Concepedia

Damir Filipović

DF

Statistics

Publications

65

Citations

4.5K

H-Index

34

Active since

1998

Affiliations

Swiss Finance Institute(Current)

École Polytechnique Fédérale de Lausanne

Princeton University

Technical University of Munich

Damir Filipović is an author at Swiss Finance Institute specializing in financial economics, finance, and business.

Publications per year

1998–2022

65

Publications

65

Affine processes and applications in finance

Darrell Duffie, Damir Filipović, Walter Schachermayer · The Annals of Applied Probability · 2003 · 1.1K citations · Full text

Engineering, Economics, Finance +17

Market price of risk specifications for affine models: Theory and evidence☆

Patrick Cheridito, Damir Filipović, Robert L. Kimmel · Journal of Financial Economics · 2006 · 346 citations · Full text

Business, Economics, Finance +16

The term structure of interbank risk

Damir Filipović, Anders B. Trolle · Journal of Financial Economics · 2013 · 195 citations · Full text

Management, Finance, Risk Management +17

A general characterization of one factor affine term structure models

Damir Filipović · Finance and Stochastics · 2001 · 137 citations · Full text

Architecture, Computer Science, Representation Theory +4

Optimal capital and risk allocations for law- and cash-invariant convex functions

Damir Filipović, Gregor Svindland · Finance and Stochastics · 2008 · 132 citations · Full text

Business, Finance, Mathematics +15

1–5 of 65