Publications de Damir Filipovic

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We present a general framework for portfolio risk management in discrete time, based on a replicating martingale. This martingale is learned from a finite sample in a supervised setting. Our method learns the features necessary for an effective low-dimensi ...

Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. ...

We present a nonparametric method to estimate the discount curve from market quotes based on the Moore-Penrose pseudoinverse. The discount curve reproduces the market quotes perfectly, has maximal smoothness, and is given in closed-form. The method is easy ...

We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credit default swaps (CDS) are linear-rational in the factors. The price of a CDS ...

We study discretizations of polynomial processes using finite state Markov processes satisfying suitable moment matching conditions. The states of these Markov processes together with their transition probabilities can be interpreted as Markov cubature rul ...

We introduce an ensemble learning method for dynamic portfolio valuation and risk management building on regression trees. We learn the dynamic value process of a derivative portfolio from a finite sample of its cumulative cash flow. The estimator is given ...

We analyze and implement the kernel ridge regression (KR) method developed in Filipovic et al. (Stripping the discount curve-a robust machine learning approach. Swiss Finance Institute Research Paper No. 22-24. SSRN. https://ssrn.com/abstract=4058150, 2022 ...

We derive analytic series representations for European option prices in polynomial stochastic volatility models. This includes the Jacobi, Heston, Stein-Stein, and Hull-White models, for which we provide numerical case studies. We find that our polynomial ...

We develop a data-driven framework to identify the interconnections between firms using an information-theoretic measure. This measure generalizes Granger causality and is capable of detecting nonlinear relationships within a network. Moreover, we develop ...

This paper provides a unifying approach for valuing contingent claims on a portfolio of credits, such as collateralized debt obligations (CDOs). We introduce the defaultable (T, x)-bonds, which pay one if the aggregated loss process in the underlying pool ...

By means of an original approach, called 'method of the moving frame', we establish existence, uniqueness and stability results for mild and weak solutions of stochastic partial differential equations (SPDEs) with path-dependent coefficients driven by an i ...

We introduce a simulation method for dynamic portfolio valuation and risk management building on machine learning with kernels. We learn the dynamic value process of a portfolio from a finite sample of its cumulative cash flow. The learned value process is ...

We introduce closed-form transition density expansions for multivariate affine jump-diffusion processes. The expansions rely on a general approximation theory which we develop in weighted Hilbert spaces for random variables which possess all polynomial mom ...

We develop a comprehensive mathematical framework for polynomial jump-diffusions in a semimartingale context, which nest affine jump-diffusions and have broad applications in finance. We show that the polynomial property is preserved under polynomial trans ...

The existence of the growth optimal portfolio (GOP), also known as the Kelly portfolio, is vital for a financial market to be meaningful. The GOP, if it exists, is uniquely determined by the market parameters of the primary security accounts. However, mark ...

We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the asset is driven by Browni ...

This article summarizes the main topics and findings from the Swiss Risk and Insurance Forum 2018. That event gathered experts from academia, insurance industry, regulatory bodies, and consulting companies to discuss the challenges arising from the impact ...

We introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct advantages: (i) ensures ...

Discount is the difference between the face value of a bond and its present value. We propose an arbitrage-free dynamic framework for discount models, which provides an alternative to the Heath-Jarrow-Morton framework for forward rates. We derive general c ...

Dai and Singleton (2000) study a class of term structure models for interest rates that specify the short rate as an affine combination of the components of an N-dimensional affine diffusion process. Observable quantities in such models are invariant under ...

Damir Filipovic

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A machine learning approach to portfolio pricing and risk management for high-dimensional problems

A term structure model for dividends and interest rates

Exact Smooth Term-Structure Estimation

Linear credit risk models

Markov cubature rules for polynomial processes

Ensemble learning for portfolio valuation and risk management

Stripping the Swiss discount curve using kernel ridge regression

Option pricing with orthogonal polynomial expansions

Analysis of Large Market Data Using Neural Networks: A Causal Approach

Dynamic CDO Term Structure Modeling

Jump-diffusions in Hilbert spaces: existence, stability and numerics

Machine learning with kernels for portfolio valuation and risk management

Density approximations for multivariate affine jump-diffusion processes

Polynomial Jump-Diffusion Models

Consistent Market Extensions under the Benchmark Approach

Conditional Density Models for Asset Pricing

Insurance: models, digitalization, and data science

Linear-Rational Term Structure Models

Discount models

A Note On The Dai-Singleton Canonical Representation Of Affine Term Structure Models