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Interview with Vladimir Piterbarg

Author: Mauro Cesa

Source: Risk magazine | 04 Feb 2010

Categories: Derivatives

Topics: Credit spreads, Option pricing, Credit support annex (CSA), Collateral, OIS discounting, Overnight indexed swap (OIS)

Mauro Cesa, technical editor of Risk magazine, interviews Vladimir Piterbarg, global head of quantitative research at Barclays Capital in London, on his...

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Interview with Vladimir Piterbarg

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