Damir Filipovic
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| Professor Damir Filipovic | |
|---|---|
 EPFL 2020 Filipovic Damir Portrait.jpg Filipovic Damir in 2020 | |
| Born | 1970 (age 53–54) Flawil |
| 🏳️ Nationality | Switzerland |
| 💼 Occupation | |
| Board member of | Board of Directors of the Swiss Life Group |
| 🏅 Awards | Louis Bachelier Prize EGRIE Prize |
| 🌐 Website | https://www.epfl.ch/labs/csf |
Damir Filipovic (born 1970) is Swiss mathematician specialized in quantitative finance. He hold the Swissquote Chair in Quantitative Finance and is the director of the Swiss Finance Institute at EPFL (École Polytechnique Fédérale de Lausanne).[1][2][3]
Career[edit]
Filipovic studied mathematics at ETH Zurich and earned his Master's degree in 1995. He then joined Freddy Delbaen as PhD student and graduated in 2000 with thesis on Research "Consistency problems for HJM interest rate models".[4] Following he joined as a visiting research fellow the Vienna University of Technology,[5] Stanford University and Princeton University. In 2001, he briefly became Adjunct Assistant Professor at Department of Mathematics and Statistics at Columbia University, but then joined the Department of Mathematics at ETH Zurich as postdoctoral research fellow. In 2002, he went to as a tenure-track assistant professor to work at the Department of Operations Research and Financial Engineering at Princeton University.[6]. As scientific consultant for solvency testing and risk analysis in insurance he joined in 2003 the Swiss Federal Office of Private Insurance (BPV), and simultaneously he joined as senior researcher the Department of Mathematics at ETH Zurich. He became full professor on the Chair of Financial and Insurance Mathematics at the Ludwig Maximilian University of Munich in 2007. In 2007, he was appointed as director of the Vienna Institute of Finance, and full professor at the University of Vienna.[7]. Since 2010 he has been the Swissquote Chair in Quantitative Finance and director of the Swiss Finance Institute at EPFL.[1][2][3]
Research[edit]
Filipovic's research group focuses on quantitative finance by drawing in an interdisciplinary manner on fields such as finance, mathematics, economics, and computational finance. It aims at both advancement of theoretical understanding of financial engineering, and its implementation in the financial industry and governmental policies.[8] Their research target fields such as quantitative finance,[9][10][11] quantitative risk management,[12][13][14] kernel methods for machine learning,[15][16] affine and polynomial processes,[17][18][19] and stochastic models.[20]
Distinctions[edit]
Filipovic is the 2016 recipient of the Louis Bachelier Prize awarded by the London Mathematical Society, the Natixis Foundation for Quantitative Research and the Société de Mathématiques Appliquées et Industrielles.[21], In 2010, he was awarded the EGRIE Prize at the World Risk and Insurance Economics Congress.[22]
He has been associate editors at academic journals such as Mathematics and Financial Economics, Stochastics, Asia-Pacific Financial Markets, and Mathematical Finance,[23] and Finance and Stochastics.[24]
He is board member of the Board of Directors of the Swiss Life Group.[25]
Selected works[edit]
- Schachermayer, W.; Filipovi?, D.; Duffie, D. (2003). "Affine processes and apaplications in finance". The Annals of Applied Probability. 13 (3): 984–1053. doi:10.1214/aoap/1060202833. Unknown parameter
|s2cid=ignored (help) - Filipovic, Damir (2009). Term-Structure Models. doi:10.1007/978-3-540-68015-4. ISBN 978-3-540-09726-6. Search this book on
- Cheridito, Patrick; Filipović, Damir; Kimmel, Robert L. (2007). "Market price of risk specifications for affine models: Theory and evidence☆". Journal of Financial Economics. 83: 123–170. doi:10.1016/j.jfineco.2005.09.008.
- Filipovic, Damir (2 November 2004). Consistency Problems for Heath-Jarrow-Morton Interest Rate Models. ISBN 978-3-540-44548-7. Search this book on
- Filipovic, Damir (1999). "A Note on the Nelson-Siegel Family". Mathematical Finance. 9 (4): 349–359. doi:10.1111/1467-9965.00073. Unknown parameter
|s2cid=ignored (help) - Filipović, Damir; Trolle, Anders B. (2013). "The term structure of interbank risk". Journal of Financial Economics. 109 (3): 707–733. doi:10.1016/j.jfineco.2013.03.014.
- Cuchiero, Christa; Filipović, Damir; Mayerhofer, Eberhard; Teichmann, Josef (2011). "Affine processes on positive semidefinite matrices". The Annals of Applied Probability. 21 (2): 397–463. doi:10.1214/10-AAP710. Unknown parameter
|s2cid=ignored (help) - Cheridito, Patrick; Filipović, Damir; Yor, Marc (2005). "Equivalent and absolutely continuous measure changes for jump-diffusion processes". The Annals of Applied Probability. 15 (3): 1713–1732. arXiv:math/0508450. Bibcode:2005math......8450C. doi:10.1214/105051605000000197. Unknown parameter
|s2cid=ignored (help)
References[edit]
- ↑ 1.0 1.1 "Führender Professor in Finanzrisikomanagement an Swissquote-Lehrstuhl berufen" (PDF). Swissquote. Unknown parameter
|url-status=ignored (help) - ↑ 2.0 2.1 "Damir Filipovic". www.epfl.ch. Retrieved 2020-12-09.
