Articles by Vladimir Piterbarg
Backtesting correlated quantities
A technique to decorrelate samples and reach higher discriminatory power is presented
Alternatives to deep neural networks in finance
Two methods to approximate complex functions in an explainable way are presented
Automatic implicit function theorem
New technique can improve use of adjoint algorithmic differentiation in calibration problems
The arcsine law for quantile derivatives
A new pricing model for quantile-based derivatives, such as Napoleon options, is presented
Benchmark reform goes non-linear
Terminating Libor will bring great challenges to the pricing of non-linear rate products
The optimal investment problem in stochastic and local volatility models
This paper considers the classical optimal investment allocation problem of Merton through the lens of some more modern approaches, such as the stochastic volatility and local volatility models.