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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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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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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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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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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
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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
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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
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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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Linear credit risk models
Ackerer, Damien; Filipović, Damir - In: Finance and stochastics 24 (2020) 1, pp. 169-214
Persistent link: https://www.econbiz.de/10012253344
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Machine learning with kernels for portfolio valuation and risk management
Boudabsa, Lotfi; Filipović, Damir - In: Finance and stochastics 26 (2022) 2, pp. 131-172
Persistent link: https://www.econbiz.de/10013197507