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1

RISK SENSITIVITIES OF BERMUDA SWAPTIONS

PITERBARG, VLADIMIR V.

Journal:

International Journal of Theoretical and Applied Finance

Year:

2004

Language:

english

File:

PDF, 393 KB

english, 2004

2

Moment explosions in stochastic volatility models

Leif B. G. Andersen, Vladimir V. Piterbarg

Journal:

Finance and Stochastics

Year:

2007

Language:

english

File:

PDF, 255 KB

english, 2007

3

A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING

SIDENIUS, JAKOB, PITERBARG, VLADIMIR, ANDERSEN, LEIF

Journal:

International Journal of Theoretical and Applied Finance

Year:

2008

Language:

english

File:

PDF, 403 KB

english, 2008

4

A Note on Pricing Weakly-path-dependent American-style Options by Backward Induction

Piterbarg, Vladimir

Journal:

SSRN Electronic Journal

Year:

2003

Language:

english

File:

PDF, 157 KB

english, 2003

5

On asymptotic distribution of maxima of complete and incomplete samples from stationary sequences

Pavle Mladenović, Vladimir Piterbarg

Journal:

Stochastic Processes and their Applications

Year:

2006

Language:

english

File:

PDF, 278 KB

english, 2006

6

Log-likelihood ratio test for detecting transient change

Daniela Jarušková, Vladimir I. Piterbarg

Journal:

Statistics & Probability Letters

Year:

2011

Language:

english

File:

PDF, 249 KB

english, 2011

7

The Top Lyapunov Exponent for a Stochastic Flow Modeling the Upper Ocean Turbulence

Piterbarg, Leonid I.

Journal:

SIAM Journal on Applied Mathematics

Year:

2002

Language:

english

File:

PDF, 593 KB

english, 2002

8

A Simple Prediction Algorithm for the Lagrangian Motion in Two-Dimensional Turbulent Flows

Leonid I. Piterbarg and Tamay M. Özgökmen

Journal:

SIAM Journal on Applied Mathematics

Year:

2002

Language:

english

File:

PDF, 1.04 MB

english, 2002

9

Hamiltonian description of vortex systems

Piterbarg, L. I.

Journal:

Theoretical and Mathematical Physics

Year:

2020

File:

PDF, 711 KB

2020

10

Limit theorem for maximum of the storage process with fractional Brownian motion as input

Jürg Hüsler, Vladimir Piterbarg

Journal:

Stochastic Processes and their Applications

Year:

2004

Language:

english

File:

PDF, 292 KB

english, 2004

11

On estimation of the exponent of regular variation using a sample with missing observations

Pavle Mladenović, Vladimir Piterbarg

Journal:

Statistics & Probability Letters

Year:

2008

Language:

english

File:

PDF, 167 KB

english, 2008

12

On the transformation of colored random noise by the Kronig-Kramers integral transforms

J. Ross Macdonald, Vladimir I. Piterbarg

Journal:

Journal of Electroanalytical Chemistry

Year:

1997

Language:

english

File:

PDF, 814 KB

english, 1997

13

Discrete and Continuous Time Extremes of Gaussian Processes

Vladimir I. Piterbarg*

Journal:

Year:

2004

Language:

english

File:

PDF, 311 KB

english, 2004

14

A limit theorem for the time of ruin in a Gaussian ruin problem

Jürg Hüsler, Vladimir Piterbarg

Journal:

Stochastic Processes and their Applications

Year:

2008

Language:

english

File:

PDF, 233 KB

english, 2008

15

Large Deviations of a Storage Process with Fractional Brownian Motion as Input

Vladimir I. Piterbarg

Journal:

Year:

2001

Language:

english

File:

PDF, 118 KB

english, 2001

16

Estimating surface velocities from satellite data and numerical models: Implementation and testing of a new simple method

Alessandro Mercatini, Annalisa Griffa, Leonid Piterbarg, Enrico Zambianchi, Marcello G. Magaldi

Journal:

Ocean Modelling

Year:

2010

Language:

english

File:

PDF, 2.08 MB

english, 2010

17

Stochastic Volatility Model with Time‐dependent Skew

Piterbarg, Vladimir V.

Journal:

Applied Mathematical Finance

Year:

2005

Language:

english

File:

PDF, 748 KB

english, 2005

18

A Simple Prediction Algorithm for the Lagrangian Motion in Two-Dimensional Turbulent Flows

Piterbarg, Leonid I., Özgökmen, Tamay M.

