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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
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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
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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
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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
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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
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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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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
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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
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Interest rate modeling
Andersen, Leif B. G.; Piterbarg, Vladimir V.
Persistent link: https://www.econbiz.de/10009387121