.
Shabbir Ahmed, Damir Filipovic, Gregor Svindland
2008 J jnl
Existence of Lévy term structure models.
Finance Stochastics
Damir Filipovic, Stefan Tappe
2008 J jnl
Optimal capital and risk allocations for law- and cash-invariant convex functions.
Finance Stochastics
Damir Filipovic, Gregor Svindland
2005 J jnl
A simple model for credit migration and spread curves.
Finance Stochastics
Li Chen, Damir Filipovic
2001 J jnl
A general characterization of one factor affine term structure models.
Finance Stochastics
Damir Filipovic
2001 J jnl
Control of vibrations in multi-mass systems with locally controlled absorbers.
Autom.
Damir Filipovic, Dierk Schröder