Draft:Vladimir Piterbarg
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- Comment: Your draft doesn't meet WP:GNG. The sources: informaconnect.com, www.risk.net, and eFinancialCareers are unreliable per WP:RS, although the source from numerix is not accessible. READ WP:42 to see what we expect from a reliable siurce. Safari ScribeEdits! Talk! 04:30, 3 November 2024 (UTC)
Vladimir V. Piterbarg is a Russian-British mathematician and financial engineer known for his contributions to mathematical finance, derivatives pricing and interest rate modelling .
Vladimir V. Piterbarg | |
---|---|
Born | October 6, 1971 Moscow |
Occupation | Quantitative Analyst |
Spouse | Gloria Civantos |
Children | Andrei Piterbarg, Tatiana Piterbarg |
Awards | Quant of the Year 2006, 2011 |
Biography
[edit]Vladimir V. Piterbarg studied probability theory at Moscow State University before defending a PhD at the University of Southern California in 1997[1][unreliable source?]
He joined Bank of America in 1997 as an interest rate quant and eventually became cohead of quantitative research. He has since headed quantitative analytics teams at Barclays Capital[2], Rokos Capital Management and NatWest Markets[3], where he currently works.
Awards
[edit]Vladimir V. Piterbarg has received two (RISK) Quant of the Year awards in 2006 and 2011. [4]The 2006 award was for ground-breaking time-averaging techniques for volatility modelling. The second award was for laying the foundations for post financial crisis interest rate modelling.
Books
[edit]Together with Leif B.G. Andersen, Vladimir V. Piterbarg is the author of the authoritative, 1,200 page long, three-volume set of books "Interest Rate Modelling".[5] Full details of the monograph are available at www.andersen-piterbarg-book.com
Publications
[edit]Some of Piterbarg's notable publications include:
- "Moment explosions in stochastic volatility models" (2007) Finance and Stochastics 11 (1), 29-50 with L.B.G. Andersen
- "Funding beyond Discounting: Impact of Stochastic Funding and Collateral Agreements and Derivatives Pricing" (2010) Risk
- "A new framework for dynamic credit portfolio loss modelling" (2008) International Journal of Theoretical and Applied Finance 11 (02), 163-197 with J. Sidenius, L. Andersen
- "Markovian projection method for volatility calibration" (2006) SSRN
- "Stochastic volatility model with time‐dependent skew" (2005) Applied Mathematical Finance 12 (2), 147-185
- "A stochastic volatility forward Libor model with a term structure of volatility smiles" (2003) Available at SSRN 472061
- "A practitioner's guide to pricing and hedging callable LIBOR exotics in forward LIBOR models" (2003) Available at SSRN 427084
- "Cooking with collateral" (2012) Risk 25 (8), 46
- "Interest Rate Modeling. Volume 2: Term Structure Models" (2010) Atlantic with L.B.G. Andersen
- "Computing deltas of callable LIBOR exotics in forward LIBOR models" (2003) Available at SSRN 396180
- "Smiling hybrids" (2006) Risk 19 (5), 66-71
- "Time to smile" (2005) Risk, 71-75
References
[edit]- ^ "The ex-Barclays head of quantitative analytics quietly left Rokos Capital Management". eFinancialCareers. 2018-07-17. Retrieved 2024-11-02.
- ^ "Dr. Vladimir Piterbarg | Numerix". www.numerix.com. Retrieved 2024-11-02.
- ^ "Natwest Markets just hired the top quant who left Rokos in July". eFinancialCareers. 2018-09-26. Retrieved 2024-11-02.
- ^ "Vladimir Piterbarg - Risk.net". www.risk.net. Retrieved 2024-11-02.
- ^ "Vladimir Piterbarg - NatWest Markets | QuantMinds International Speaker". informaconnect.com. Retrieved 2024-11-02.