Unit
The Swissquote Chair in Quantitative Finance
LaboratorySummary
The Chaire Swissquote en finance quantitative, held by Damir Filipovic, focuses on advancing research in quantitative finance and risk management. With a Ph.D. in mathematics from ETH Zurich, Filipovic has published extensively in top academic journals and authored a textbook on term-structure models. He aims to foster young academics and promote knowledge transfer between theory and practice, maintaining strong ties with the banking and insurance industry. The chair plays a crucial role in the Master in Financial Engineering and PhD Programs in Finance and Mathematics at EPFL, contributing to a multidisciplinary research environment.
Official source
About this result
This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.
Ontological neighbourhood
Related people (4)
Related publications (98)
How Integrated are Credit and Equity Markets? Evidence from Index Options
Pierre Collin Dufresne, Jan Benjamin Junge
We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit-risk model with stochastic volatility and jumps using ...
Hoboken2024Takeover Protections and Asset Prices
We study the effects of takeover feasibility on asset prices and returns in a unified framework. We show theoretically that takeover protections increase equity risk, stock returns, and bond yields by removing a valuable put option to sell the firm, notabl ...
Catonsville2024Closed form approximation methods for portfolio valuation and risk management
In this thesis we present three closed form approximation methods for portfolio valuation and risk management.The first chapter is titled ``Kernel methods for portfolio valuation and risk management'', and is a joint work with Damir Filipovi'c (SFI and EP ...
EPFL2023