Damir Filipovic

Damir Filipovic

Swissquote Chair in Quantitative Finance
Swiss Finance Institute Professor
Head of the Swiss Finance Institute @ EPFL

Damir Filipović holds the Swissquote Chair in Quantitative Finance at the Ecole Polytechnique Fédérale de Lausanne (EPFL) and a Swiss Finance Institute Senior Chair. He also acts as head of the Swiss Finance Institute @ EPFL.

He holds a Ph.D. in mathematics from ETH Zurich and has been a faculty member of the University of Vienna, the University of Munich and Princeton University. He also worked for the Swiss Federal Office of Private Insurance as co-developer of the Swiss Solvency Test.

He is on the editorial board of several academic journals. His research focus is in quantitative finance and risk management. His papers have been published in a variety of academic journals including the Journal of Finance, Journal of Financial Economics, Mathematical Finance, Finance and Stochastics, and the Annals of Applied Probability. He is the author of a textbook titled Term-Structure Models.

At EPFL he pursues three main goals:

  • To advance the various disciplines of quantitative finance and risk management by conducting research;
  • To foster junior academics as Postdocs, doctoral or Master students;
  • To promote the transfer of knowledge from theory to practice by cultivating and maintaining good contacts with the banking and insurance industry

Curriculum vitae


Term-Structure Models: A Graduate Course
(Springer Finance), Springer-Verlag, Berlin, 2009 (Errata) (MOOC) (MOOC Teaser)

Consistency Problems for Heath-Jarrow-Morton Interest Rate Models
(Lecture Notes in Mathematics 1760), Springer-Verlag, Berlin, 2001

On the Relation between Linearity-Generating Processes and Linear-Rational Models
(with M. Larsson and A. Trolle), Mathematical Finance, forthcoming (arXiv) (SSRN)

Unspanned Stochastic Volatility in the Multi-factor CIR Model
(with M. Larsson and F. Statti), Mathematical Finance, forthcoming (arXiv) (SSRN)

On the American Swaption in the Linear-Rational Framework
(with Y. Kitapbayev), Quantitative Finance, 18(11), 1865-1876, 2018 (QF) (arXiv) (SSRN)

The Jacobi Stochastic Volatility Model
(with D. Ackerer and S. Pulido), Finance and Stochastics, 22(3), 667-700, 2018 (FS) (arXiv) (SSRN)

Exact Smooth Term Structure Estimation
(with S. Willems), SIAM Journal on Financial Mathematics, 9(3), 907–929, 2018 (SIFIN) (arXiv) (SSRN)

Asset-Liability Management for Long-Term Insurance Business
(with H. Albrecher, D. Bauer, P. Embrechts, P. Koch-Medina, R. Korn, S. Loisel, A. Pelsser, F. Schiller, H. Schmeiser, and J. Wagner), European Actuarial Journal, 8, 9-25, 2018 (EAJ) (SSRN)

Replicating Portfolio Approach to Capital Calculation
(with M. Cambou), Finance and Stochastics, 22, 181-203, 2018 (FS) (SSRN)

Model Uncertainty and Scenario Aggregation
(with M. Cambou), Mathematical Finance, 27, 534-567, 2017 (MF) (SSRN) (SFI Practitioner Roundup)

Linear-Rational Term Structure Models
(with M. Larsson and A. Trolle), Journal of Finance, 72, 655-704, 2017 (JF) (SSRN)

Old-Age Provision: Past, Present, Future
(with H. Albrecher, P. Embrechts, G. Harrison, P. Koch, S. Loisel, P. Vanini, J. Wagner), European Actuarial Journal, 6, 287-306, 2016 (EAJ) (SSRN)

Fed Funds Futures Variance Futures
(with A. Trolle), Quantitative Finance, 16, 1413-1422, 2016 (QF) (SSRN)

Polynomial Diffusions and Applications in Finance
(with M. Larsson), Finance and Stochastics, 20, 931–972, 2016 (FS) (SSRN) (arXiv)

