Quant of the year VLADIMIR PITERBARG

- Risk magazine
- 01 Jan 2006

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Readers of Risk voted Vladimir Piterbarg, head of fixed-income quantitative research at Barclays Capital, Quant of the Year on the strength of his cutting-edge paper, Time to smile (Risk May 2005), and associated work in the field of stochastic volatility modelling

Quants and traders have historically faced a quandary when using stochastic volatility models to price options. Efficient numerical methods have typically only been available for models with constant coefficients. But pricing European

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