Affine processes and applications in finance D Duffie, D Filipović, W Schachermayer The Annals of Applied Probability 13 (3), 984-1053, 2003 | 1282 | 2003 |
Term-structure models: A graduate course D Filipovic Springer Science & Business Media, 2009 | 567 | 2009 |
Market price of risk specifications for affine models: Theory and evidence P Cheridito, D Filipović, RL Kimmel Journal of Financial Economics 83 (1), 123-170, 2007 | 447 | 2007 |
Consistency problems for Heath-Jarrow-Morton interest rate models D Filipovic Springer Science & Business Media, 2001 | 364* | 2001 |
The term structure of interbank risk D Filipović, AB Trolle Journal of Financial Economics 109 (3), 707-733, 2013 | 232 | 2013 |
A note on the Nelson–Siegel family D Filipović Mathematical finance 9 (4), 349-359, 1999 | 209 | 1999 |
Affine processes on positive semidefinite matrices C Cuchiero, D Filipović, E Mayerhofer, J Teichmann | 201 | 2011 |
Equivalent and absolutely continuous measure changes for jump-diffusion processes P Cheridito, D Filipović, M Yor Annals of applied probability, 1713-1732, 2005 | 163 | 2005 |
Density approximations for multivariate affine jump-diffusion processes D Filipović, E Mayerhofer, P Schneider Journal of Econometrics 176 (2), 93-111, 2013 | 152 | 2013 |
Separation and duality in locally L0-convex modules D Filipović, M Kupper, N Vogelpoth Journal of Functional Analysis 256 (12), 3996-4029, 2009 | 143 | 2009 |
Affine diffusion processes: theory and applications D Filipovic, E Mayerhofer Advanced financial modelling 8, 1-40, 2009 | 140 | 2009 |
Linear‐rational term structure models D Filipović, M Larsson, AB Trolle The Journal of Finance 72 (2), 655-704, 2017 | 135 | 2017 |
A general characterization of one factor affine term structure models D Filipović Finance and Stochastics 5, 389-412, 2001 | 129 | 2001 |
Polynomial diffusions and applications in finance D Filipović, M Larsson Finance and Stochastics 20 (4), 931-972, 2016 | 127 | 2016 |
Quadratic term structure models for risk‐free and defaultable rates L Chen, D Filipović, HV Poor Mathematical Finance: An International Journal of Mathematics, Statistics …, 2004 | 127 | 2004 |
THE CANONICAL MODEL SPACE FOR LAW‐INVARIANT CONVEX RISK MEASURES IS L1 D Filipović, G Svindland Mathematical Finance: An International Journal of Mathematics, Statistics …, 2012 | 125* | 2012 |
Optimal capital and risk allocations for law-and cash-invariant convex functions D Filipović, G Svindland Finance and Stochastics 12, 423-439, 2008 | 120 | 2008 |
Quadratic variance swap models D Filipović, E Gourier, L Mancini Journal of Financial Economics 119 (1), 44-68, 2016 | 119 | 2016 |
Systemic risk in networks with a central node H Amini, D Filipovic, A Minca SIAM Journal on Financial Mathematics 11 (1), 60-98, 2020 | 114* | 2020 |
Time-inhomogeneous affine processes D Filipović Stochastic Processes and their Applications 115 (4), 639-659, 2005 | 114 | 2005 |