Vladimir Piterbarg

NatWest Markets

Global Head of Quantitative Analytics

250 Bishopsgate

London, EC2M 4AA

United Kingdom

Imperial College London

South Kensington Campus

Imperial College

LONDON, SW7 2AZ

United Kingdom

  • NatWest Markets

  • Imperial College London

SCHOLARLY PAPERS

26

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196

Scholarly Papers (26)

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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
NatWest MarketsImperial College London
Downloads 11,797 (917)
Citation 17

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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

2.

A Multi-Currency Model with FX Volatility Skew

Number of pages: 25 Posted: 05 Apr 2005
Vladimir Piterbarg
NatWest MarketsImperial College London
Downloads 7,169 (2,118)
Citation 25

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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: 45 Posted: 24 Nov 2003 Last Revised: 27 Nov 2023
Vladimir Piterbarg
NatWest MarketsImperial College London
Downloads 6,422 (2,555)
Citation 1

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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

4.

Eurodollar Futures Convexity Adjustments in Stochastic Volatility Models

Number of pages: 19 Posted: 28 Oct 2004
Vladimir Piterbarg and Marco Renedo
NatWest MarketsImperial College London and Bank of America - Quantitative Research
Downloads 5,543 (3,308)
Citation 10

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

5.

Markovian Projection Method for Volatility Calibration

Number of pages: 22 Posted: 06 Jun 2006
Vladimir Piterbarg
NatWest MarketsImperial College London
Downloads 5,441 (3,434)
Citation 43

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

6.

Moment Explosions in Stochastic Volatility Models

Number of pages: 32 Posted: 29 Jun 2004
Leif B. G. Andersen and Vladimir Piterbarg
Bank of America and NatWest MarketsImperial College London
Downloads 5,233 (3,664)
Citation 56

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

7.

Risk Sensitivities of Bermuda Swaptions

Bank of America Working Paper
Number of pages: 45 Posted: 24 Mar 2003
Vladimir Piterbarg
NatWest MarketsImperial College London
Downloads 4,766 (4,331)
Citation 1

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

8.

Interest Rates Benchmark Reform and Options Markets

Number of pages: 22 Posted: 09 Mar 2020 Last Revised: 05 May 2022
Vladimir Piterbarg
NatWest MarketsImperial College London
Downloads 4,000 (5,733)
Citation 4

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interest rates benchmark reform, Libor transition, discounting, swaps, swaptions, caps, Libor-in-arrears, range accruals, interest rates

9.

Alternatives to Deep Neural Networks in Finance

Number of pages: 57 Posted: 08 Nov 2021 Last Revised: 23 Mar 2024
Alexandre Antonov and Vladimir Piterbarg
Abu Dhabi Investment Authority and NatWest MarketsImperial College London
Downloads 3,298 (7,887)

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machine learning, neural networks, financial mathematics, image rendering, stochastic sampling, tensor train, classical alternatives, option pricing

10.

Computing Deltas of Callable Libor Exotics in Forward Libor Models

Number of pages: 32 Posted: 07 May 2003
Vladimir Piterbarg
NatWest MarketsImperial College London
Downloads 2,862 (9,808)
Citation 16

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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

11.

Markovian Projection Onto a Heston Model

Number of pages: 31 Posted: 28 Jun 2007
Alexandre Antonov, Timur Misirpashaev and Vladimir Piterbarg
Abu Dhabi Investment Authority, Bloomberg LP and NatWest MarketsImperial College London
Downloads 2,585 (11,584)
Citation 6

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

12.

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

Number of pages: 8 Posted: 06 May 2003
Vladimir Piterbarg
NatWest MarketsImperial College London
Downloads 2,300 (13,975)
Citation 4

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

13.

Neural Networks with Asymptotics Control

Number of pages: 48 Posted: 09 Mar 2020 Last Revised: 27 Aug 2020
Alexandre Antonov, Michael Konikov and Vladimir Piterbarg
Abu Dhabi Investment Authority, Numerix and NatWest MarketsImperial College London
Downloads 1,935 (18,481)
Citation 5

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Artificial Neural Network, Machine Learning, Asymptotics Control, Multi-Dimensional Splines, Kolmogorov-Arnold Representation Theorem, SABR Model

14.

