Damir Filipovic
EPFL CDM SFI CSF
EXTRA 218 (Extranef UNIL)
Quartier UNIL-Dorigny
1015 Lausanne
Web site: Web site: https://www.epfl.ch/labs/csf/
+41 21 693 01 08
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Web site: Web site: https://go.epfl.ch/edfi
Biography
Damir Filipovic holds the Swissquote Chair in Quantitative Finance 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 Filipovic 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.
Teaching & PhD
Teaching
Financial engineering