Uniqueness of Equilibrium in a Payment System with Liquidation Costs
(with H. Amini and A. Minca), Operations Research Letters, 44, 1-5, 2016 (ORL) (SSRN)

To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting
(with H. Amini and A. Minca), Operations Research, 64, 1135-1142, 2016 (OR) (SSRN)

Quadratic Variance Swap Models
(with E. Gourier and L. Mancini), Journal of Financial Economics, 119, 44-68, 2016 (JFE) (SSRN) (SFI Practitioner Roundup)

Optimal Investment and Premium Policies under Risk Shifting and Solvency Regulation
(with R. Kremslehner and A. Muermann), Journal of Risk and Insurance, 82, 261-288, 2015 (JRI) (SSRN)

Invariant Manifolds with Boundary for Jump-Diffusions
(with S. Tappe and J. Teichmann), Electronic Journal of Probability, 19, 1-28, 2014 (EJP) (arXiv)

Pricing and Hedging of Inflation-Indexed Bonds in an Affine Framework
(with Z. Eksi), Journal of Computational and Applied Mathematics, 259, 452-463, 2014 (SSRN)

Density Approximations for Multivariate Affine Jump-Diffusion Processes
(with E. Mayerhofer and P. Schneider), Journal of Econometrics, 176, 93-111, 2013 (JoE) (SSRN)

The Term Structure of Interbank Risk
(with A. Trolle), Journal of Financial Economics, 109, 707-733, 2013 (JFE) (SSRN)

Approaches to Conditional Risk
(with M. Kupper and N. Vogelpoth), SIAM Journal on Financial Mathematics, 3, 402-432, 2012 (SSRN)

Conditional Density Models for Asset Pricing
(with L.P. Hughston and A. Macrina), International Journal of Theoretical and Applied Finance, 15, 1-24, 2012 (SSRN)

The Canonical Model Space for Law-Invariant Convex Risk Measures is L¹
(with G. Svindland), Mathematical Finance, 22, 585-589, 2012 (pdf) (Extended Working Paper Version)

Affine Processes on Positive Semidefinite Matrices
(with C. Cuchiero, E. Mayerhofer, and J. Teichmann), Annals of Applied Probability, 21, 397-463, 2011 (SSRN)

Dynamic CDO Term Structure Modelling
(with L. Overbeck and T. Schmidt), Mathematical Finance, 21, 53-71, 2011 (SSRN)

Term Structure Models Driven by Wiener Process and Poisson Measures: Existence and Positivity
(with S. Tappe and J. Teichmann), SIAM Journal on Financial Mathematics, 1, 523-554, 2010 (pdf)

A Note on the Dai-Singleton Canonical Representation of Affine Term Structure Models
(with P. Cheridito and R. Kimmel), Mathematical Finance, 20, 509-519, 2010 (SSRN)

Jump-Diffusions in Hilbert Spaces: Existence, Stability and Numerics
(with S. Tappe and J. Teichmann), Stochastics, 82, 475-520, 2010 (arXiv)

Multi-Level Risk Aggregation,
ASTIN Bulletin, 39, 565-575, 2009 (pdf)

Separation and Duality in Locally L°-Convex Modules
(with M. Kupper and N. Vogelpoth), Journal of Functional Analysis, 256, 3996-4029, 2009 (Infoscience)

Consistent Market Extensions under the Benchmark Approach
(with E. Platen), Mathematical Finance, 19, 41-52, 2009 (pdf)

A Note on Natural Risk Statistics
(with S. Ahmed and G. Svindland), Operations Research Letters, 36, 662-664, 2008 (pdf)

Optimal Capital and Risk Allocations for Law- and Cash-Invariant Convex Functions
(with G. Svindland), Finance and Stochastics, 12, 423-439, 2008 (pdf)

Optimal Numeraires for Risk Measures,
Mathematical Finance, 18, 333-336, 2008 (pdf)

A Note on the Swiss Solvency Test Risk Measure
(with N. Vogelpoth), Insurance: Mathematics and Economics, 42, 897-902, 2008 (infoscience) (pdf)

