Piterbarg, Vladimir

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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, Managing Director

Publications

Books

  1. (order now) Leif B.G. Andersen and Vladimir V. Piterbarg. Interest Rate Modeling: Models, Products, Risk Management. In three volumes. Atlantic Financial Press, 2010 (see the book website for order information, table of contents and sample chapters)

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. Vladimir V. Piterbarg. Rates squared. Risk Magazine, 2009, 22, 100-105.
  14. Alexandre Antonov, Timur Misirpashaev and Vladimir V. Piterbarg. Markovian projection onto a Heston model. Journal of Computational Finance, 13(1), 2009.
  15. Vladimir V. Piterbarg. Funding beyond discounting: collateral agreements and derivatives pricing. Risk Magazine, 2010, 2, 97--102
  16. Vladimir V. Piterbarg and Leif B.G. Andersen. Libor market model. In Encyclopedia of Quantitative Finance, Cont, R. (ed.) Wiley, 2010, 1031--1036
  17. Vladimir V. Piterbarg and Leif B.G. Andersen. Bermudan swaptions and callable Libor exotics. In Encyclopedia of Quantitative Finance, Cont, R. (ed.) Wiley, 2010, 177--181

Working papers

Working papers can be downloaded from

Selected conference presentations

  1. Spread options and Farkas' lemma. ICBI's Global Derivatives Conference, Paris 2011
  2. Effects of funding and collateral in derivatives pricing. ICBI's Global Derivatives Conference, Paris 2010
  3. Quadratic Gaussian models for CMS spread options. ICBI's Global Derivatives Conference, Rome 2009
  4. Practical Multi-Factor Quadratic Gaussian Models of Interest Rates. ICBI's Global Derivatives Conference, Paris 2008
  5. Modern Approaches to Stochastic Volatility Calibration. WBS Third Fixed Income Conference, Amsterdam, 2006.
  6. Towards a multi-stochastic volatility model for CMS spread exotics. ICBI's Global Derivatives Conference, Paris 2006.
  7. Stochastic volatility; Recent developments and future directions. Risk Magazine's Quant Congress, New York, 2006.
  8. A multi-currency model with FX volatility skew. WBS Second Fixed Income Conference, Prague, 2005.
  9. Time-dependent skews and smiles in interest rate and hybrid modeling. ICBI's Global Derivatives Conference, Paris 2005.
  10. Pricing and Hedging Libor Exotics in Forward Libor Models. Risk Magazine's Quant Congress, London, 2004.
  11. Implied dynamics of the swaption skew surface. WBS First Fixed Income Conference, Prague, 2004.
  12. 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.
  13. Greeks of Bermuda Swaptions: Financial Interpretation and Fast Computations. Risk Magazine's Quantitative Finance 2002, New York.

Other

  1. 2011 and 2006 Risk Magazine Quant of the Year
  2. Associate Editor for the Journal of Computational Finance
  3. Associate Editor for the Journal of Investment Strategies
  4. Co-editor (with Leif B.G. Andersen) of the section on Interest Rate Modelling for Encyclopedia of Quantitative Finance
  5. Member of Advisory Board for Risk's Quant Congress USA and Risk's Quant Congress Europe

Co-authors and other colleagues

Under construction