Quant of the year VLADIMIR PITERBARG

Risk Awards 2006


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

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: