Vladimir V. Piterbarg

发表

Moment Explosions in Stochastic Volatility Models Moment Explosions in the Black–scholes and Exponential Lévy Model Moment Explosions in the Heston Model

Leif Andersen, Vladimir V. Piterbarg, Leif Andersen, 2022 .

Stochastic Volatility Model with Time‐dependent Skew

Vladimir V. Piterbarg, 2005 .

Moment explosions in stochastic volatility models

Vladimir V. Piterbarg, Leif Andersen, 2005, Finance and Stochastics.

A Practitioner's Guide to Pricing and Hedging Callable Libor Exotics in Forward Libor Models

Vladimir V. Piterbarg, 2003 .

A Note on Pricing Weakly-Path-Dependent American-Style Options by Backward Induction

Vladimir V. Piterbarg, 2002 .

Foundations and vanilla models

Leif B. G. Andersen, Vladimir V. Piterbarg, 2010 .

Pricing and Hedging Callable Libor Exotics in Forward Libor Models

Vladimir V. Piterbarg, 2004 .

Intermittency of the Tracer Gradient

Vladimir V. Piterbarg, L. Piterbarg, 1999 .

Libor Market Models: Simulation

Vladimir V. Piterbarg, Leif Andersen, 2010 .

Neural Networks with Asymptotics Control

Alexandre Antonov, Michael Konikov, Vladimir Piterbarg, 2020 .

Computing Deltas of Callable Libor Exotics in Forward Libor Models

Vladimir Piterbarg, Vladimir V. Piterbarg, 2003 .

Expansions and contractions of isotropic stochastic flows of homeomorphisms

Vladimir V. Piterbarg, 1998 .

Yield Curve Construction

Vladimir V. Piterbarg, Leif Andersen, 2010 .

Markovian Projection Method for Volatility Calibration

Vladimir V. Piterbarg, 2006 .

Markovian Projection Onto a Heston Model

Vladimir V. Piterbarg, A. Antonov, T. Misirpashaev, 2007 .

A Stochastic Volatility Forward Libor Model with a Term Structure of Volatility Smiles

Vladimir V. Piterbarg, 2003 .

Moment explosions in stochastic volatility models

Vladimir V. Piterbarg, Leif Andersen, 2005, Finance Stochastics.

Risk Sensitivities of Bermuda Swaptions

Vladimir V. Piterbarg, 2002 .