Damien Ackerer

Swissquote Bank

Ch. de la Crétaux 33

Gland, Vaud 1196

Switzerland

SCHOLARLY PAPERS

5

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1,032

SSRN CITATIONS
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Top 38,303

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Scholarly Papers (5)

1.

The Jacobi Stochastic Volatility Model

Finance and Stochastics, Volume 22, Issue 3, Pages 667-700, 2018, Swiss Finance Institute Research Paper No. 16-35
Number of pages: 34 Posted: 21 May 2016 Last Revised: 30 Oct 2018
Damien Ackerer, Damir Filipović and Sergio Pulido
Swissquote Bank, Ecole Polytechnique Fédérale de Lausanne and Laboratoire de Mathématiques et Modélisation d'Évry (LaMME); Université d'Évry-Val-d'Essonne, ENSIIE, Université Paris-Saclay, UMR CNRS 8071
Downloads 381 (76,983)
Citation 7

Abstract:

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Jacobi process, option pricing, polynomial model, stochastic volatility

2.

Linear Credit Risk Models

Finance and Stochastics, Forthcoming, Swiss Finance Institute Research Paper No. 16-34, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 51 Posted: 21 May 2016 Last Revised: 23 Jul 2019
Damien Ackerer and Damir Filipović
Swissquote Bank and Ecole Polytechnique Fédérale de Lausanne
Downloads 335 (89,354)
Citation 7

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credit default swap, credit derivatives, credit risk, polynomial model, survival process

3.

Option Pricing with Orthogonal Polynomial Expansions

Mathematical Finance, Forthcoming, Swiss Finance Institute Research Paper No. 17-41
Number of pages: 40 Posted: 29 Nov 2017 Last Revised: 09 Jun 2019
Damien Ackerer and Damir Filipović
Swissquote Bank and Ecole Polytechnique Fédérale de Lausanne
Downloads 144 (202,183)
Citation 3

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Greeks, Option Pricing, Orthogonal Polynomials, Parameter Sensitivity, Polynomial Diffusion Models, Stochastic Volatility

4.

Dependent Defaults and Losses with Factor Copula Models

Dependence Modeling, Volume 5, Issue 1, Pages 375-399, 2017, Swiss Finance Institute Research Paper No. 16-59
Number of pages: 29 Posted: 17 Oct 2016 Last Revised: 14 Jun 2019
Damien Ackerer and Thibault Vatter
Swissquote Bank and Columbia University - Departments of Statistics and Mathematics
Downloads 141 (205,646)

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credit portfolio, credit derivatives, discrete Fourier transform, factor copula, random loss, survival models

5.

Deep Smoothing of the Implied Volatility Surface

Number of pages: 16 Posted: 20 Jun 2019
Damien Ackerer, Natasa Tagasovska and Thibault Vatter
Swissquote Bank, University of Lausanne and Columbia University - Departments of Statistics and Mathematics
Downloads 31 (462,990)

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