Draft:Vladimir Piterbarg

Vladimir V. Piterbarg
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

Submission declined on 3 November 2024 by SafariScribe (talk).

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Declined by SafariScribe 48 days ago. Last edited by BattyBot 47 days ago. Reviewer: Inform author.

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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 Scribe^{Edits! 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 .

Biography

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

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

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

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

^ "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.

[1] "The ex-Barclays head of quantitative analytics quietly left Rokos Capital Management". eFinancialCareers. 2018-07-17. Retrieved 2024-11-02.

[2] "Dr. Vladimir Piterbarg | Numerix". www.numerix.com. Retrieved 2024-11-02.

[3] "Natwest Markets just hired the top quant who left Rokos in July". eFinancialCareers. 2018-09-26. Retrieved 2024-11-02.

[4] "Vladimir Piterbarg - Risk.net". www.risk.net. Retrieved 2024-11-02.

[5] "Vladimir Piterbarg - NatWest Markets | QuantMinds International Speaker". informaconnect.com. Retrieved 2024-11-02.

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