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Damir Filipović

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Damir Filipović
Damir Filipović in 2021
Born1970 (age 53–54)
NationalitySwiss
AwardsLouis Bachelier Prize
Academic background
EducationMathematics
Alma materETH Zurich
Doctoral advisorFreddy Delbaen
Academic work
DisciplineMathematics
Sub-disciplineQuantitative finance
InstitutionsÉcole Polytechnique Fédérale de Lausanne (EPFL)
Main interestsMachine learning in finance
Quantitative finance
Quantitative risk management
Stochastic models
Websitehttps://www.epfl.ch/labs/csf

Damir Filipović (born 1970 in Switzerland) is a Swiss mathematician specializing in quantitative finance. He holds 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

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Filipović studied mathematics at ETH Zurich and earned his Master's degree in 1995. He joined Freddy Delbaen as PhD student and graduated in 2000 with thesis on mathematical finance titled "Consistency problems for HJM interest rate models".[4]

As a postdoctoral research fellow he joined Vienna University of Technology (2000), Stanford University (2001) and Princeton University (2001) to work on consistency problems for Heath-Jarrow-Morton interest rate models[5] and affine processes and applications in finance.[6]

From 2002 to 2003 he was an assistant professor at Princeton University's Department of Operations Research and Financial Engineering. As scientific consultant for solvency testing and risk analysis in insurance (Swiss Solvency Test) he joined the Swiss Federal Office of Private Insurance (BPV) in 2003. In 2004, he became full professor on the Chair of Financial and Insurance Mathematics at the Ludwig Maximilian University of Munich. 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

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Filipović's research focuses on quantitative finance by drawing in an interdisciplinary manner on fields such as quantitative finance, quantitative risk management, and machine learning in finance. It aims at both the advancement of theoretical understanding of financial engineering, and its implementation in the financial industry and governmental policies.[8] His research interests encompass polynomial processes and applications in finance,[9] systemic risk in financial networks,[10][11] Interest rates,[12][13][14][15][16] credit risk,[17][18] stochastic volatility,[19][20] Stochastic processes,[21][22][23][24] quantitative risk management and regulation,[25][26] and machine learning in finance.[27][28]

He also teaches a MOOC on "Interest Rate Models" on Coursera.[29]

Distinctions

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Filipović 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.[30]

He is a member and former president (2016–2017) of the Bachelier finance society.[31]

He has been an associate editor at academic journals such as Mathematics and Financial Economics, Stochastics, SIAM Journal on Financial Mathematics, Mathematical Finance,[32] and Finance and Stochastics.[33]

