Piterbarg, Vladimir
From WilmottWiki
Contents |
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Degrees
- 1993, Diploma in Mathematics, Moscow State University
- 1997, PhD in Probability Theory, University of Southern California
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Professional experience
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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
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Barclays Capital
- 2005 -- 2007: Head of Fixed Income Quantitative Analytics
- 2007 -- Now: Head of Quantitative Analytics
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Publications
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Published papers
- Vladimir V. Piterbarg. Computing deltas of callable Libor exotics in forward Libor models. Journal of Computational Finance, 7(3):107–144, 2004.
- Vladimir V. Piterbarg. Risk sensitivities of Bermuda swaptions. International Journal of Theoretical and Applied Finance, 7(4):465–510, 2004.
- Vladimir V. Piterbarg. TARNs: models, valuation, risk sensitivities. Wilmott, November 2004.
- Vladimir V. Piterbarg. Mixture of models: A simple recipe for a ... hangover? Wilmott, pages 72–77, January 2005.
- Vladimir V. Piterbarg. Pricing and hedging callable Libor exotics in forward Libor models. Journal of Computational Finance, 8(2), 2005.
- Vladimir V. Piterbarg. Stochastic volatility model with time-dependent skew. Applied Mathematical Finance, 12(2):147–185, June 2005.
- Vladimir V. Piterbarg. Time to smile. Risk Magazine, 18(5):71–75, May 2005.
- Vladimir V. Piterbarg. Smiling hybrids. Risk Magazine, 19(5):66–71, May 2006.
- Leif B.G. Andersen and Vladimir V. Piterbarg. Moment explosions in stochastic volatility models. Finance and Stochastics, 2006.
- Vladimir V. Piterbarg and Marco A. Renedo. Eurodollar futures convexity adjustments in stochastic volatility models. Journal of Computational Finance, 9(3), 2006.
- Vladimir V. Piterbarg. Markovian Projection for Volatility Calibration. Risk Magazine, 2007, 20, 84-89
- 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.
- Leif B.G. Andersen and Vladimir V. Piterbarg. Modeling interest rate exotics: A Modern View. Book in progress, 2009
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Working papers
Working papers can be downloaded from
- SSRN
- DefaultRisk (SPA paper)
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Selected conference presentations
- Practical Multi-Factor Quadratic Gaussian Models of Interest Rates. ICBI's Global Derivatives Conference, Paris 2008
- Modern Approaches to Stochastic Volatility Calibration. WBS Third Fixed Income Conference, Amsterdam, 2006.
- Towards a multi-stochastic volatility model for CMS spread exotics. ICBI's Global Derivatives Conference, Paris 2006.
- Stochastic volatility; Recent developments and future directions. Risk Magazine's Quant Congress, New York, 2006.
- A multi-currency model with FX volatility skew. WBS Second Fixed Income Conference, Prague, 2005.
- Time-dependent skews and smiles in interest rate and hybrid modeling. ICBI's Global Derivatives Conference, Paris 2005.
- Pricing and Hedging Libor Exotics in Forward Libor Models. Risk Magazine's Quant Congress, London, 2004.
- Implied dynamics of the swaption skew surface. WBS First Fixed Income Conference, Prague, 2004.
- 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.
- Greeks of Bermuda Swaptions: Financial Interpretation and Fast Computations. Risk Magazine's Quantitative Finance 2002, New York.
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Co-authors and other colleagues
- Andersen, Leif
- Andreasen, Jesper
- Sidenius, Jakob
- to be finished
Under construction

