Damir Filipovic

8 catalog papers. Identity-linked publications and additional name matches are distinguished below.

ORCID: 0000-0002-2443-5741

École Polytechnique Fédérale de Lausanne and Swiss Finance Institute

Publications

• Linear-Rational Term Structure Models — The Journal of Finance 2017
• Quadratic variance swap models — Journal of Financial Economics 2016
• To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting — Operations Research 2016
• The term structure of interbank risk — Journal of Financial Economics 2013
• Market price of risk specifications for affine models: Theory and evidence — Journal of Financial Economics 2007
• Probability: A Graduate Course — Journal of the American Statistical Association 2006
• Stripping the Discount Curve—A Robust Machine Learning Approach — Management Science
• Shrinking the Term Structure — Review of Finance