Quadratic variance swap models
Filipović, Damir, Gourier, Elise, Mancini, Loriano
Published in Journal of financial economics (01.01.2016)
Published in Journal of financial economics (01.01.2016)
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Journal Article
Uniqueness of equilibrium in a payment system with liquidation costs
Amini, Hamed, Filipović, Damir, Minca, Andreea
Published in Operations research letters (01.01.2016)
Published in Operations research letters (01.01.2016)
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Journal Article
Density approximations for multivariate affine jump-diffusion processes
Filipović, Damir, Mayerhofer, Eberhard, Schneider, Paul
Published in Journal of econometrics (01.10.2013)
Published in Journal of econometrics (01.10.2013)
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Journal Article
Markov cubature rules for polynomial processes
Filipović, Damir, Larsson, Martin, Pulido, Sergio
Published in Stochastic processes and their applications (01.04.2020)
Published in Stochastic processes and their applications (01.04.2020)
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Journal Article
Market price of risk specifications for affine models: Theory and evidence
Cheridito, Patrick, Filipović, Damir, Kimmel, Robert L.
Published in Journal of financial economics (2007)
Published in Journal of financial economics (2007)
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Journal Article