E-LIB Suche - Ergebnisse für: Filipović, Damir

1

Shrinking the Term Structure

NBER working paper series, no. w32472

Filipović, Damir ; Pelger, Markus ; Ye , 2024

Link: https://www.nber.org/pap..

2

Stripping the Swiss discount curve using kernel ridge regre..:

Camenzind, Nicolas ; Filipović, Damir
European Actuarial Journal. 14 (2024) 2 - p. 371-410 , 2024

Link: https://doi.org/10.1007/..

3

StockTwits classified sentiment and stock returns:

Divernois, Marc-Aurèle ; Filipović, Damir
Digital Finance. 6 (2023) 2 - p. 249-281 , 2023

Link: https://doi.org/10.1007/..

4

Vertical and Topical Tracks:

, In: 2023 IEEE 9th World Forum on Internet of Things (WF-IoT),

Filipovic, Damir ; Stuttgen, Heiner - p. 1-76 , 2023

Link: https://doi.org/10.1109/..

5

Machine Learning and Data Sciences for Financial Markets: A..:

Filipovic, Damir
Quantitative Finance. 23 (2023) 12 - p. 1729-1730 , 2023

Link: https://doi.org/10.1080/..

6

Discount models:

Filipović, Damir
Finance and Stochastics. 27 (2023) 4 - p. 933-946 , 2023

Link: https://doi.org/10.1007/..

7

Analysis of Large Market Data Using Neural Networks: A Caus..:

Divernois, Marc-Aurèle ; Etesami, Jalal ; Filipovic, Damir.
IEEE Journal on Selected Areas in Information Theory. 4 (2023) - p. 833-847 , 2023

Link: https://doi.org/10.1109/..

8

A machine learning approach to portfolio pricing and risk m..:

Fernandez‐Arjona, Lucio ; Filipović, Damir
Mathematical Finance. 32 (2022) 4 - p. 982-1019 , 2022

Link: https://doi.org/10.1111/..

9

Machine learning with kernels for portfolio valuation and r..:

Boudabsa, Lotfi ; Filipović, Damir
Finance and Stochastics. 26 (2021) 2 - p. 131-172 , 2021

Link: https://doi.org/10.1007/..

10

A term structure model for dividends and interest rates:

Filipović, Damir ; Willems, Sander
Mathematical Finance. 30 (2020) 4 - p. 1461-1496 , 2020

Link: https://doi.org/10.1111/..

11

Markov cubature rules for polynomial processes:

Filipović, Damir ; Larsson, Martin ; Pulido, Sergio
Stochastic Processes and their Applications. 130 (2020) 4 - p. 1947-1971 , 2020

Link: https://doi.org/10.1016/..

12

Systemic Risk in Networks with a Central Node:

Amini, Hamed ; Filipović, Damir ; Minca, Andreea
SIAM Journal on Financial Mathematics. 11 (2020) 1 - p. 60-98 , 2020

Link: https://doi.org/10.1137/..

13

Linear credit risk models:

Ackerer, Damien ; Filipović, Damir
Finance and Stochastics. 24 (2019) 1 - p. 169-214 , 2019

Link: https://doi.org/10.1007/..

14

Insurance: models, digitalization, and data science:

Albrecher, Hansjörg ; Bommier, Antoine ; Filipović, Damir...
European Actuarial Journal. 9 (2019) 2 - p. 349-360 , 2019

Link: https://doi.org/10.1007/..

15

Option pricing with orthogonal polynomial expansions:

Ackerer, Damien ; Filipović, Damir
Mathematical Finance. 30 (2019) 1 - p. 47-84 , 2019

Link: https://doi.org/10.1111/..