Unit

The Swissquote Chair in Quantitative Finance

Laboratory

Summary

The Chaire Swissquote en finance quantitative, held by Damir Filipovic, focuses on advancing research in quantitative finance and risk management. With a Ph.D. in mathematics from ETH Zurich, Filipovic has published extensively in top academic journals and authored a textbook on term-structure models. He aims to foster young academics and promote knowledge transfer between theory and practice, maintaining strong ties with the banking and insurance industry. The chair plays a crucial role in the Master in Financial Engineering and PhD Programs in Finance and Mathematics at EPFL, contributing to a multidisciplinary research environment.

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Summary

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Related people (2)

Damir Filipovic

Damir Filipovic holds the Swissquote Chair in Quantitative Finance and is Swiss Finance Institute Professor at the Ecole Polytechnique Fédérale de Lausanne (EPFL), Switzerland. Prior to this, he was head of the Vienna Institute of Finance and professor at the University of Vienna. He previously held the chair of financial and insurance mathematics at the University of Munich, and he was on the faculty of Princeton University. He received his Ph.D. in mathematics from ETH Zurich in 2000. Damir Filipovic worked as a scientific consultant for the Swiss Federal Office of Private Insurance from 2003 to 2004. There he co-developed the Swiss Solvency Test, which defines the regulatory capital requirement for all Swiss based insurance companies and groups. He is on the editorial board of several academic journals. His research interests include the term structure of interest rates, credit and volatility risk, quantitative methods in risk management, and stochastic processes. His papers have been published in a variety of academic journals including the Journal of Financial Economics, Mathematical Finance, Finance and Stochastics, and the Annals of Applied Probability. He is the author of a textbook titled Term-Structure Models.

Puneet Pasricha

Related publications (30)

The Swissquote Chair in Quantitative Finance

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How Integrated are Credit and Equity Markets? Evidence from Index Options

Closed form approximation methods for portfolio valuation and risk management

Exchange options with stochastic liquidity risk