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CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH

Filipovic, Damir; Platen, Eckhard - In: Mathematical finance : an international journal of … 19 (2009) 1, pp. 41-52

Persistent link: https://www.econbiz.de/10008160565

A NOTE ON THE DAI-SINGLETON CANONICAL REPRESENTATION OF AFFINE TERM STRUCTURE MODELS

Cheridito, Patrick; Filipovic, Damir; Kimmel, Robert L. - In: Mathematical finance : an international journal of … 20 (2010) 3, pp. 509-520

Persistent link: https://www.econbiz.de/10008425295

Separable Term Structures and the Maximal Degree Problem

Filipovic, Damir - In: Mathematical finance : an international journal of … 12 (2002) 4, pp. 341-350

Persistent link: https://www.econbiz.de/10008216132

A general characterization of one factor affine term structure models

Filipovic, Damir - In: Finance and stochastics 5 (2001) 3, pp. 389-412

Persistent link: https://www.econbiz.de/10008216992

ARTICLES - A Note on the Nelson-Siegel Family

Filipovic, Damir - In: Mathematical finance : an international journal of … 9 (1999) 4, pp. 349-360

Persistent link: https://www.econbiz.de/10008218178

OPTIMAL NUMERAIRES FOR RISK MEASURES

Filipovic, Damir - In: Mathematical finance : an international journal of … 18 (2008) 2, pp. 333

Persistent link: https://www.econbiz.de/10008221217

OPTIMAL CAPITAL AND RISK TRANSFERS FOR GROUP DIVERSIFICATION

Filipovic, Damir; Kupper, Michael - In: Mathematical finance : an international journal of … 18 (2008) 1, pp. 55-76

Persistent link: https://www.econbiz.de/10008221371

QUADRATIC TERM STRUCTURE MODELS FOR RISK-FREE AND DEFAULTABLE RATES

chen, li; filipovic, damir; poor, h.vincent - In: Mathematical finance : an international journal of … 14 (2004) 4, pp. 515-536

Persistent link: https://www.econbiz.de/10008223323

Credit risk: Mixed default modelling - The authors develop a new default risk modelling strategy based on coitibitiing structural and reduced-form models in order to overcome the w...

Chen, Li; Filipovic, Damir; Poor, Vincent - In: Risk : managing risk in the world's financial markets 17 (2004) 11, pp. 110-116

Persistent link: https://www.econbiz.de/10007025244

Consistent Market Extensions under the Benchmark Approach

Filipovic, Damir; Platen, Eckhard - Finance Discipline Group, Business School - 2007

The existence of the growth optimal portfolio (GOP), also known as 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, markets may develop and new security accounts...

Persistent link: https://www.econbiz.de/10004984527