Damir Filipovi'c

Finance · 2000–2017

A researcher in the Science corpus: 20 papers; trusts 63 researchers and is trusted by 27 researchers here, as inferred from the citation graph.

Subfields

• Finance — 194 citations into it; #1,156 of 10,518 by trust here, #1,619 by citations
• Economics and Econometrics — 95 citations into it; #4,830 of 23,481 by trust here, #13,596 by citations
• Management Science and Operations Research — 27 citations into it; #8,833 of 11,946 by trust here, #3,977 by citations
• Demography — 19 citations into it
• Statistics and Probability — 13 citations into it
• Mathematical Physics — 6 citations into it; #3,283 of 8,562 by trust here, #3,664 by citations

Whom Damir Filipovi'c trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Qiang Dai
2. Kenneth J. Singleton
3. Jun Pan
4. Martin Keller‐Ressel
5. Marek Musiela
6. Arnold Neumaier
7. David S. Bates
8. Freddy Delbaen
9. Yacine Aït-Sahalia
10. Wim Schoutens

Who trusts Damir Filipovi'c overall

1. Jan Kallsen
2. Martino Grasselli
3. Jens H. E. Christensen
4. Ales Cerný
5. T. Guo
6. Martin Keller‐Ressel
7. Eberhard Mayerhofer
8. Claudio Tebaldi
9. Glenn D. Rudebusch
10. Johannes Muhle‐Karbe

Papers from Damir Filipovi'c's perspective

Ordered by how strongly the researchers Damir Filipovi'c trusts endorse each paper. Same corpus, a different order for every researcher.

1. Specification Analysis of Affine Term Structure Models
2. The jump-risk premia implicit in options: evidence from an integrated time-series study $
3. A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
4. The Pricing of Options and Corporate Liabilities
5. Term premia and interest rate forecasts in affine models
6. Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets
7. Post-'87 crash fears in the S&P 500 futures option market
8. A Theory for the Term Structure of Interest Rates
9. Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
10. Generalized autoregressive conditional heteroskedasticity

Their papers

• Time-inhomogeneous affine processes (2005) — 91 citations
• Separation and duality in locally L 0 -convex modules (2009) — 140 citations
• QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES (2004) — 97 citations
• Equivalent and absolutely continuous measure changes for jump-diffusion processes (2005) — 149 citations
• Affine Diffusion Processes: Theory and Applications (2009) — 99 citations
• Linear-Rational Term Structure Models: Linear-Rational Term Structure Models (2017) — 51 citations
• Quadratic Variance Swap Models (2016) — 88 citations
• THE CANONICAL MODEL SPACE FOR LAW‐INVARIANT CONVEX RISK MEASURES IS L1 (2012) — 102 citations
• The Term Structure of Interbank Risk (2012) — 191 citations
• Density Approximations for Multivariate Affine Jump-Diffusion Processes (2011) — 125 citations
• Affine Processes on Positive Semidefinite Matrices (2009) — 165 citations
• Term-Structure Models: A Graduate Course (2009) — 316 citations
• OPTIMAL CAPITAL AND RISK TRANSFERS FOR GROUP DIVERSIFICATION (2007) — 55 citations
• Market price of risk speci-fications for a ne models: theory and evidence (2006) — 212 citations
• Market Price of Risk Specifications for Affine Models: Theory and Evidence (2004) — 172 citations
• On the geometry of the term structure of interest rates (2004) — 68 citations
• EXISTENCE OF INVARIANT MANIFOLDS FOR STOCHASTIC EQUATIONS IN INFINITE DIMENSION (2003) — 83 citations
• Markovian Term Structure Models in Discrete Time (2002) — 49 citations
• SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEM (2002) — 68 citations
• EXPONENTIAL-POLYNOMIAL FAMILIES AND THE TERM STRUCTURE OF INTEREST RATES (2000) — 82 citations