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Latest additions: 2018-12-13 14:33 Exact Smooth Term-Structure Estimation Filipovic, Damir ; Willems, Sander Siam Journal On Financial Mathematics, 9 (3), 907-929 (2018) 01 January 2018 | Journal Articles | Detailed record - Similar records 2018-10-15 10:47 Exact Smooth Term Structure Estimation Willems, Sander ; Filipovic, Damir SIAM Journal on Financial Mathematics, 9 (3), 907–929 (2018) 2018 | Journal Articles | Detailed record - Similar records 2018-10-15 10:36 Unspanned stochastic volatility in the multifactor CIR model Filipović, Damir ; Larsson, Martin ; Statti, Francesco Mathematical Finance (2018) 2018 | Journal Articles | Detailed record - Similar records 2018-10-15 10:33 On the relation between linearity-generating processes and linear-rational models Filipović, Damir ; Larsson, Martin ; Trolle, Anders B. Mathematical Finance (2018) 2018 | Journal Articles | Detailed record - Similar records 2018-10-15 10:25 On the American swaption in the linear-rational framework Filipović, Damir ; Kitapbayev, Yerkin Quantitative Finance, 1-12 (2018) 24 April 2018 | Journal Articles | Detailed record - Similar records 2018-10-15 10:17 Replicating portfolio approach to capital calculation Cambou, Mathieu ; Filipović, Damir Finance and Stochastics, 22 (1), 181-203 (2018) 01 January 2018 | Journal Articles | Detailed record - Similar records 2018-10-15 10:12 Asset-liability management for long-term insurance business Albrecher, Hansjörg ; Bauer, Daniel ; Embrechts, Paul ; Filipović, Damir[...] European Actuarial Journal, 8 (1), 9-25 (2018) 01 June 2018 | Journal Articles | Detailed record - Similar records 2018-10-09 16:02 The Jacobi stochastic volatility model Ackerer, Damien ; Filipović, Damir ; Pulido, Sergio Finance and Stochastics, 22 (3), 667-700 (2018) 01 July 2018 | Journal Articles | Detailed record - Similar records 2017-12-04 17:19 PDF Polynomial models in finance Ackerer, Damien Edouard ; Filipovic, Damir 2017 | Theses | Detailed record - Similar records 2017-05-30 17:06 Stochastic impulse control with regime-switching dynamics Korn, Ralf ; Melnyk, Yaroslav ; Seifried, Frank Thomas European Journal Of Operational Research, 260 (3), 1024-1042 (2017) 2017 | Journal Articles | Detailed record - Similar records [>> more]