Details
Title
Filipovic, Damir
Sciper ID
196224
Affiliated labs
CSF
Publications
A Mixed Approach to Modeling Default Risk
Affine Models
Benchmarking Study of Internal Models
Consistency Problems for Heath-Jarrow-Morton Interest Rate Models
Equivalent and Absolutely Continuous Measure Changes for Jump-Diffusion Processes
Optimal Capital and Risk Allocations for Law-and Cash-Invariant Convex Functions
Option pricing with orthogonal polynomial expansions
Special Issue on Dimensionality Reduction, Learning, and Machines
Term-Structure Models: A Graduate Course
Uniqueness of equilibrium in a payment system with liquidation costs
See complete list of publications (76)
Affine Models
Benchmarking Study of Internal Models
Consistency Problems for Heath-Jarrow-Morton Interest Rate Models
Equivalent and Absolutely Continuous Measure Changes for Jump-Diffusion Processes
Optimal Capital and Risk Allocations for Law-and Cash-Invariant Convex Functions
Option pricing with orthogonal polynomial expansions
Special Issue on Dimensionality Reduction, Learning, and Machines
Term-Structure Models: A Graduate Course
Uniqueness of equilibrium in a payment system with liquidation costs
See complete list of publications (76)
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