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

SCHOLARLY PAPERS

24

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80

CROSSREF CITATIONS

107

Scholarly Papers (24)

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 11,784 (792)
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 7,150 (1,877)
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 6,402 (2,239)
Citation 30

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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 5,431 (2,992)
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 5,414 (3,009)
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 5,033 (3,421)
Citation 52

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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 4,713 (3,835)
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 3,738 (5,644)
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 3,258 (7,086)

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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 2,829 (8,804)
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 2,546 (10,432)
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 2,204 (13,174)
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 1,816 (17,886)
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 1,804 (18,058)

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

15.

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 1,350 (27,983)

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

16.

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 1,211 (32,843)

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

17.

Optimal Posting of Sticky Collateral

Number of pages: 29 Posted: 01 May 2013
Vladimir Piterbarg
NatWest MarketsImperial College London
Downloads 1,020 (41,985)
Citation 4

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

18.

Arc-Sine Law and the Libor Reform

Number of pages: 37 Posted: 08 Sep 2020 Last Revised: 25 Jan 2021
Vladimir Piterbarg
NatWest MarketsImperial College London
Downloads 992 (43,702)
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

19.

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 671 (73,811)
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

20.

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 564 (91,781)

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

21.

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 378 (147,608)

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

22.

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 329 (171,734)

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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

23.

Optimal Investment Problem in Stochastic and Local Volatility Models

Number of pages: 20 Posted: 04 Nov 2018
Vladimir Piterbarg
NatWest MarketsImperial College London
Downloads 288 (197,559)

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

24.

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