Thibault Vatter

Columbia University - Departments of Statistics and Mathematics

Assistant Professor

1255 Amsterdam Avenue

New York, NY 10027

United States

University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Lecturer

Lausanne, 1015

Switzerland

SCHOLARLY PAPERS

5

DOWNLOADS

967

SSRN CITATIONS

4

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

Deep Smoothing of the Implied Volatility Surface

Proceedings of the 34th Conference on Neural Information Processing Systems (NeurIPS 2020)
Number of pages: 30 Posted: 20 Jun 2019 Last Revised: 26 Oct 2020
Damien Ackerer, Natasa Tagasovska and Thibault Vatter
UBS, University of Lausanne and Columbia University - Departments of Statistics and Mathematics
Downloads 323 (122,142)
Citation 4

Abstract:

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2.

Generalized Additive Models for Conditional Dependence Structures

Journal of Multivariate Analysis, Volume 141, October 2015, Pages 147-167
Number of pages: 43 Posted: 16 May 2013 Last Revised: 04 Aug 2016
Thibault Vatter and Valérie Chavez-Demoulin
Columbia University - Departments of Statistics and Mathematics and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 256 (155,485)

Abstract:

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Conditional rank correlations, Copula, Penalized log-likelihood, Regression splines, Semiparametric modeling, Intraday financial returns

3.

Non-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and Seasonality

Number of pages: 34 Posted: 23 Nov 2013 Last Revised: 04 Aug 2016
Columbia University - Departments of Statistics and Mathematics, University of Toronto - Department of Mathematics, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and Univ of California at Berkeley
Downloads 179 (217,082)

Abstract:

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Intraday spot volatility, Seasonality, Foreign exchange returns, Time-frequency analysis, Synchrosqueezing

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
UBS and Columbia University - Departments of Statistics and Mathematics
Downloads 146 (257,400)

Abstract:

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

5.

Generalized Additive Models for Pair-Copula Constructions

Number of pages: 34 Posted: 04 Aug 2016
Thibault Vatter and Thomas Nagler
Columbia University - Departments of Statistics and Mathematics and Technische Universität München (TUM), Chair of Mathematical Statistics, Students
Downloads 63 (442,536)
Citation 3

Abstract:

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conditional copula, covariates, dependence modeling, partially linear models, semiparametric, smoothing and nonparametric regression