World's Best Scientists 2026 revealed!

D-Index & Metrics

Mathematics

D-Index
40
Citations
7301
World Ranking
2039
National Ranking
36

Overview

Damir Filipović is affiliated with École Polytechnique Fédérale de Lausanne in Switzerland. Their research focus lies primarily within the fields of Economics, Econometrics and Finance, with significant contributions also in related subfields such as Finance, Management Science and Operations Research, Artificial Intelligence, Economics and Econometrics, and Demography.

The scientist's work addresses a range of topics including stochastic processes and financial applications, financial markets and investment strategies, stock market forecasting methods, financial risk and volatility modeling, insurance, mortality, demography and risk management, risk and portfolio optimization, as well as credit risk and financial regulations.

Notable recent papers authored or coauthored by Damir Filipović include:

  • Systemic Risk in Networks with a Central Node, 2020, SIAM Journal on Financial Mathematics
  • A machine learning approach to portfolio pricing and risk management for high-dimensional problems, 2022, Mathematical Finance
  • Stripping the Discount Curve - a Robust Machine Learning Approach, 2022, SSRN Electronic Journal
  • Machine learning with kernels for portfolio valuation and risk management, 2021, Finance and Stochastics
  • Empirical Asset Pricing via Ensemble Gaussian Process Regression, 2022, SSRN Electronic Journal

Damir Filipović has frequently published in the following venues:

  • SSRN Electronic Journal
  • arXiv (Cornell University)
  • Zenodo (CERN European Organization for Nuclear Research)
  • Quantitative Finance
  • Mathematical Finance

The scientist collaborates regularly with several coauthors, including:

  • Lucio Fernandez-Arjona
  • Paul Schneider
  • Markus Pelger
  • Ye Ye
  • Puneet Pasricha

Best Publications

  • Affine Processes and Applications in Finance

    D. Duffie;D. Filipovic;Walter Schachermayer

  • Term-Structure Models: A Graduate Course

    Damir Filipovic

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

    Patrick Cheridito;Damir Filipović;Robert L. Kimmel

  • Consistency Problems for Heath-Jarrow-Morton Interest Rate Models

    Damir Filipović

  • The term structure of interbank risk

    Damir Filipović;Anders Bjerre Trolle

  • Affine processes on positive semidefinite matrices

    Christa Cuchiero;Damir Filipović;Eberhard Mayerhofer;Josef Teichmann

  • A Note on the Nelson–Siegel Family

    Damir Filipovic

  • Linear‐Rational Term Structure Models

    Damir Filipović;Damir Filipović;Martin Larsson;Martin Larsson;Anders Bjerre Trolle

  • Separation and duality in locally L 0 -convex modules

    Damir Filipović;Michael Kupper;Nicolas Vogelpoth

  • Equivalent and absolutely continuous measure changes for jump-diffusion processes

    Patrick Cheridito;Damir Filipović;Marc Yor

  • Density Approximations for Multivariate Affine Jump-Diffusion Processes

    Damir Filipovic;Eberhard Mayerhofer;Paul Georg Schneider

  • Optimal Capital and Risk Allocations for Law-and Cash-Invariant Convex Functions

    Damir Filipović;Gregor Svindland

  • Quadratic variance swap models

    Damir Filipović;Elise Gourier;Loriano Mancini

  • Quadratic Term Structure Models for Risk-Free and Defaultable Rates

    Li Chen;Damir Filipović;H. Vincent Poor

  • The Canonical Model Space For Law-Invariant Convex Risk Measures Is L1

    Damir Filipović;Gregor Svindland

  • A General Characterization of One Factor Affine Term Structure Models

    Damir Filipović

  • Time-Inhomogeneous Affine Processes

    Damir Filipović

  • Affine Diffusion Processes: Theory and Applications

    Damir Filipovic;Eberhard Mayerhofer

  • CONDITIONAL DENSITY MODELS FOR ASSET PRICING

    Damir Filipović;Lane P. Hughston;Lane P. Hughston;Andrea Macrina;Andrea Macrina

  • EXISTENCE OF INVARIANT MANIFOLDS FOR STOCHASTIC EQUATIONS IN INFINITE DIMENSION

    Damir Filipović;Josef Teichmann

  • ON THE GEOMETRY OF THE TERM STRUCTURE OF INTEREST RATES

    Damir Filipović;Josef Teichmann

  • Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics 1760)

    Damir Filipovic

Frequent Co-Authors

Paul Embrechts
Paul Embrechts ETH Zurich
Glenn W. Harrison
Glenn W. Harrison Georgia State University
Eckhard Platen
Eckhard Platen University of Technology Sydney
Hansjörg Albrecher
Hansjörg Albrecher University of Lausanne
H. Vincent Poor
H. Vincent Poor Princeton University
Shabbir Ahmed
Shabbir Ahmed Georgia Institute of Technology

If you think any of the details on this page are incorrect, let us know.

Report an issue

We appreciate your kind effort to assist us to improve this page, it would be helpful providing us with as much detail as possible in the text box below:

Related Online Degrees & Career Pathways

For students studying Mathematics in the USA, exploring related online degrees can broaden career opportunities. Many professionals leverage advanced degrees such as a cheapest dba online programs to gain expertise in data analysis and business leadership, which complements mathematical skills.

Those interested in finance can pursue a cheapest online masters in finance, combining quantitative aptitude with financial theory to enhance career prospects in banking, investment, or corporate finance.

For professionals aiming to accelerate career growth, exploring the fastest online mba degree programs allows students to gain essential management and leadership skills while minimizing time commitment.

Additionally, a master's degree in marketing can open doors to data-driven marketing roles, blending analytical insight with creative strategy.

Considering these online degree options helps math graduates tailor their education to specific industries and career goals, offering flexibility, affordability, and valuable skill combinations.

Best Scientists Citing Damir Filipović

Trending Scientists