Existence of Levy Term Structure Models
(with S. Tappe), Finance and Stochastics, 12, 83-115, 2008 (pdf)

Equilibrium Prices for Monetary Utility Functions
(with M. Kupper), International Journal of Theoretical and Applied Finance, 11, 325-343, 2008 (pdf)

Optimal capital and risk transfers for group diversification
(with M. Kupper), Mathematical Finance, 18, 55-76, 2008 (pdf)

Credit Derivatives in an Affine Framework
(with L. Chen), Asia-Pacific Financial Markets, 14, 123-140, 2007 (pdf) (Working Paper Version)

On the Group Level Swiss Solvency Test
(with M. Kupper), Bulletin of the Swiss Association of Actuaries, 1, 97-115, 2007 (pdf)

Monotone and Cash-Invariant Convex Functions and Hulls
(with M. Kupper), Insurance: Mathematics and Economics, 41, 1-16, 2007 (pdf)

Market Price of Risk Specifications for Affine Models: Theory and Evidence
(with P. Cheridito and R.L. Kimmel), Journal of Financial Economics, 83, 123-170, 2007 (Infoscience)

Equivalent and Absolutely Continuous Measure Changes for Jump-Diffusion Processes
(with P. Cheridito and M. Yor), The Annals of Applied Probability, 15, 1713-1732, 2005 (arXiv) (AAP)

A Simple Model for Credit Migration and Spread Curves
(with L. Chen), Finance and Stochastics, 9, 211-231, 2005 (pdf)

Time-Inhomogeneous Affine Processes
Stochastic Processes and Their Applications, 115, 639-659, 2005 (pdf)

Quadratic Term Structure Models for Risk-free and Defaultable Rates
(with L. Chen and H.V. Poor), Mathematical Finance, 14, 515-536, 2004 (pdf)

Conditions for Consistent Exponential-Polynomial Forward Rate Processes with Multiple Nontrivial Factors
(with E. Sharef), International Journal of Theoretical and Applied Finance, 7, 685-700, 2004 (journal)

On the Geometry of the Term Structure of Interest Rates
(with J. Teichmann), Proceedings of The Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences, 460, 129-167, 2004 (pdf)

Affine Processes and Applications in Finance
(with D. Duffie and W. Schachermayer), The Annals of Applied Probability, 13, 984-1053, 2003 (pdf)

Regularity of Finite-Dimensional Realizations for Evolution Equations
(with J. Teichmann), Journal of Functional Analysis, 197, 433-446, 2003 (pdf)

Existence of Invariant Manifolds for Stochastic Equations in Infinite Dimension
(with J. Teichmann), Journal of Functional Analysis, 197, 398-432, 2003 (pdf)

Separable Term Structures and the Maximal Degree Problem
Mathematical Finance, 12, 341-349, 2002 (pdf)

Markovian Term Structure Models in Discrete Time
(with J. Zabczyk), The Annals of Applied Probability, 12, 710-729, 2002 (pdf)

A General Characterization of One Factor Affine Term Structure Models
Finance and Stochastics, 5, 389-412, 2001 (pdf)

Invariant Manifolds for Weak Solutions to Stochastic Equations
Probability Theory and Related Fields, 118, 323-341, 2000 (pdf)

Exponential-Polynomial Families and the Term Structure of Interest Rates
Bernoulli, 6, 1-27, 2000 (pdf)

A Note on the Nelson-Siegel Family
Mathematical Finance, 9, 349-359, 1999 (pdf)

Affine Variance Swap Curve Models
Seminar on Stochastic Analysis, Random Fields and Applications VII, Progress in Probability, 67, 381-393, Springer Basel, 2013 (SSRN)

Doubly Stochastic CDO Term Structures
(with L. Overbeck and T. Schmidt), Seminar on Stochastic Analysis, Random Fields and Applications VI, Progress in Probability, 63, 413-428, Springer Basel, 2011 (pdf)

