Vladimir Piterbarg

NatWest Markets

Global Head of Quantitative Analytics

250 Bishopsgate

London, EC2M 4AA

United Kingdom

SCHOLARLY PAPERS

21

DOWNLOADS
Rank 306

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Top 306

in Total Papers Downloads

56,583

SSRN CITATIONS
Rank 7,642

SSRN RANKINGS

Top 7,642

in Total Papers Citations

60

CROSSREF CITATIONS

98

Scholarly Papers (21)

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 Markets
Downloads 11,636 (391)
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 Markets
Downloads 7,012 (970)
Citation 25

Abstract:

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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: 46 Posted: 24 Nov 2003
Vladimir Piterbarg
NatWest Markets
Downloads 6,290 (1,170)
Citation 26

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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.

Markovian Projection Method for Volatility Calibration

Number of pages: 22 Posted: 06 Jun 2006
Vladimir Piterbarg
NatWest Markets
Downloads 5,299 (1,574)
Citation 33

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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
NatWest Markets and Bank of America - Quantitative Research
Downloads 4,997 (1,762)
Citation 10

Abstract:

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

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 Markets
Downloads 4,402 (2,209)
Citation 44

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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 Markets
Downloads 4,389 (2,222)
Citation 1

Abstract:

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

8.

Computing Deltas of Callable Libor Exotics in Forward Libor Models

Number of pages: 32 Posted: 07 May 2003
Vladimir Piterbarg
NatWest Markets
Downloads 2,689 (5,111)
Citation 16

Abstract:

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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

9.

Markovian Projection Onto a Heston Model

Number of pages: 31 Posted: 28 Jun 2007
Alexandre Antonov, Timur Misirpashaev and Vladimir Piterbarg
Danske Bank - Danske Markets, Bloomberg LP and NatWest Markets
Downloads 2,382 (6,252)
Citation 7

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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
NatWest Markets
Downloads 1,935 (8,885)
Citation 4

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

11.

Collateral Choice Option Valuation

Number of pages: 20 Posted: 08 Oct 2013 Last Revised: 29 Oct 2014
Alexandre Antonov and Vladimir Piterbarg
Danske Bank - Danske Markets and NatWest Markets
Downloads 1,260 (17,458)

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

12.

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 Markets
Downloads 1,166 (19,630)

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

13.

Interest Rates Benchmark Reform and Options Markets

Number of pages: 22 Posted: 09 Mar 2020 Last Revised: 15 Jul 2020
Vladimir Piterbarg
NatWest Markets
Downloads 901 (29,013)
Citation 2

Abstract:

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

14.

Optimal Posting of Sticky Collateral

Number of pages: 29 Posted: 01 May 2013
Vladimir Piterbarg
NatWest Markets
Downloads 840 (31,654)
Citation 2

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

15.

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
Danske Bank - Danske Markets, Numerix and NatWest Markets
Downloads 434 (74,435)
Citation 3

Abstract:

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

16.

Arc-Sine Law and the Libor Reform

Number of pages: 34 Posted: 08 Sep 2020 Last Revised: 28 Sep 2020
Vladimir Piterbarg
NatWest Markets
Downloads 277 (123,240)

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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

17.

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 Markets
Downloads 267 (128,169)

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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

18.

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 Markets
Downloads 257 (133,369)

Abstract:

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

19.

Optimal Investment Problem in Stochastic and Local Volatility Models

Number of pages: 20 Posted: 04 Nov 2018
Vladimir Piterbarg
NatWest Markets
Downloads 150 (217,980)

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

20.

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 Markets 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

21.

Pricing and Hedging Callable Libor Exotics in Forward Libor Models

Posted: 28 Apr 2005
Vladimir Piterbarg
NatWest Markets

Abstract:

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