Odyssea
Station 5
Lausanne, 1015
Switzerland
http://people.epfl.ch/damir.filipovic
c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Ecole Polytechnique Fédérale de Lausanne
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
Over the Counter Markets, Central Counterparty Clearing, Market Design, Financial Network, Contagion, Systemic Risk, Credit Default Swap Markets
Star-shaped Networks, Central Node, Market Design, Financial Network, Contagion, Systemic Risk, Credit Default Swap Markets
Interbank risk, LIBOR, Swap market, Default risk, Liquidity
Swaps, Swaptions, Unspanned Factors, Zero Lower Bound
stochastic volatility, variance swap, quadratic term structure, quadratic jump-diffusion, dynamic optimal portfolio
model uncertainty, scenario aggregation, expected shortfall, value-at-risk, statistical divergence, Swiss Solvency Test
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 .
File name: MAFI.pdf Size: 0K
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
model uncertainty, scenario aggregation, expected shortfall, value‐at‐risk, statistical divergence, Swiss Solvency Test
Affine Diffusion Process, Exponential Moments, affine term structure models, Riccati Differential Equations
Affine Processes, Asymptotic Expansion, Density Approximation, Orthogonal Polynomials
Conditional risk measures, L0-modules, Lp type modules, Monotone hulls, Subcash invariant hulls, Cash invariant hulls
dynamic portfolio valuation, kernel ridge regression, learning theory, reproducing kernel Hilbert space, portfolio risk management
Asset-Liability Portfolio, Chaos Expansion, Replicating Portfolio, Solvency Capital
Affine, Girsanov, arbitrage, Feller
affine process, stochastic correlation, term structure
snowball floater, bermudan option, least squares Monte Carlo, nested Monte Carlo simulation
Risk Shifting, Insurance, Regulation, Solvency II, Pareto Optimality
File name: JORI.pdf Size: 0K
Option Pricing, Implied Volatility, Breeden-Litzenberger Equation, Volatility Surface, Information-Based Asset Pricing
Dividend derivatives, interest rates, polynomial jump-diffusion, term structure, moment-based option pricing
dividend derivatives, interest rates, moment‐based option pricing, polynomial jump‐diffusion, term structure
Jacobi process, option pricing, polynomial model, stochastic volatility
collateralized debt obligations, single tranche CDO, variance-minimizing hedging
Solvency capital; dimensionality reduction; neural networks; nested Monte Carlo; replicating portfolios.
credit default swap, credit derivatives, credit risk, polynomial model, survival process
Polynomial Diffusions, Polynomial Diffusion Models in Finance, Stochastic Invariance, Boundary Attainment, Moment Problem
affine diffusion processes, affine transformations, diagonal diffusion matrices
affine term structure, collateralized debt obligations, loss process, single tranche CDO, term structure of forward spreads
Affine variance swap rate factor models, Variance swaps, VIX
Over the Counter Markets, Financial Network, Partial Multilateral Netting
Linearity-Generating Process, Linear-Rational Model, Long-Term Risk, State Price Density
asset-liability management, long-term insurance, valuation, insurance products, investments, models
Bootstrap, discount curve, forward curve, splines, term-structure estimation
Fed Funds Futures, Funding Costs, Unsecured Interbank Money Market
affine Gaussian processes, inflation-indexed bonds, no-arbitrage, pricing, hedging, market completeness
collateralized debt obligations, single-tranche CDO, affine term-structure of credit spreads, catastrophic risk
Greeks, Option Pricing, Orthogonal Polynomials, Parameter Sensitivity, Polynomial Diffusion Models, Stochastic Volatility
Greeks, option pricing, orthogonal polynomials, parameter sensitivity, polynomial diffusion models, stochastic volatility
Financial Network, Systemic Risk, Eiseberg Noe Model, Asset Price Contagion
polynomial jump-diffusions, affine jump-diffusions, polynomial transformations, conditional Lévy processes, Lévy time change, asset pricing models, stochastic volatility
Pension funding gap, Demographic and societal challenges, Valuation of pension liabilities, Economic and regulatory capital models, Role of financial markets
multi-factor Cox-Ingersoll-Ross model, unspanned stochastic volatility, incomplete bond markets
Diversification, Risk Aggregation, Solvency II
Polynomial process; cubature rule; asymptotic moments; transition rate matrix; transition probabilities; American options
single-tranche CDO, affine term-structure of credit spreads, catastrophic risk, variance-minimizing hedge, regression-based hedge
Change of Numeraire, Solvency Capital Requirements
File name: mafi.pdf Size: 56K
American swaption, swaption, swap, linear-rational term structure model, polynomial diffusion, optimal stopping, free-boundary problem, local time-space calculus, integral equation
energy prices, electricity markets, polynomial processes
Monte Carlo, Monte Carlo under budget constraints, variance reduction, multi-asset options, Kaczmarz algorithm, weighted sampling, large-scale least-squares problems
Investor sentiment, Event study, Polarity, Social Media, Microblogging, Natural Language Processing, Crowd Wisdom
File name: mafi.pdf Size: 180K
single-tranche CDO, affine term-structure of credit spreads, catastrophic risk, variance minimizing hedge
File name: mafi.pdf Size: 79K
Interest rate model, Nelson-Siegel family, consistent state space Ito process, inverse problem
File name: mafi146.pdf Size: 119K
File name: mafi.pdf Size: 191K
File name: mafi.pdf Size: 106K
File name: mafi.pdf Size: 99K
incomplete bond markets, multifactor Cox–Ingersoll‐Ross model, unspanned stochastic volatility
File name: j-9965.pdf Size: 470K
File name: j-9965.pdf Size: 176K
Existence of equilibrium prices, monetary utility functions, Pareto optimal allocation, convex consumption constraints