Damir Filipović
Damir Filipović in 2021
Born	1970 (age 53–54)
Nationality	Swiss
Awards	Louis Bachelier Prize
Academic background
Education	Mathematics
Alma mater	ETH Zurich
Doctoral advisor	Freddy Delbaen
Academic work
Discipline	Mathematics
Sub-discipline	Quantitative finance
Institutions	École Polytechnique Fédérale de Lausanne (EPFL)
Main interests	Machine learning in finance Quantitative finance Quantitative risk management Stochastic models
Website	https://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

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

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

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

• 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.
• 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.
• 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. ISSN  0304-405X.
• Filipovic, Damir (2009). Term-Structure Models. doi: 10.1007/978-3-540-68015-4. ISBN  978-3-540-09726-6.
• Filipović, Damir; Overbeck, Ludger; Schmidt, Thorsten (22 September 2010). "Dynamic Cdo Term Structure Modeling". Mathematical Finance. 21 (1): 53–71. doi: 10.1111/j.1467-9965.2010.00421.x. ISSN  0960-1627. S2CID  14323028.
• 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.
• 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. ISSN  0304-405X.
• 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. ISSN  0304-4076. S2CID  122805766.
• Filipović, Damir; Kremslehner, Robert; Muermann, Alexander (16 January 2014). "Optimal Investment and Premium Policies Under Risk Shifting and Solvency Regulation". Journal of Risk and Insurance. 82 (2): 261–288. arXiv: 1103.1729. doi: 10.1111/jori.12021. ISSN  0022-4367. S2CID  340316.
• Cambou, Mathieu; Filipović, Damir (19 June 2015). "Model Uncertainty and Scenario Aggregation". Mathematical Finance. 27 (2): 534–567. doi: 10.1111/mafi.12097. ISSN  0960-1627. S2CID  157683249.
• 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. ISSN  0304-405X.
• FILIPOVIĆ, DAMIR; LARSSON, MARTIN; TROLLE, ANDERS B. (21 March 2017). "Linear-Rational Term Structure Models". The Journal of Finance. 72 (2): 655–704. doi: 10.1111/jofi.12488. ISSN  0022-1082.
• Cambou, Mathieu; Filipović, Damir (13 November 2017). "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.
• Ackerer, Damien; Filipović, Damir; Pulido, Sergio (18 May 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.
• Filipović, Damir; Larsson, Martin; Trolle, Anders B. (1 October 2018). "On the relation between linearity-generating processes and linear-rational models". Mathematical Finance. 29 (3): 804–826. arXiv: 1806.03153. doi: 10.1111/mafi.12198. ISSN  0960-1627. S2CID  158476820.
• Ackerer, Damien; Filipović, Damir (4 October 2019). "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.
• 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.
• 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.
• 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.

References

External links

• Damir Filipović publications indexed by Google Scholar
• Website of the Swissquote Chair in Quantitative Finance
• MOOC on Interest Rate Models