Concepedia

Vladimir Piterbarg

VP

Statistics

Publications

16

Citations

1K

H-Index

13

Active since

1998

Affiliations

Bank of America(Current)

Barclays (United Kingdom)

Vladimir Piterbarg is an author at Bank of America specializing in engineering, asset pricing, and business.

Top concepts

EngineeringFinanceBusinessProbabilityAsset PricingVolatility ModelingMultivariate Stochastic VolatilityEntropyPhysicsExplosions

Publications per year

1998–2010

16

Publications

16

Moment explosions in stochastic volatility models

Leif B. G. Andersen, Vladimir Piterbarg · Finance and Stochastics · 2006 · 408 citations

Volatility Modeling, Multivariate Stochastic Volatility, Engineering +5

Moment Explosions in Stochastic Volatility Models

Leif B. G. Andersen, Vladimir Piterbarg · SSRN Electronic Journal · 2005 · 94 citations · Full text

Volatility Modeling, Multivariate Stochastic Volatility, Engineering +5

Stochastic Volatility Model with Time‐dependent Skew

Vladimir Piterbarg · Applied Mathematical Finance · 2005 · 91 citations

A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING

Jakob Sidenius, Vladimir Piterbarg, Leif B. G. Andersen · International Journal of Theoretical and Applied Finance · 2008 · 91 citations

Option Pricing, Portfolio Optimization, Asset Pricing +14

Markovian Projection Method for Volatility Calibration

Vladimir Piterbarg · SSRN Electronic Journal · 2006 · 77 citations · Full text

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