59 citations · 98 across the 5 of their papers we have counts for
4 papers · 1 filter
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…