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Search: person:"Piterbarg, Vladimir V."
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Piterbarg, Vladimir V.
10
Andersen, Leif B. G.
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Andersen, Leif B.G.
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1
Expected median of a shifted Brownian motion : theory and calculations
Piterbarg, Vladimir V.
- In:
Mathematical finance : an international journal of …
32
(
2022
)
1
,
pp. 3-45
Persistent link: https://www.econbiz.de/10012815944
Saved in:
2
Expected median of a shifted Brownian motion : Theory and calculations
Piterbarg, Vladimir V.
- In:
Mathematical Finance
32
(
2021
)
1
,
pp. 3-45
Persistent link: https://www.econbiz.de/10012810398
Saved in:
3
The optimal investment problem in stochastic and local volatility models
Piterbarg, Vladimir V.
- In:
The journal of investment strategies
7
(
2018
)
4
,
pp. 1-25
Persistent link: https://www.econbiz.de/10012001989
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4
Moment explosions in stochastic volatility models
Andersen, Leif B. G.
;
Piterbarg, Vladimir V.
- In:
Finance and stochastics
11
(
2007
)
1
,
pp. 29-50
Persistent link: https://www.econbiz.de/10003410634
Saved in:
5
Moment explosions in stochastic volatility models
Andersen, Leif B.G.
;
Piterbarg, Vladimir V.
- In:
Finance and stochastics
11
(
2007
)
1
,
pp. 29-50
Persistent link: https://www.econbiz.de/10008222119
Saved in:
6
Pricing and hedging callable Libor exotics in forward Libor models
Piterbarg, Vladimir V.
- In:
The journal of computational finance
8
(
2004/2005
)
2
,
pp. 65-117
Persistent link: https://www.econbiz.de/10002597597
Saved in:
7
Stochastic volatility model with time-dependent skew
Piterbarg, Vladimir V.
- In:
Applied mathematical finance
12
(
2005
)
2
,
pp. 147-185
Persistent link: https://www.econbiz.de/10002989932
Saved in:
8
Risk sensitivities of Bermuda swaptions
Piterbarg, Vladimir V.
- In:
International journal of theoretical and applied finance
7
(
2004
)
4
,
pp. 465-509
Persistent link: https://www.econbiz.de/10002108806
Saved in:
9
Computing deltas of callable Libor exotics in forward Libor models
Piterbarg, Vladimir V.
- In:
The journal of computational finance
7
(
2004
)
3
,
pp. 107-144
Persistent link: https://www.econbiz.de/10002060746
Saved in:
10
Interest rate modeling
Andersen, Leif B. G.
;
Piterbarg, Vladimir V.
Persistent link: https://www.econbiz.de/10009387121
Saved in:
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