Collateral Choice Option Valuation

Number of pages: 20 Posted: 08 Oct 2013 Last Revised: 29 Oct 2014
Alexandre Antonov and Vladimir Piterbarg
Abu Dhabi Investment Authority and NatWest MarketsImperial College London
Downloads 1,902 (18,955)

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

15.

Estimating Mean Reversions in Interest Rate Models

Number of pages: 35 Posted: 23 Jul 2024
Igor Duchitskii and Vladimir Piterbarg
affiliation not provided to SSRN and NatWest MarketsImperial College London
Downloads 1,877 (20,123)

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HJM, Cheyette, multi-factor, mean reversion, volatility

16.

Automatic Implicit Function Theorem

Number of pages: 14 Posted: 15 Dec 2021 Last Revised: 31 May 2022
Dmitri Goloubentsev, Evgeny Lakshtanov and Vladimir Piterbarg
Matlogica, Matlogica Limited and NatWest MarketsImperial College London
Downloads 1,550 (25,952)

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AAD, Automatic Adjoint Differentiation, Algorithmic Differentiation, Calibration, Implicit Function Theorem, IFT, AIFT, non-linear least-squares

17.

Backtesting Correlated Quantities

Number of pages: 19 Posted: 26 Sep 2023 Last Revised: 11 Apr 2024
Nikolai Nowaczyk and Vladimir Piterbarg
Independent and NatWest MarketsImperial College London
Downloads 1,257 (35,378)

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Backtesting, CCR, statistics, hypothesis test, discriminatory power, model validation

18.

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
NatWest MarketsImperial College London
Downloads 1,225 (36,661)

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

19.

Optimal Posting of Sticky Collateral

Number of pages: 29 Posted: 01 May 2013
Vladimir Piterbarg
NatWest MarketsImperial College London
Downloads 1,070 (44,664)
Citation 4

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

20.

Arc-Sine Law and the Libor Reform

Number of pages: 37 Posted: 08 Sep 2020 Last Revised: 28 May 2024
Vladimir Piterbarg
NatWest MarketsImperial College London
Downloads 1,025 (47,445)
Citation 1

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Libor Reform, RFR, OIS, Risk-Free Rates, Sonia, Fallback, Arc-Sine, Occupation Time, Median, Percentile, Fallback Spread, Libor Adjustment Spread, Quantile

21.

Fast Calculation of Cheapest-to-Deliver Curves

Number of pages: 18 Posted: 13 Feb 2025
Alexander Kemarsky, Wouter Van der Helm and Vladimir Piterbarg
NatWest Markets, NatWest Markets and NatWest MarketsImperial College London
Downloads 973 (51,094)

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

22.

Expected Median Of A Shifted Brownian Motion: Theory and Calculations

Number of pages: 58 Posted: 12 Jan 2021 Last Revised: 10 Mar 2021
Vladimir Piterbarg
NatWest MarketsImperial College London
Downloads 712 (77,675)
Citation 3

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Libor, Libor reform, Median, Quantile, Percentile, RFR, OIS, Risk-Free Rates, Sonia, Fallback, Arc-Sine, Occupation Time, Brownian motion with drift, Fallback Spread, Libor Adjustment Spread

23.

The Basic Model for the Pandemic and Its Extensions

Number of pages: 11 Posted: 08 Apr 2020 Last Revised: 21 Apr 2020
Andrea Odetti and Vladimir Piterbarg
Independent and NatWest MarketsImperial College London
Downloads 397 (159,123)

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novel, coronavirus, COVID, COVID-19, pandemic, epidemic, SIR, SARS-CoV-2, Outbreak, R0,Transmission

24.

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
NatWest MarketsImperial College London
Downloads 341 (188,269)

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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

25.

Optimal Investment Problem in Stochastic and Local Volatility Models

Number of pages: 20 Posted: 04 Nov 2018
Vladimir Piterbarg
NatWest MarketsImperial College London
Downloads 314 (205,671)

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Merton, optimal allocation, Kelly, stochastic local volatility, investment

26.

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, NatWest MarketsImperial College London and Bank of America

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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