Piterbarg, Vladimir

From WilmottWiki

Contents 1 Degrees 2 Professional experience 2.1 NationsBank/Bank of America 2.2 Barclays Capital 3 Publications 3.1 Published papers 3.2 Working papers 3.3 Selected conference presentations 4 Co-authors and other colleagues

Degrees

• 1993, Diploma in Mathematics, Moscow State University
• 1997, PhD in Probability Theory, University of Southern California

Professional experience

NationsBank/Bank of America

• 1997 -- 2005
• Various roles in fixed income quantitative research, last few years as a co-head of global quantitative research group

Barclays Capital

• 2005 -- 2007: Head of Fixed Income Quantitative Analytics
• 2007 -- Now: Head of Quantitative Analytics

Publications

Published papers

1. Vladimir V. Piterbarg. Computing deltas of callable Libor exotics in forward Libor models. Journal of Computational Finance, 7(3):107–144, 2004.
2. Vladimir V. Piterbarg. Risk sensitivities of Bermuda swaptions. International Journal of Theoretical and Applied Finance, 7(4):465–510, 2004.
3. Vladimir V. Piterbarg. TARNs: models, valuation, risk sensitivities. Wilmott, November 2004.
4. Vladimir V. Piterbarg. Mixture of models: A simple recipe for a ... hangover? Wilmott, pages 72–77, January 2005.
5. Vladimir V. Piterbarg. Pricing and hedging callable Libor exotics in forward Libor models. Journal of Computational Finance, 8(2), 2005.
6. Vladimir V. Piterbarg. Stochastic volatility model with time-dependent skew. Applied Mathematical Finance, 12(2):147–185, June 2005.
7. Vladimir V. Piterbarg. Time to smile. Risk Magazine, 18(5):71–75, May 2005.
8. Vladimir V. Piterbarg. Smiling hybrids. Risk Magazine, 19(5):66–71, May 2006.
9. Leif B.G. Andersen and Vladimir V. Piterbarg. Moment explosions in stochastic volatility models. Finance and Stochastics, 2006.
10. Vladimir V. Piterbarg and Marco A. Renedo. Eurodollar futures convexity adjustments in stochastic volatility models. Journal of Computational Finance, 9(3), 2006.
11. Vladimir V. Piterbarg. Markovian Projection for Volatility Calibration. Risk Magazine, 2007, 20, 84-89
12. Jakob Sidenius, Vladimir V. Piterbarg, and Leif B.G.Andersen. A new framework for dynamic credit portfolio loss modeling. International Journal of Theoretical and Applied Finance, 11(2):163-197, March 2008.
13. Leif B.G. Andersen and Vladimir V. Piterbarg. Modeling interest rate exotics: A Modern View. Book in progress, 2009

Working papers

Working papers can be downloaded from

• SSRN
• DefaultRisk (SPA paper)

Selected conference presentations

1. Practical Multi-Factor Quadratic Gaussian Models of Interest Rates. ICBI's Global Derivatives Conference, Paris 2008
2. Modern Approaches to Stochastic Volatility Calibration. WBS Third Fixed Income Conference, Amsterdam, 2006.
3. Towards a multi-stochastic volatility model for CMS spread exotics. ICBI's Global Derivatives Conference, Paris 2006.
4. Stochastic volatility; Recent developments and future directions. Risk Magazine's Quant Congress, New York, 2006.
5. A multi-currency model with FX volatility skew. WBS Second Fixed Income Conference, Prague, 2005.
6. Time-dependent skews and smiles in interest rate and hybrid modeling. ICBI's Global Derivatives Conference, Paris 2005.
7. Pricing and Hedging Libor Exotics in Forward Libor Models. Risk Magazine's Quant Congress, London, 2004.
8. Implied dynamics of the swaption skew surface. WBS First Fixed Income Conference, Prague, 2004.
9. Pricing and Hedging Callable Libor Exotics in Forward Libor Models. Tenth Annual CAP Workshop on Derivative Securities and Risk Management. Columbia University, New York, 2003.
10. Greeks of Bermuda Swaptions: Financial Interpretation and Fast Computations. Risk Magazine's Quantitative Finance 2002, New York.

Co-authors and other colleagues

• Andersen, Leif
• Andreasen, Jesper
• Sidenius, Jakob
• to be finished

Under construction