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Affine variance swap curve models
Filipović, Damir - 2012
This paper provides a brief overview of the stochastic modeling of variance swap curves. Focus is on affine factor … any pre-speci fied points on the variance swap curve. This should facilitate the empirical estimation for such stochastic … contrast to variance swap models, their yield factor representation requires imposing constraints on systems of nonlinear …
Persistent link: https://www.econbiz.de/10009558387
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Empirical Asset Pricing via Ensemble Gaussian Process Regression
Filipović, Damir; Pasricha, Puneet - 2022
We introduce an ensemble learning method based on Gaussian Process Regression (GPR) for predicting conditional expected stock returns given stock-level and macro-economic information. Our ensemble learning approach significantly reduces the computational complexity inherent in GPR inference and...
Persistent link: https://www.econbiz.de/10014236083
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Machine learning with kernels for portfolio valuation and risk management
Boudabsa, Lotfi; Filipović, Damir - 2019
We introduce a simulation method for dynamic portfolio valuation and risk management building on machine learning with kernels. We learn the dynamic value process of a portfolio from a finite sample of its cumulative cash flow. The learned value process is given in closed form thanks to a...
Persistent link: https://www.econbiz.de/10012052380
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A machine learning approach to portfolio pricing and risk management for high-dimensional problems
Fernandez-Arjona, Lucio; Filipović, Damir - 2020
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. The model learns the features necessary for an effective low-dimensional representation, overcoming the curse...
Persistent link: https://www.econbiz.de/10012219260
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Optimal investment and premium policies under risk shifting and solvency regulation
Filipović, Damir; Kremslehner, Robert; Muermann, Alexander - 2011
Limited liability creates a conflict of interests between policyholders and shareholders of insurance companies. It provides shareholders with incentives to increase the risk of the insurer's assets and liabilities which, in turn, might reduce the value policyholders attach to and premiums they...
Persistent link: https://www.econbiz.de/10009009505
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On dynamic hedging of single-tranche collateralized debt obligations
Eksi, Zehra; Filipović, Damir - 2013
a dynamically rebalanced portfolio on the underlying index swap. We analyze the actual performance of the variance …
Persistent link: https://www.econbiz.de/10009750624