Damir Filipovic

Publication Activity (10 Years)

Years Active: 2001-2024
Publications (10 Years): 13

Top Topics

Gaussian Process

Greenhouse Gases

Top Venues

Finance Stochastics

SIAM J. Financial Math.

IEEE J. Sel. Areas Inf. Theory

Publications

Anubha Goel, Damir Filipovic, Puneet Pasricha
Sparse Portfolio Selection via Topological Data Analysis based Clustering. CoRR (2024)
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 (2023)
Damir Filipovic, Heiner Stüttgen
Vertical and Topical Tracks. WF-IoT (2023)
Damir Filipovic, Puneet Pasricha
Empirical Asset Pricing via Ensemble Gaussian Process Regression. CoRR (2022)
Damir Filipovic, Michael Multerer, Paul Schneider
Adaptive joint distribution learning. CoRR (2021)
Hamed Amini, Damir Filipovic, Andreea Minca
Systemic Risk in Networks with a Central Node. SIAM J. Financial Math. 11 (1) (2020)
Damir Filipovic, Kathrin Glau, Yuji Nakatsukasa, Francesco Statti
Weighted Monte Carlo with least squares and randomized extended Kaczmarz for option pricing. CoRR (2019)
Damir Filipovic, Sander Willems
Exact Smooth Term-Structure Estimation. SIAM J. Financial Math. 9 (3) (2018)
Mathieu Cambou, Damir Filipovic
Replicating portfolio approach to capital calculation. Finance Stochastics 22 (1) (2018)
Damien Ackerer, Damir Filipovic, Sergio Pulido
The Jacobi stochastic volatility model. Finance Stochastics 22 (3) (2018)
Hamed Amini, Damir Filipovic, Andreea Minca
Uniqueness of equilibrium in a payment system with liquidation costs. Oper. Res. Lett. 44 (1) (2016)
Damir Filipovic, Martin Larsson
Polynomial diffusions and applications in finance. Finance Stochastics 20 (4) (2016)
Hamed Amini, Damir Filipovic, Andreea Minca
To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting. Oper. Res. 64 (5) (2016)
Zehra Eksi, Damir Filipovic
Pricing and hedging of inflation-indexed bonds in an affine framework. J. Comput. Appl. Math. 259 (2014)
Damir Filipovic, Michael Kupper, Nicolas Vogelpoth
Approaches to Conditional Risk. SIAM J. Financial Math. 3 (1) (2012)
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) (2010)
Damir Filipovic, Stefan Tappe
Existence of Lévy term structure models. Finance Stochastics 12 (1) (2008)
Shabbir Ahmed, Damir Filipovic, Gregor Svindland
A note on natural risk statistics. Oper. Res. Lett. 36 (6) (2008)
Damir Filipovic, Gregor Svindland
Optimal capital and risk allocations for law- and cash-invariant convex functions. Finance Stochastics 12 (3) (2008)
Li Chen, Damir Filipovic
A simple model for credit migration and spread curves. Finance Stochastics 9 (2) (2005)
Damir Filipovic, Dierk Schröder
Control of vibrations in multi-mass systems with locally controlled absorbers. Autom. 37 (2) (2001)
Damir Filipovic
A general characterization of one factor affine term structure models. Finance Stochastics 5 (3) (2001)