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2020 – today
- 2024
[i5]Anubha Goel, Damir Filipovic, Puneet Pasricha:
Sparse Portfolio Selection via Topological Data Analysis based Clustering. CoRR abs/2401.16920 (2024)- [i4]Damir Filipovic, Paul Schneider:
Joint Estimation of Conditional Mean and Covariance for Unbalanced Panels. CoRR abs/2410.21858 (2024) - 2023
- [j17]Marc-Aurèle Divernois, Jalal Etesami
, Damir Filipovic, Negar Kiyavash:
Analysis of Large Market Data Using Neural Networks: A Causal Approach. IEEE J. Sel. Areas Inf. Theory 4: 833-847 (2023) - [c1]Damir Filipovic, Heiner Stüttgen:
Vertical and Topical Tracks. WF-IoT 2023: 1-76 - 2022
- [i3]Damir Filipovic, Puneet Pasricha:
Empirical Asset Pricing via Ensemble Gaussian Process Regression. CoRR abs/2212.01048 (2022) - 2021
- [i2]Damir Filipovic, Michael D. Multerer, Paul Schneider:
Adaptive joint distribution learning. CoRR abs/2110.04829 (2021) - 2020
- [j16]Hamed Amini, Damir Filipovic, Andreea Minca:
Systemic Risk in Networks with a Central Node. SIAM J. Financial Math. 11(1): 60-98 (2020)
2010 – 2019
- 2019
- [i1]Damir Filipovic, Kathrin Glau, Yuji Nakatsukasa, Francesco Statti:
Weighted Monte Carlo with least squares and randomized extended Kaczmarz for option pricing. CoRR abs/1910.07241 (2019) - 2018
- [j15]Mathieu Cambou, Damir Filipovic:
Replicating portfolio approach to capital calculation. Finance Stochastics 22(1): 181-203 (2018) - [j14]Damien Ackerer, Damir Filipovic, Sergio Pulido:
The Jacobi stochastic volatility model. Finance Stochastics 22(3): 667-700 (2018) - [j13]Damir Filipovic, Sander Willems:
Exact Smooth Term-Structure Estimation. SIAM J. Financial Math. 9(3): 907-929 (2018) - 2016
- [j12]Damir Filipovic, Martin Larsson:
Polynomial diffusions and applications in finance. Finance Stochastics 20(4): 931-972 (2016) - [j11]Hamed Amini, Damir Filipovic, Andreea Minca:
To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting. Oper. Res. 64(5): 1135-1142 (2016) - [j10]Hamed Amini, Damir Filipovic, Andreea Minca:
Uniqueness of equilibrium in a payment system with liquidation costs. Oper. Res. Lett. 44(1): 1-5 (2016) - 2014
- [j9]Zehra Eksi, Damir Filipovic:
Pricing and hedging of inflation-indexed bonds in an affine framework. J. Comput. Appl. Math. 259: 452-463 (2014) - 2012
- [j8]Damir Filipovic, Michael Kupper, Nicolas Vogelpoth:
Approaches to Conditional Risk. SIAM J. Financial Math. 3(1): 402-432 (2012) - 2010
- [j7]Damir Filipovic, Stefan Tappe, Josef Teichmann:
Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity. SIAM J. Financial Math. 1(1): 523-554 (2010)
2000 – 2009
- 2008
- [j6]Damir Filipovic, Stefan Tappe:
Existence of Lévy term structure models. Finance Stochastics 12(1): 83-115 (2008) - [j5]Damir Filipovic, Gregor Svindland:
Optimal capital and risk allocations for law- and cash-invariant convex functions. Finance Stochastics 12(3): 423-439 (2008) - [j4]Shabbir Ahmed, Damir Filipovic, Gregor Svindland:
A note on natural risk statistics. Oper. Res. Lett. 36(6): 662-664 (2008) - 2005
- [j3]Li Chen, Damir Filipovic:
A simple model for credit migration and spread curves. Finance Stochastics 9(2): 211-231 (2005) - 2001
- [j2]Damir Filipovic, Dierk Schröder:
Control of vibrations in multi-mass systems with locally controlled absorbers. Autom. 37(2): 213-220 (2001) - [j1]Damir Filipovic:
A general characterization of one factor affine term structure models. Finance Stochastics 5(3): 389-412 (2001)
Coauthor Index
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