Selected works

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References

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  1. ^ a b "Führender Professor in Finanzrisikomanagement an Swissquote-Lehrstuhl berufen" (PDF). Swissquote. Archived (PDF) from the original on 12 July 2019.
  2. ^ a b "Damir Filipovic". www.epfl.ch. Retrieved 9 December 2020.
  3. ^ a b "Damir Filipović". www.sfi.ch. Retrieved 7 April 2021.
  4. ^ Filipović, Damir (2000). Consistency problems for HJM interest rate models (Doctoral Thesis thesis). ETH Zurich. doi:10.3929/ethz-a-003882242. hdl:20.500.11850/144529.
  5. ^ Filipović, Damir (2001). Consistency Problems for Heath-Jarrow-Morton Interest Rate Models. Lecture Notes in Mathematics. Vol. 1760. doi:10.1007/b76888. ISBN 978-3-540-41493-3. ISSN 0075-8434.
  6. ^ Duffie, D.; Filipović, D.; Schachermayer, W. (1 August 2003). "Affine processes and applications in finance". The Annals of Applied Probability. 13 (3). doi:10.1214/aoap/1060202833. ISSN 1050-5164. S2CID 6340845.
  7. ^ "Mathematik und ... – Programme – WWTF – Wiener Wissenschafts-, Forschungs- und Technologiefonds". www.wwtf.at. Retrieved 6 April 2021.
  8. ^ "Swissquote Chair in Quantitative Finance". www.epfl.ch. Retrieved 10 December 2020.
  9. ^ Filipović, Damir; Larsson, Martin (March 2020). "Polynomial Jump-Diffusion Models". Stochastic Systems. 10 (1): 71–97. arXiv:1711.08043. doi:10.1287/stsy.2019.0052. ISSN 1946-5238. S2CID 213891123.
  10. ^ Amini, Hamed; Filipović, Damir; Minca, Andreea (January 2020). "Systemic Risk in Networks with a Central Node". SIAM Journal on Financial Mathematics. 11 (1): 60–98. doi:10.1137/18M1184667. ISSN 1945-497X. S2CID 214014802.
  11. ^ Filipović, Damir; Kupper, Michael (13 December 2007). "Optimal capital and risk transfers for group diversification". Mathematical Finance. 18 (1): 55–76. doi:10.1111/j.1467-9965.2007.00322.x. S2CID 9130802.
  12. ^ Filipovic, Damir (2009). Term-Structure Models. Berlin, Heidelberg: Springer Berlin Heidelberg. doi:10.1007/978-3-540-68015-4. ISBN 978-3-540-09726-6.
  13. ^ Filipovic, Damir (October 1999). "A Note on the Nelson-Siegel Family". Mathematical Finance. 9 (4): 349–359. doi:10.1111/1467-9965.00073. ISSN 0960-1627. S2CID 16988722.
  14. ^ Filipović, Damir; Larsson, Martin; Trolle, Anders B. (April 2017). "Linear-Rational Term Structure Models: Linear-Rational Term Structure Models". The Journal of Finance. 72 (2): 655–704. doi:10.1111/jofi.12488.
  15. ^ Filipović, Damir; Willems, Sander (October 2020). "A term structure model for dividends and interest rates". Mathematical Finance. 30 (4): 1461–1496. arXiv:1803.02249. doi:10.1111/mafi.12279. ISSN 0960-1627. S2CID 234741030.
  16. ^ Filipović, Damir; Willems, Sander (January 2018). "Exact Smooth Term-Structure Estimation". SIAM Journal on Financial Mathematics. 9 (3): 907–929. arXiv:1606.03899. doi:10.1137/16M1080276. ISSN 1945-497X. S2CID 120373508.
  17. ^ Filipović, Damir; Trolle, Anders B. (September 2013). "The term structure of interbank risk". Journal of Financial Economics. 109 (3): 707–733. doi:10.1016/j.jfineco.2013.03.014.
  18. ^ Ackerer, Damien; Filipović, Damir (January 2020). "Linear credit risk models". Finance and Stochastics. 24 (1): 169–214. arXiv:1605.07419. doi:10.1007/s00780-019-00409-z. ISSN 0949-2984. S2CID 209509242.
  19. ^ Filipović, Damir; Gourier, Elise; Mancini, Loriano (January 2016). "Quadratic variance swap models". Journal of Financial Economics. 119 (1): 44–68. doi:10.1016/j.jfineco.2015.08.015.
  20. ^ Ackerer, Damien; Filipović, Damir; Pulido, Sergio (June 2018). "The Jacobi stochastic volatility model". Finance and Stochastics. 22 (3): 667–700. arXiv:1605.07099. doi:10.1007/s00780-018-0364-8. ISSN 0949-2984. S2CID 49415504.
  21. ^ Cheridito, Patrick; Filipović, Damir; Kimmel, Robert L. (January 2007). "Market price of risk specifications for affine models: Theory and evidence☆". Journal of Financial Economics. 83 (1): 123–170. doi:10.1016/j.jfineco.2005.09.008.
  22. ^ Cuchiero, Christa; Filipović, Damir; Mayerhofer, Eberhard; Teichmann, Josef (1 April 2011). "Affine processes on positive semidefinite matrices". The Annals of Applied Probability. 21 (2). arXiv:0910.0137. doi:10.1214/10-AAP710. ISSN 1050-5164. S2CID 15944588.
  23. ^ Cheridito, Patrick; Filipović, Damir; Yor, Marc (1 August 2005). "Equivalent and absolutely continuous measure changes for jump-diffusion processes". The Annals of Applied Probability. 15 (3). arXiv:math/0508450. doi:10.1214/105051605000000197. ISSN 1050-5164. S2CID 2504454.
  24. ^ Filipović, Damir; Mayerhofer, Eberhard; Schneider, Paul (October 2013). "Density approximations for multivariate affine jump-diffusion processes". Journal of Econometrics. 176 (2): 93–111. arXiv:1104.5326. doi:10.1016/j.jeconom.2012.12.003. S2CID 122805766.
  25. ^ Cambou, Mathieu; Filipović, Damir (January 2018). "Replicating portfolio approach to capital calculation". Finance and Stochastics. 22 (1): 181–203. doi:10.1007/s00780-017-0347-1. ISSN 0949-2984. S2CID 508079.
  26. ^ Cambou, Mathieu; Filipović, Damir (April 2017). "Model Uncertainty and Scenario Aggregation". Mathematical Finance. 27 (2): 534–567. doi:10.1111/mafi.12097. S2CID 157683249.
  27. ^ Fernandez Arjona, Lucio; Filipovic, Damir (2020). "A machine learning approach to portfolio pricing and risk management for high-dimensional problems". SSRN Electronic Journal. arXiv:2004.14149. doi:10.2139/ssrn.3588376. ISSN 1556-5068. S2CID 216641606.
  28. ^ Boudabsa, Lotfi; Filipovic, Damir (2019). "Machine Learning With Kernels for Portfolio Valuation and Risk Management". SSRN Electronic Journal. arXiv:1906.03726. doi:10.2139/ssrn.3401539. ISSN 1556-5068. S2CID 182952325.
  29. ^ "Interest Rate Models". Coursera. Retrieved 6 April 2021.
  30. ^ "Louis Bachelier Prize | London Mathematical Society". www.lms.ac.uk. Retrieved 9 December 2020.
  31. ^ Office, Bachelier. "Former members of the Executive Committee". Bachelier Finance Society. Retrieved 6 April 2021.
  32. ^ "Mathematical Finance". Wiley Online Library. Retrieved 10 December 2020.
  33. ^ "Finance and Stochastics". Springer. Retrieved 11 December 2020.
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