Person
Damir Filipovic
Related publications (79)
Stripping the Swiss discount curve using kernel ridge regression
We analyze and implement the kernel ridge regression (KR) method developed in Filipovic et al. (Stripping the discount curve-a robust machine learning approach. Swiss Finance Institute Research Paper No. 22-24. SSRN. https://ssrn.com/abstract=4058150, 2022 ...
Springer Heidelberg2024Discount models
Discount is the difference between the face value of a bond and its present value. We propose an arbitrage-free dynamic framework for discount models, which provides an alternative to the Heath-Jarrow-Morton framework for forward rates. We derive general c ...
Heidelberg2023A machine learning approach to portfolio pricing and risk management for high-dimensional problems
We present a general framework for portfolio risk management in discrete time, based on a replicating martingale. This martingale is learned from a finite sample in a supervised setting. Our method learns the features necessary for an effective low-dimensi ...
WILEY2022Mean-Covariance Robust Risk Measurement
Daniel Kuhn, Damir Filipovic, Viet Anh Nguyen, Soroosh Shafieezadeh Abadeh
We introduce a universal framework for mean-covariance robust risk measurement and portfolio optimization. We model uncertainty in terms of the Gelbrich distance on the mean-covariance space, along with prior structural information about the population dis ...
2021A term structure model for dividends and interest rates
Damir Filipovic, Sander Félix M Willems
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. ...
WILEY2020Markov cubature rules for polynomial processes
Damir Filipovic, Martin Larsson, Sergio Andres Pulido Nino
We study discretizations of polynomial processes using finite state Markov processes satisfying suitable moment matching conditions. The states of these Markov processes together with their transition probabilities can be interpreted as Markov cubature rul ...
ELSEVIER2020Systemic Risk in Networks with a Central Node
Damir Filipovic, Léo Hamed Amini
We examine the effects on a financial network of clearing all contracts though a central node (CN), thereby transforming the original network into a star-shaped one. The CN is capitalized with external equity and a guaranty fund. We introduce a structural ...
SIAM PUBLICATIONS2020Polynomial Jump-Diffusion Models
Damir Filipovic, Martin Larsson
We develop a comprehensive mathematical framework for polynomial jump-diffusions in a semimartingale context, which nest affine jump-diffusions and have broad applications in finance. We show that the polynomial property is preserved under polynomial trans ...
2020Option pricing with orthogonal polynomial expansions
Damir Filipovic, Damien Edouard Ackerer
We derive analytic series representations for European option prices in polynomial stochastic volatility models. This includes the Jacobi, Heston, Stein-Stein, and Hull-White models, for which we provide numerical case studies. We find that our polynomial ...
WILEY2019On the relation between linearity-generating processes and linear-rational models
Damir Filipovic, Martin Larsson
We review the notion of a linearity-generating (LG) process introduced by Gabaix and relate LG processes to linear-rational (LR) models studied by Filipović et al. We show that every LR model can be represented as an LG process and vice versa. We find that ...
2019