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Piterbarg, Vladimir's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
45,792 |
Total
Citations
130 |
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1.
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Piterbarg, Vladimir
Barclays Capital
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10,775
(130)
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12
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Bermuda-style derivatives, Bermudan swaptions, callable Libor exotics, callable range accruals, callable inverse floaters, hedging, Greeks, deltas, vegas, gammas, Monte-Carlo, market model, forward Libor model, Libor market model, LMM, BGM, pathwise deltas, Markov approximation, variance reduction, control variate, smoothing
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2.
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Piterbarg, Vladimir
Barclays Capital
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6,427
(347)
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17
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FX hybrids, Power-reverse dual-currency notes, PRDC, FX volatility skew, three-factor model, multi-currency model
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3.
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Piterbarg, Vladimir
Barclays Capital
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5,823
(423)
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20
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Market model, forward Libor model, Libor market model, LMM, BGM, stochastic volatility, volatility smile, volatility calibration, skew calibration, interest rate models, time-dependent local volatility, effective volatility, effective skew, average skew, homogenization, averaging
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4.
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Piterbarg, Vladimir
Barclays Capital
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4,550
(650)
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16
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Local volatility, stochastic volatility, Markovian projection, parameter averaging, Dupire's local volatility, index options, basket options, spread options
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5.
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Piterbarg, Vladimir
Barclays Capital Renedo, Marco
Bank of America - Quantitative Research
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3,867
(873)
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4
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Eurodollar convexity adjustment, stochastic volatility, volatility smile, forward Libor models
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6.
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Piterbarg, Vladimir
Barclays Capital
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3,732
(934)
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4
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Bermudan swaptions, fast greeks, risk sensitivities, interest rate derivatives valuation and hedging, BGM, Cheyette, PDE methods
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7.
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Andersen, Leif B. G.
Bank of America Merrill Lynch Piterbarg, Vladimir
Barclays Capital
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3,550
(1,028)
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32
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Stochastic volatility models, CEV model, displaced diffusion, moment stability, martingale property, integrability, volatility smile asymptotics
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8.
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Piterbarg, Vladimir
Barclays Capital
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2,308
(2,208)
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15
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Bermudan swaptions, callable Libor exotics, callable range accruals, callable inverse floaters, hedging, Greeks, deltas, Monte-Carlo, market model, forward Libor model, Libor market model, LMM, BGM, pathwise deltas
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9.
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Antonov, Alexandre
Numerix Misirpashaev, Timur
Merrill Lynch & Co. Piterbarg, Vladimir
Barclays Capital
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1,962
(2,926)
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9
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Markovian projection, stochastic volatility, Shifted Heston model, Gyongy lemma, index options, Heston basket options, Heston spread options
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10.
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Piterbarg, Vladimir
Barclays Capital
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1,663
(3,878)
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1
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Mixtures of models, model ensembles, stochastic volatility, lognormal mixture
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11.
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Piterbarg, Vladimir
Barclays Capital
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1,069
(8,328)
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American options, path dependence, PDE, lattice, accreting notionals, Bermuda swaptions
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12.
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Piterbarg, Vladimir
Barclays Capital
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66
(174,831)
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OTC, CSA, Credit Support Annex, Collateral, Substitution rights, Sticky, HJB, dynamic programming
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13.
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Sidenius, Jakob
Independent Piterbarg, Vladimir
Barclays Capital Andersen, Leif B. G.
Bank of America Merrill Lynch
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Dynamic model of CDOs, dynamic copula, conditional Markov process, options on tranches, option on CDO tranche, portfolio loss, SPA model, leveraged super-senior
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14.
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Piterbarg, Vladimir
Barclays Capital
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Libor, callable Libor exotics, forward Libor models, interest rate derivatives
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Records 1 -
14
of 14 matches
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