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Dr. Piterbarg is a Managing Director and the Head of Quantitative Analytics at Barclays Capital. Before joining Barclays Capital in March 2005, he was a co-head of quantitative research for Bank of America, where he had worked for 8 years. Vladimir Piterbarg’s main areas of expertise are the modelling of exotic interest rate and hybrid derivatives.
Among his many published papers, Dr. Piterbarg authored "Stochastic volatility model with time-dependent skew," (Applied Mathematical Finance, 12(2): 147-185, June 2005), which introduced stochastic volatility to the LIBOR market model. He was named Quant of the Year 2006 by Risk Magazine, was the Associate Editor of the Journal of Computational Finance, and was Co-Editor (along with Leif B.G. Andersen) of the Interest Rate Modeling section for the Encyclopedia of Quantitative Finance.
Dr. Piterbarg holds a Ph.D. in Mathematics (Stochastic Calculus) from University of Southern California.
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