Vladimir Piterbarg

Independent

No Address Available

SCHOLARLY PAPERS

16

DOWNLOADS
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Top 178

in Total Papers Downloads

51,438

CITATIONS
Rank 4,002

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Top 4,002

in Total Papers Citations

134

Scholarly Papers (16)

1.

A Practitioner's Guide to Pricing and Hedging Callable Libor Exotics in Forward Libor Models

Number of pages: 58 Posted: 30 Aug 2003
Vladimir Piterbarg
Independent
Downloads 11,369 (224)
Citation 12

Abstract:

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

2.

A Multi-currency Model with FX Volatility Skew

Number of pages: 25 Posted: 05 Apr 2005
Vladimir Piterbarg
Independent
Downloads 6,728 (599)
Citation 16

Abstract:

FX hybrids, Power-reverse dual-currency notes, PRDC, FX volatility skew, three-factor model, multi-currency model

3.

A Stochastic Volatility Forward Libor Model with a Term Structure of Volatility Smiles

Number of pages: 46 Posted: 24 Nov 2003
Vladimir Piterbarg
Independent
Downloads 6,051 (727)
Citation 22

Abstract:

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

4.

Markovian Projection Method for Volatility Calibration

Number of pages: 22 Posted: 06 Jun 2006
Vladimir Piterbarg
Independent
Downloads 4,997 (1,016)
Citation 15

Abstract:

Local volatility, stochastic volatility, Markovian projection, parameter averaging, Dupire's local volatility, index options, basket options, spread options

5.

Eurodollar Futures Convexity Adjustments in Stochastic Volatility Models

Number of pages: 19 Posted: 28 Oct 2004
Vladimir Piterbarg and Marco Renedo
Independent and Bank of America - Quantitative Research
Downloads 4,524 (1,133)
Citation 3

Abstract:

Eurodollar convexity adjustment, stochastic volatility, volatility smile, forward Libor models

6.

Risk Sensitivities of Bermuda Swaptions

Bank of America Working Paper
Number of pages: 45 Posted: 24 Mar 2003
Vladimir Piterbarg
Independent
Downloads 3,994 (1,455)
Citation 4

Abstract:

Bermudan swaptions, fast greeks, risk sensitivities, interest rate derivatives valuation and hedging, BGM, Cheyette, PDE methods

7.

Moment Explosions in Stochastic Volatility Models

Number of pages: 32 Posted: 29 Jun 2004
Leif B. G. Andersen and Vladimir Piterbarg
Bank of America Merrill Lynch and Independent
Downloads 3,814 (1,503)
Citation 36

Abstract:

Stochastic volatility models, CEV model, displaced diffusion, moment stability, martingale property, integrability, volatility smile asymptotics

8.

Computing Deltas of Callable Libor Exotics in Forward Libor Models

Number of pages: 32 Posted: 07 May 2003
Vladimir Piterbarg
Independent
Downloads 2,483 (3,395)
Citation 16

Abstract:

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

9.

Markovian Projection Onto a Heston Model

Number of pages: 31 Posted: 28 Jun 2007
Alexandre Antonov, Timur Misirpashaev and Vladimir Piterbarg
Numerix, Merrill Lynch & Co. and Independent
Downloads 2,122 (4,322)
Citation 9

Abstract:

Markovian projection, stochastic volatility, Shifted Heston model, Gyongy lemma, index options, Heston basket options, Heston spread options

10.

Mixture of Models: A Simple Recipe for a ... Hangover?

Number of pages: 8 Posted: 06 May 2003
Vladimir Piterbarg
Independent
Downloads 1,737 (6,233)
Citation 1

Abstract:

Mixtures of models, model ensembles, stochastic volatility, lognormal mixture

11.

A Note on Pricing Weakly-path-dependent American-style Options by Backward Induction

Bank of America Working Paper
Number of pages: 5 Posted: 25 Mar 2003
Vladimir Piterbarg
Independent
Downloads 1,105 (13,424)

Abstract:

American options, path dependence, PDE, lattice, accreting notionals, Bermuda swaptions

12.

Collateral Choice Option Valuation

Number of pages: 20 Posted: 08 Oct 2013 Last Revised: 29 Oct 2014
Alexandre Antonov and Vladimir Piterbarg
Numerix and Independent
Downloads 572 (20,740)

Abstract:

CSA, collateral, collateral choice option, discounting, Credit Support Annex, OTC

13.

Optimal Posting of Sticky Collateral

Number of pages: 29 Posted: 01 May 2013
Vladimir Piterbarg
Independent
Downloads 522 (30,799)

Abstract:

OTC, CSA, Credit Support Annex, Collateral, Substitution rights, Sticky, HJB, dynamic programming

14.

Solving Semi-Linear Risky-Closeout PDE by Discount Boundary Optimization

Number of pages: 23 Posted: 14 Feb 2015 Last Revised: 23 Feb 2015
Vladimir Piterbarg
Independent
Downloads 106 (118,167)

Abstract:

semi-linear PDE, non-linear PDE, one-way CSA, CVA with risky closeout, option pricing with differential rates, accounting-consistent valuation, FVA, CVA, XVA, DVA, obstacle problem

15.

A New Framework for Dynamic Credit Portfolio Loss Modelling

International Journal of Theoretical and Applied Finance, Vol. 11, No. 2, pp. 163-197, 2008
Posted: 30 Nov 2009
Jakob Sidenius, Vladimir Piterbarg and Leif B. G. Andersen
Independent, Independent and Bank of America Merrill Lynch

Abstract:

Dynamic model of CDOs, dynamic copula, conditional Markov process, options on tranches, option on CDO tranche, portfolio loss, SPA model, leveraged super-senior

16.

Pricing and Hedging Callable Libor Exotics in Forward Libor Models

Journal of Computational Finance, Vol. 8, No. 2, pp. 65-119, Winter 2004/05
Posted: 28 Apr 2005
Vladimir Piterbarg
Independent

Abstract:

Libor, callable Libor exotics, forward Libor models, interest rate derivatives