- ↑ 3.0 3.1 "Damir Filipović". www.sfi.ch (in français). Retrieved 2020-12-09.
- ↑ Filipović, Damir (2000). Consistency problems for HJM interest rate models (Doctoral Thesis thesis). ETH Zurich. doi:10.3929/ethz-a-003882242.
- ↑ Cuchiero, Christa; Filipovic, Damir; Teichmann, Josef (2008-10-10). "Affine Models". arXiv:0809.1985 [q-fin.PR].
- ↑ "SWSDF Company Profile & Executives - Swiss Life Holding AG - Wall Street Journal". www.wsj.com. Retrieved 2020-12-09.
- ↑ "Swiss Life: Weltweit anerkannter Mathematiker in den VR". finews.ch (in Deutsch). 2011-04-08. Retrieved 2020-12-09.
- ↑ "Swissquote Chair in Quantitative Finance". www.epfl.ch. Retrieved 2020-12-10.
- ↑ Filipović, Damir; Kitapbayev, Yerkin (2018-11-02). "On the American swaption in the linear-rational framework". Quantitative Finance. 18 (11): 1865–1876. arXiv:1607.02067. doi:10.1080/14697688.2018.1446547. ISSN 1469-7688. Unknown parameter
|s2cid=ignored (help) - ↑ Filipović, Damir; Trolle, Anders B. (September 2016). "Fed funds futures variance futures". Quantitative Finance. 16 (9): 1413–1422. doi:10.1080/14697688.2016.1152391. ISSN 1469-7688. Unknown parameter
|s2cid=ignored (help) - ↑ Filipović, Damir; Trolle, Anders B. (2016-09-01). "Fed funds futures variance futures". Quantitative Finance. 16 (9): 1413–1422. doi:10.1080/14697688.2016.1152391. ISSN 1469-7688. Unknown parameter
|s2cid=ignored (help) - ↑ Filipović, Damir; Kremslehner, Robert; Muermann, Alexander (2015-06-01). "Optimal Investment and Premium Policies Under Risk Shifting and Solvency Regulation: Risk Shifting and Solvency Regulation". Journal of Risk and Insurance. 82 (2): 261–288. arXiv:1103.1729. doi:10.1111/jori.12021. Unknown parameter
|s2cid=ignored (help) - ↑ Filipović, Damir; Trolle, Anders B. (2013-09-01). "The term structure of interbank risk". Journal of Financial Economics. 109 (3): 707–733. doi:10.1016/j.jfineco.2013.03.014. ISSN 0304-405X.
- ↑ Filipović, Damir; Kupper, Michael; Vogelpoth, Nicolas (2011-01-13). "Approaches to Conditional Risk". Rochester, NY. SSRN 1752851.
- ↑ Fernandez-Arjona, Lucio; Filipović, Damir (2020-05-22). "A machine learning approach to portfolio pricing and risk management for high-dimensional problems". arXiv:2004.14149 [q-fin.RM].
- ↑ Boudabsa, Lotfi; Filipovic, Damir (2020-08-30). "Machine learning with kernels for portfolio valuation and risk management". arXiv:1906.03726 [q-fin.CP].
- ↑ Eksi, Zehra; Filipović, Damir (2013-10-01). "Pricing and Hedging of Inflation-Indexed Bonds in an Affine Framework". Rochester, NY. SSRN 2342209.
- ↑ Filipović, Damir; Mayerhofer, Eberhard; Schneider, Paul (2013-10-01). "Density approximations for multivariate affine jump-diffusion processes". Journal of Econometrics. 176 (2): 93–111. doi:10.1016/j.jeconom.2012.12.003. ISSN 0304-4076. Unknown parameter
|s2cid=ignored (help) - ↑ Sharef, Emmanuel; Filipović, Damir (2004-09-01). "Conditions for consistent exponential-polynomial forward rate processes with multiple nontrivial factors". International Journal of Theoretical and Applied Finance. 07 (6): 685–700. doi:10.1142/S0219024904002608. ISSN 0219-0249.
- ↑ Filipović, Damir; Larsson, Martin; Statti, Francesco (2018-04-13). "Unspanned Stochastic Volatility in the Multi-factor CIR Model". arXiv:1705.02789 [q-fin.MF].
- ↑ "Louis Bachelier Prize | London Mathematical Society". www.lms.ac.uk. Retrieved 2020-12-09.
- ↑ "Awards". www.egrie.org. Retrieved 2020-12-09.
- ↑ "Mathematical Finance". Wiley Online Library. Retrieved 2020-12-10.
- ↑ "Finance and Stochastics". Springer. Retrieved 2020-12-11.
- ↑ "Board of Directors". Swiss Life Group. Retrieved 2020-12-10.
External links[edit]
- Damir Filipovic publications indexed by Google Scholar
- Website of the Swissquote Chair in Quantitative Finance
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