CSF - The Swissquote Chair in Quantitative Finance

Latest additions

• 2017-05-30
  17:06
  R. Korn, Y. Melnyk and F. T. Seifried. Stochastic impulse control with regime-switching dynamics, in European Journal Of Operational Research, vol. 260, num. 3, p. 1024-1042, 2017.

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• 2017-05-01
  17:04
  M. Cambou and D. Filipovic. Model Uncertainty And Scenario Aggregation, in Mathematical Finance, vol. 27, num. 2, p. 534-567, 2017.

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• 2017-05-01
  17:04
  D. Filipovic, M. Larsson and A. B. Trolle. Linear-Rational Term Structure Models, in Journal Of Finance, vol. 72, num. 2, p. 655-704, 2017.

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• 2017-02-17
  12:13
  H. Albrecher, P. Embrechts, D. Filipovic, G. W. Harrison and P. Koch et al. Old-age provision: past, present, future, in European Actuarial Journal, vol. 6, num. 2, p. 287-306, 2016.

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• 2017-01-24
  17:06
  H. Amini, D. Filipovic and A. Minca. To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting, in Operations Research, vol. 64, num. 5, p. 1135-1142, 2016.

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• 2017-01-24
  17:06
  D. Filipovic and M. Larsson. Polynomial diffusions and applications in finance, in Finance And Stochastics, vol. 20, num. 4, p. 931-972, 2016.

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• 2016-11-21
  11:57
  M. J. D. Cambou, D. Filipovic and A. C. Davison (Dirs.). Essays on Capital Calculation in Insurance. Thèse EPFL, n° 7269 (2016)

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• 2016-10-18
  14:37
  D. Filipovic and A. B. Trolle. Fed funds futures variance futures, in Quantitative Finance, vol. 16, num. 9, p. 1413-1422, 2016.

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• 2016-04-01
  12:48
  H. Amini, D. Filipovic and A. Minca. Uniqueness of equilibrium in a payment system with liquidation costs, in Operations Research Letters, vol. 44, num. 1, p. 1-5, 2016.

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• 2016-02-16
  10:22
  D. Filipovic, E. Gourier and L. Mancini. Quadratic variance swap models, in Journal Of Financial Economics, vol. 119, num. 1, p. 44-68, 2016.

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