Publications and Preprints

Damir Filipovic

• Stochastic Differential Equations Driven by Processes with Independent Increments (with Stefan Tappe), Preprint, submitted, 2007 (pdf)

• Concave Distortion Semigroups (with Alexander Cherny), Preprint, submitted, 2007 (pdf)

• Optimal Capital and Risk Allocations for Law- and Cash-Invariant Convex Functions (with Gregor Svindland), Preprint, submitted, 2007 (pdf)

• Convex Risk Measures on L^p (with Gregor Svindland), Preprint, submitted, 2007 (pdf)

• Consistent Market Extensions under the Benchmark Approach (with Eckhard Platen), forthcoming in Mathematical Finance (pdf)

• Optimal Numeriares for Risk Measures, forthcoming in Mathematical Finance (pdf) (also available on SSRN)

• A Note on the Dai-Singleton Canonical Representation of Affine Term Structure Models (with Patrick Cheridito and Robert Kimmel), Preprint, submitted, 2006 (available on SSRN)

• A Note on the Swiss Solvency Test Risk Measure (with Nicolas Vogelpoth), submitted, 2006 (pdf)

• Existence of Levy Term Structure Models (with Stefan Tappe), forthcoming in Finance and Stochastics (pdf)

• The Geometry of Interest Rate Models Lecture Notes from the Dimitsana Summer School 2005, submitted, 2006 (pdf)

• Equilibrium Prices for Monetary Utility Functions (with Michael Kupper), submitted, 2006 (pdf)

• Credit Derivatives in an Affine Framework (with Li Chen), submitted, 2007 (pdf)

• Credit Derivatives in an Affine Framework (Working Paper Version) (with Li Chen), Working Paper, 2006 (pdf)

• Optimal capital and risk transfers for group diversification (with Michael Kupper), forthcoming in Mathematical Finance (pdf)

• On the Group Level Swiss Solvency Test (with Michael Kupper), Bulletin of the Swiss Association of Actuaries 1, 97-115, 2007 (pdf)

• Monotone and Cash-Invariant Convex Functions and Hulls (with Michael Kupper), Insurance: Mathematics and Economics 41, 1-16, 2007(pdf)

• Market Price of Risk Specifications for Affine Models: Theory and Evidence (with Patrick Cheridito and Robert L. Kimmel), Journal of Financial Economics 83, 123-170, 2007. (abstract)

• Benchmarking Study of Internal Models (with Daniel Rost), carried out on behalf of The Chief Risk Officer Forum, 2005 (pdf) (also available on CRO Forum Publications)

• Equivalent and Absolutely Continuous Measure Changes for Jump-Diffusion Processes (with Patrick Cheridito and Marc Yor), The Annals of Applied Probability 15, No. 3, 1713-1732, 2005. (pdf)

• A Simple Model for Credit Migration and Spread Curves (with Li Chen), Finance and Stochastics 9, 211-231, 2005. (pdf)

• Time-Inhomogeneous Affine Processes, Stochastic Processes and Their Applications 115, 639-659, 2005. (pdf)

• A Mixed Approach to Modeling Default Risk (with Li Chen and H. Vincent Poor), RISK 17, November 2004.

• Quadratic Term Structure Models for Risk-free and Defaultable Rates (with Li Chen and H. Vincent Poor), Mathematical Finance 14, 515--536, 2004. (pdf)

• Conditions for Consistent Exponential-Polynomial Forward Rate Processes with Multiple Nontrivial Factors (with Emmanuel Sharef), International Journal of Theoretical and Applied Finance 7, 685-700, 2004

• On the Geometry of the Term Structure of Interest Rates (with Josef Teichmann), Proceedings of The Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences 460, 129-167, 2004. (pdf)

• Swiss Solvency Test (with Philipp Keller), working paper, Federal Office of Private Insurance, 2004

• Affine Processes and Applications in Finance (with Darrell Duffie and Walter Schachermayer), The Annals of Applied Probability 13, 984-1053, 2003 (pdf)

• Regularity of Finite-Dimensional Realizations for Evolution Equations (with Josef Teichmann), Journal of Functional Analysis 197, 433-446, 2003 (pdf)

• Existence of Invariant Manifolds for Stochastic Equations in Infinite Dimension (with Josef Teichmann), Journal of Functional Analysis 197, 398-432, 2003 (pdf)

• On Finite-Dimensional Term Structure Models (with Josef Teichmann), working paper, Princeton University, 2002 (pdf)

• Separable Term Structures and the Maximal Degree Problem, Mathematical Finance, 12(4):341-349, 2002 (pdf)

• Markovian Term Structure Models in Discrete Time (with Jerzy Zabczyk), The Annals of Applied Probability, Vol. 12, No. 2, 710-729, 2002 (pdf)

• Affine Short Rate Models, Progress in Probability, Vol. 52, 121-132, Birkhauser Verlag, 2002

• Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics 1760), Springer-Verlag, Berlin, 2001

• A General Characterization of One Factor Affine Term Structure Models, Finance and Stochastics 5, 389-412 (2001) (pdf)

• Invariant Manifolds for Weak Solutions to Stochastic Equations, Probability Theory and Related Fields, 118(3):323-341, 2000 (pdf)

• Consistency Problems for HJM Interest Rate Models, PhD thesis, ETH Zurich, 2000 (pdf)

• Exponential-Polynomial Families and the Term Structure of Interest Rates, Bernoulli, 6(6):1-27, 2000 (pdf)

• A Note on the Nelson-Siegel Family, Mathematical Finance, 9(4):349-359, 1999 (pdf)