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Damir Filipovic

Identifiers

  • name variant Damir Filipovic 0.60 · backfill

Papers (14)

  1. On the Relation Between Linearity-Generating Processes and Linear-Rational Models q-fin.MF · 2018 · author #1
  2. Option Pricing with Orthogonal Polynomial Expansions q-fin.MF · 2017 · author #2
  3. Polynomial processes for power prices q-fin.CP · 2017 · author #1
  4. On the American swaption in the linear-rational framework q-fin.PR · 2016 · author #1
  5. Polynomial Diffusions and Applications in Finance math.PR · 2014 · author #1
  6. Invariant manifolds with boundary for jump-diffusions math.PR · 2012 · author #1
  7. Term Structure Models Driven by Wiener Process and Poisson Measures: Existence and Positivity math.PR · 2009 · author #1
  8. Affine Diffusion Processes: Theory and Applications math.PR · 2009 · author #1
  9. Jump-Diffusions in Hilbert Spaces: Existence, Stability and Numerics math.PR · 2008 · author #1
  10. Affine Models q-fin.PR · 2008 · author #2
  11. Equivalent and absolutely continuous measure changes for jump-diffusion processes math.PR · 2005 · author #2
  12. On Finite-dimensional Term Structure models math.PR · 2002 · author #1
  13. Regularity of finite-dimensional realizations for Evolution Equations math.FA · 2001 · author #1
  14. Finite dimensional Realizations of Stochastic Equations math.PR · 2001 · author #1

Mentions

  • 1202.1076 #1 · backfill · confidence 0.70 Damir Filipovic
  • 0905.1413 #1 · backfill · confidence 0.70 Damir Filipovic
  • 0901.4003 #1 · backfill · confidence 0.70 Damir Filipovic
  • 0810.5023 #1 · backfill · confidence 0.70 Damir Filipovic
  • 0809.1985 #2 · backfill · confidence 0.70 Damir Filipovic

Frequent Coauthors