3 citations · 3 across the 1 of their papers we have counts for
5 papers
Polynomial Jump-Diffusion Models
Damir Filipović, Martin Larsson
We develop a comprehensive mathematical framework for polynomial jump-diffusions in a semimartingale context, which nest affine jump-diffusions and have broad applications in finan…
Markov cubature rules for polynomial processes
Damir Filipović, Martin Larsson, Sergio Pulido
We study discretizations of polynomial processes using finite state Markov processes satisfying suitable moment matching conditions. The states of these Markov processes together w…
Linear Credit Risk Models
Damien Ackerer, Damir Filipović
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 credi…
Concave Distortion Semigroups
Alexander Cherny, Damir Filipović
The problem behind this paper is the proper measurement of the degree of quality/acceptability/distance to arbitrage of trades. We are narrowing the class of coherent acceptability…
Density Approximations for Multivariate Affine Jump-Diffusion Processes
Damir Filipović, Eberhard Mayerhofer, Paul Schneider
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 w…