Pricing and Hedging of CDOs: A Top Down Approach
(with T. Schmidt), in Contemporary Quantitative Finance, 231-253, Springer Berlin Heidelberg, 2010 (SSRN)

Affine Diffusion Processes: Theory and Applications
(with E. Mayerhofer), Radon Series Comp. Appl. Math, 8, 1-40, 2009 (SSRN)

Affine Short Rate Models
Seminar on Stochastic Analysis, Random Fields and Applications III, Progress in Probability, 52, 121-132, Birkhäuser Verlag, 2002

Digital Pulse Check 3.0
(with A. Borg, M. Bürki, R. Fahlenbrach, N. Karrer, W. Weinrich), Digitalization Study for the Swiss Banking Sector, January 2019 (English) (German)

Pas de cryptomonnaies sans technologie blockchain
(with A. Lipton), in Le Temps, 12 December 2017 (pdf)

Interview for SIAG FME
in Newsletter of the SIAM Activity Group in Financial Mathematics and Engineering, November 2017 (pdf)

Keine Kryptowährungen ohne Blockchain-Technologie
(with A. Lipton), in Fintech, Verlagsbeilage zur Finanz und Wirtschaft, 11 October 2017 (pdf)

Interest Rate Models (MOOC)
Coursera, December 2016 (MOOC)

Was ist eigentlich Leverage? (Video)
NZZ Finanzlexikon, November 2016 (video)

Was ist eigentlich ein Swap? (Video)
NZZ Finanzlexikon, October 2016 (video)

Was ist eigentlich ein strukturiertes Produkt? (Video)
NZZ Finanzlexikon, August 2016 (video)

Longevity Swaps (Interview)
Prévoyance Professionnelle Suisse, pages 107-109, September 2016 (pdf)

Digital Insurance (Interview)
Echos, magazine de la Vaudoise Assurances, page 11, April 2016 (pdf)

Risikobarometer im Interbankenmarkt
RoI, Magazin der Finanz und Wirtschaft, 28 March 2012 (pdf)

Affine Models
(with C. Cuchiero and J. Teichmann), in Encyclopedia of Quantitative Finance, 16-20, John Wiley & Sons Ltd., 2010 (pdf)

Realizable Group Diversification Effects
(with A. Kunz), Life & Pensions, May 2008 (pdf)

Benchmarking Study of Internal Models
(with D. Rost), carried out on behalf of The Chief Risk Officer Forum, 2005 (pdf)

A Mixed Approach to Modeling Default Risk
(with L. Chen and H.V. Poor), RISK, 17, November 2004

White Paper of the Swiss Solvency Test
(with P. Keller), Federal Office of Private Insurance, 2004 (FOPI archive)

Option Pricing with Orthogonal Polynomial Expansions
(with D. Ackerer), 2017 (arXiv) (SSRN)

Polynomial Jump-Diffusion Models
(with M. Larsson), 2017 (arXiv) (SSRN)

Polynomial processes for power prices
(with M. Larsson and A. Ware), 2017 (arXiv)

A Term-Structure Model for Dividends and Interest Rates
(with S. Willems), 2017 (arXiv) (SSRN)

Markov Cubature Rules for Polynomial Processes
(with M. Larsson and S. Pulido), 2016 (SSRN)

Linear Credit Risk Models
(with D. Ackerer), 2016 (arXiv) (SSRN)

Systemic Risk and Central Clearing Counterparty Design
(with H. Amini and A. Minca), 2013 (SSRN)

On Dynamic Hedging of Single-Tranche Collateralized Debt Obligations
(with Z. Eksi), 2013 (SSRN)

A Dynamic Affine Factor Model for the Pricing of Collateralized Debt Obligations
(with Z. Eksi), 2013 (SSRN)

An Empirical Analysis of Valuation Algorithms for Pricing Callable Snowball Floaters
(with N. Friewald and S. Pichler), 2009 (SSRN)

Concave Distortion Semigroups
(with A. Cherny), 2008 (arXiv)

The Geometry of Interest Rate Models
Lecture Notes from the Dimitsana Summer School 2005 (pdf)