59 citations · 98 across the 5 of their papers we have counts for
8 papers
A Game-Theoretic Analysis of Cross-Ledger Swaps with Packetized Payments
Alevtina Dubovitskaya, Damien Ackerer, Jiahua Xu
We propose a game-theoretic framework to study the outcomes of packetized payments, a cross-ledger transaction protocol, with strategic and possibly malicious agents. We derive the…
A Game-Theoretic Analysis of Cross-Chain Atomic Swaps with HTLCs
Jiahua Xu, Damien Ackerer, Alevtina Dubovitskaya
To achieve interoperability between unconnected ledgers, hash time lock contracts (HTLCs) are commonly used for cross-chain asset exchange. The solution tolerates transaction failu…
Copulas as High-Dimensional Generative Models: Vine Copula Autoencoders
Natasa Tagasovska, Damien Ackerer, Thibault Vatter
We introduce the vine copula autoencoder (VCAE), a flexible generative model for high-dimensional distributions built in a straightforward three-step procedure. First, an autoencod…
Deep Smoothing of the Implied Volatility Surface
Damien Ackerer, Natasa Tagasovska, Thibault Vatter
We present a neural network (NN) approach to fit and predict implied volatility surfaces (IVSs). Atypically to standard NN applications, financial industry practitioners use such m…
Option Pricing with Orthogonal Polynomial Expansions
Damien Ackerer, Damir Filipovic
We derive analytic series representations for European option prices in polynomial stochastic volatility models. This includes the Jacobi, Heston, Stein-Stein, and Hull-White model…
Dependent Defaults and Losses with Factor Copula Models
Damien Ackerer, Thibault Vatter
We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models rem…
Linear Credit Risk Models
Damien Ackerer, Damir Filipović
We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credi…
The Jacobi Stochastic Volatility Model
Damien Ackerer, Damir Filipović, Sergio Pulido
We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show th…