Damir Filipovic

Damir Filipovic is a Professor at the École Polytechnique Fédérale de Lausanne (EPFL), affiliated with the Economics / Finance department. He holds the Swissquote Chair in Quantitative Finance and is a member of the ETH FinsureTech Hub. His research focuses on quantitative finance and risk management, with publications in journals such as Mathematical Finance and the Annals of Applied Probability. He is also the author of the textbook 'Term-Structure Models.' At EPFL, he aims to advance quantitative finance through research, foster junior academics, and promote knowledge transfer to industry.

Damir Filipovic is a researcher in Quantitative Finance and Quantitative Risk Management. His work focuses on affine processes, term-structure models, and risk measures in financial markets. He has contributed to the theory and application of affine diffusion processes, including their use in pricing and risk management. His research also addresses market price of risk specifications, consistency problems in interest rate models, and systemic risk in financial networks. Filipovic's publications explore density approximations, law-invariant convex risk measures, and quadratic term structure models for both risk-free and defaultable rates. His research provides theoretical foundations for financial modeling and risk assessment.