Damir Filipovi? holds the Swissquote Chair in Quantitative Finance and is Swiss Finance Institute Professor at the Ecole Polytechnique Fédérale de Lausanne (EPFL), Switzerland. Prior to this, he was head of the Vienna Institute of Finance and professor at the University of Vienna. He previously held the chair of financial and insurance mathematics at the University of Munich, and he was on the faculty of Princeton University. He received his Ph.D. in mathematics from ETH Zurich in 2000.
Damir Filipovi? worked as a scientific consultant for the Swiss Federal Office of Private Insurance from 2003 to 2004. There he co-developed the Swiss Solvency Test, which defines the regulatory capital requirement for all Swiss based insurance companies and groups.
He is on the editorial board of several academic journals. His research interests include the term structure of interest rates, credit and volatility risk, quantitative methods in risk management, and stochastic processes. His papers have been published in a variety of academic journals including the Journal of Financial Economics, Mathematical Finance, Finance and Stochastics, and the Annals of Applied Probability. He is the author of a textbook titled Term-Structure Models.
Click here to see Damir Filipovic personal webpage
Teaching & PhD
- Financial engineering,
- Doctoral Program in Finance
- Doctoral Program in Mathematics
- Doctoral program in computer and communication sciences
This course gives an introduction to probability theory and stochastic calculus in discrete and continuous time. We study fundamental notions and techniques necessary for applications in finance such as option pricing and hedging.
This course gives an introduction to the valuation of interest rate securities with and without credit risk, the management and hedging of bond portfolios and the valuation and usage of interest rate and credit derivatives.