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DYNAMIC CDO TERM STRUCTURE MOD...
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Finance and stochastics
Research paper series / Swiss Finance Institute
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A general characterization of one factor affine term structure models
Filipović, Damir
- In:
Finance and stochastics
5
(
2001
)
3
,
pp. 389-412
Persistent link: https://www.econbiz.de/10001599299
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2
Discount models
Filipović, Damir
- In:
Finance and stochastics
27
(
2023
)
4
,
pp. 933-946
Persistent link: https://www.econbiz.de/10014426399
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3
Optimal capital and risk allocations for law- and cash-invariant convex functions
Filipović, Damir
;
Svindland, Gregor
- In:
Finance and stochastics
12
(
2008
)
3
,
pp. 423
Persistent link: https://www.econbiz.de/10008221081
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4
Existence of Lévy term structure models
Filipović, Damir
;
Tappe, Stefan
- In:
Finance and stochastics
12
(
2008
)
1
,
pp. 83-116
Persistent link: https://www.econbiz.de/10008221428
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5
A simple model for credit migration and spread curves
Chen, Li
;
Filipović, Damir
- In:
Finance and stochastics
9
(
2005
)
2
,
pp. 211-231
Persistent link: https://www.econbiz.de/10002747172
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6
Optimal capital and risk allocations for law- and cash-invariant convex functions
Filipović, Damir
;
Svindland, Gregor
- In:
Finance and stochastics
12
(
2008
)
3
,
pp. 423-439
Persistent link: https://www.econbiz.de/10003899207
Saved in:
7
Existence of Lévy term structure models
Filipović, Damir
;
Tappe, Stefan
- In:
Finance and stochastics
12
(
2008
)
1
,
pp. 83-115
Persistent link: https://www.econbiz.de/10003592553
Saved in:
8
Polynomial diffusions and applications in finance
Filipović, Damir
;
Larsson, Martin
- In:
Finance and stochastics
20
(
2016
)
4
,
pp. 931-972
Persistent link: https://www.econbiz.de/10011570151
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9
Replicating portfolio approach to capital calculation
Cambou, Mathieu
;
Filipović, Damir
- In:
Finance and stochastics
22
(
2018
)
1
,
pp. 181-203
Persistent link: https://www.econbiz.de/10011945649
Saved in:
10
The Jacobi stochastic volatility model
Ackerer, Damien
;
Filipović, Damir
;
Pulido, Sergio
- In:
Finance and stochastics
22
(
2018
)
3
,
pp. 667-700
Persistent link: https://www.econbiz.de/10011945894
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