The Natixis Foundation for Quantitative Research awards its 2016 Louis Bachelier prize to Damir Filipović

Paris, France, October 19, 2016

The Louis Bachelier prize of the Natixis foundation for quantitative research was awarded this year to Damir Filipović. This biennial prize is sponsored and awarded by the London Mathematical Society (LMS) jointly with Société de Mathématiques Appliquées et Industrielles (SMAI). Today was the official celebration in the London office of Natixis.

The Louis Bachelier prize of the Natixis foundation rewards a researcher, under 45, for its contribution to mathematical modeling in finance, insurance, risk management and scientific computing applied to finance and insurance.

Damir Filipovic is currently a professor at Ecole Polytechnique Federale de Lausanne, the EPFL, where he holds the SwissQuote Chair of Quantitative Finance.

Damir has had an exceptional contribution on both the theoretical and practical sides of finance and insurance. Damir Filipovic’s early research focused on stochastic processes and their applications in finance. Damir’s research is impressive in terms of the breadth of topics addressed and also the depth of the results obtained on each topic, especially, but not only, in the theory of affine processes. Damir has also made significant contributions to quantitative risk management in finance and insurance. Damir worked as a scientific consultant to the Swiss Federal Office of Insurance, the Swiss Insurance regulator, to develop the Swiss Solvency Test, a key element of the regulatory framework of insurance companies. Damir more recent work is related to systemic risk and its regulation, addressing issues such as the design of central clearing facilities for over-the-counter derivatives and the dynamics of interbank lending rates.

“Damir’s international recognition is well established both in academia and in the financial industry. Damir’s work offers a great example of what quantitative finance can bring to risk management of financial institutions and the design of optimal regulation for the banking and insurance industries. Damir has brought fresh and original thinking to challenging problems for both the academic and practitioners’ communities”, explained Michel Crouhy – Chairman of the Natixis Foundation.


The Natixis Foundation for Quantitative Research finances research and events in the field of Quantitative Finance (capital markets, risk management, econometrics, statistical finance, pricing and hedging of financial instruments). More specifically, it finances PhD theses and academic research projects related to current issues faced by financial institutions. The Foundation also organizes conferences jointly with top universities and rewards research projects realized by students in their Master’s thesis.