Damir Filipović
Professor
Finance
University of Lausanne
Switzerland
Biography
Damir Filipović holds the Swissquote Chair in Quantitative Finance at the Ecole Polytechnique Fédérale de Lausanne. He has held an SFI Senior Chair since 2010. Since 2011, Prof. Filipović has been a member of the board of directors of Swiss Life Holding Ltd. He is the recipient of numerous research grants and a regular speaker at leading quantitative finance conferences and workshops worldwide
Research Interest
quantitative finance and risk management.
Publications
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N°16-79: Markov Cubature Rules for Polynomial Processes, D. Filipovic, M. Larsson, and S. Pulido, 2016.
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Linear-Rational Term Structure Models, D. Filipovic, M. Larsson, and A. Trolle, Journal of Finance, forthcoming.
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N°17-16: Unspanned Stochastic Volatility in the Multi-Factor CIR Model, D. Filipović, M. Larsson, and F. Statti , 2017.
