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Damien Ackerer
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Cited by
Year
The Jacobi stochastic volatility model
D Ackerer, D Filipović, S Pulido
Finance and Stochastics 22 (3), 667-700, 2018
792018
Deep smoothing of the implied volatility surface
D Ackerer, N Tagasovska, T Vatter
Advances in Neural Information Processing Systems (NeurIPS 2020) 33, 11552 …, 2020
412020
Option pricing with orthogonal polynomial expansions
D Ackerer, D Filipović
Mathematical Finance 30 (1), 47-84, 2020
402020
A game-theoretic analysis of cross-chain atomic swaps with HTLCs
J Xu, D Ackerer, A Dubovitskaya
2021 IEEE 41st International Conference on Distributed Computing Systems …, 2021
372021
Copulas as high-dimensional generative models: vine copula autoencoders
N Tagasovska, D Ackerer, T Vatter
Advances in Neural Information Processing Systems (NeurIPS 2019) 32, 6525-6537, 2019
372019
Linear credit risk models
D Ackerer, D Filipović
Finance and Stochastics 24 (1), 169-214, 2020
352020
A game-theoretic analysis of cross-ledger swaps with packetized payments
A Dubovitskaya, D Ackerer, J Xu
Financial Cryptography and Data Security. FC 2021 International Workshops …, 2021
52021
Dependent defaults and losses with factor copula models
D Ackerer, T Vatter
Dependence Modeling 5 (1), 375-399, 2017
52017
Polynomial models in finance
D Ackerer
École Polytechnique Fédérale de Lausanne, 2017
12017
Perpetual futures pricing
D Ackerer, J Hugonnier, U Jermann
arXiv preprint arXiv:2310.11771, 2023
2023
The underlying technology for cryptoassets
A Ackerer Dubovitskaya, D Ackerer
The Emerald Handbook on Cryptoassets: Investment Opportunities and …, 2023
2023
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