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Vladimir V. Piterbarg is a Russian-British mathematician and financial engineer known for his contributions to mathematical finance, derivatives pricing and interest rate modelling .[1]
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
Vladimir V. Piterbarg studied probability theory at Moscow State University before defending a PhD at the University of Southern California in 1997[2].
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[3], Rokos Capital Management and NatWest Markets[4], where he currently works.
He is also well known for giving talks on quantitive methods at leading universities and seminars such as Imperial Universit[5]y and the European University of St. Petersburg[6]
Awards
Vladimir V. Piterbarg has received two (RISK) Quant of the Year awards in 2006 and 2011. [7]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".[8] 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
- ^ "Research Profile Vladimir Piterbarg".
- ^ "Vladmimir Piterbarg PhD". Retrieved 24 June 2025.
- ^ "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.
- ^ "Visiting Professors Imperial College". www.imperial.ac.uk. Retrieved 24 June 2025.
- ^ "Lecture by Vladimir Piterbarg "Collateral, Funding, and Discounting"". EUSP. Retrieved 24 June 2025.
- ^ "Vladimir Piterbarg - Risk.net". www.risk.net. Retrieved 2024-11-02.
- ^ "Vladimir Piterbarg - NatWest Markets | QuantMinds International Speaker". informaconnect.com. Retrieved 2024-11-02.