Journal:

SIAM Journal on Applied Mathematics

Year:

2002

Language:

english

File:

PDF, 768 KB

english, 2002

19

Nonlinear interactions of spherical Rossby modes

Reznik, G.M., Piterbarg, L.I., Kartashova, E.A.

Journal:

Dynamics of Atmospheres and Oceans

Year:

1993

Language:

english

File:

PDF, 861 KB

english, 1993

20

On the 100th anniversary of Boris Vladimirovich Gnedenko (01.01.1912-27.12.1995)

Dmitry B. Gnedenko,Vladimir I. Piterbarg

Journal:

Year:

2012

Language:

english

File:

PDF, 299 KB

english, 2012

21

On probability of high extremes for product of two independent Gaussian stationary processes

Piterbarg, Vladimir I., Zhdanov, Alexander

Journal:

Year:

2015

Language:

english

File:

PDF, 182 KB

english, 2015

22

Asymptotic expansion of Gaussian chaos via probabilistic approach

Hashorva, Enkelejd, Korshunov, Dmitry, Piterbarg, Vladimir I.

Journal:

Year:

2015

Language:

english

File:

PDF, 502 KB

english, 2015

23

The Top Lyapunov Exponent for a Stochastic Flow Modeling the Upper Ocean Turbulence

Leonid I. Piterbarg

Journal:

SIAM Journal on Applied Mathematics

Year:

2001-2002

Language:

english

File:

PDF, 561 KB

english, 2001-2002

24

Gaussian copula time series with heavy tails and strong time dependence

Mazur, A. E., Piterbarg, V. I.

Journal:

Moscow University Mathematics Bulletin

Year:

2015

File:

PDF, 499 KB

2015

25

High extrema of Gaussian chaos processes

Piterbarg, Vladimir I.

Journal:

Year:

2016

Language:

english

File:

PDF, 387 KB

english, 2016

26

Optimal Investment Problem in Stochastic and Local Volatility Models

Piterbarg, Vladimir

Journal:

SSRN Electronic Journal

Year:

2018

Language:

english

File:

PDF, 15.00 MB

english, 2018

27

Eurodollar Futures Convexity Adjustments in Stochastic Volatility Models

Piterbarg, Vladimir, Renedo, Marco Antonio

Journal:

SSRN Electronic Journal

Year:

2004

Language:

english

File:

PDF, 284 KB

english, 2004

28

A New Method for Obtaining Velocity and Diffusivity from Time-Dependent Distributions of a Tracer via the Maximum Likelihood Estimator for the Advection–Diffusion Equation

A.G. Ostrovskii, L.I. Piterbarg

Journal:

Journal of Computational Physics

Year:

1997

Language:

english

File:

PDF, 1.01 MB

english, 1997

29

On the convergence rate of maximal deviation distribution for kernel regression estimates

V.D Konakov, V.I Piterbarg

Journal:

Journal of Multivariate Analysis

Year:

1984

Language:

english

File:

PDF, 662 KB

english, 1984

30

High excursions for nonstationary generalized chi-square processes

Journal:

Stochastic Processes and their Applications

Year:

1994

Language:

english

File:

PDF, 1.33 MB

english, 1994

31

Canonical variables for rossby waves and plasma drift waves

V.E. Zakharov, L.I. Piterbarg

Journal:

Physics Letters A

Year:

1988

Language:

english

File:

PDF, 264 KB

english, 1988

32

On the nonintegrability of the Hamiltonian system for Rossby waves and drift waves

L.I. Piterbarg, E.I. Schulman

Journal:

Physics Letters A

Year:

1989

Language:

english

File:

PDF, 269 KB

english, 1989

33

The Poisson bracket for 2D hydrodynamics reduces to the Gardner bracket

Journal:

Physics Letters A

Year:

1995

Language:

english

File:

PDF, 430 KB

english, 1995

34

Parameter estimation from small biased samples: Fuzzy sets vs statistics

Leonid I. Piterbarg

Journal:

Fuzzy Sets and Systems

Year:

2011

Language:

english

File:

PDF, 925 KB

english, 2011

35

Exact asymptotics for large deviation probabilities of normalized Brownian bridge with applications to empirical processes

V. Piterbarg, V. Taran

Journal:

Computers & Mathematics with Applications

Year:

1991

Language:

english

File:

PDF, 303 KB

english, 1991

36

Hamiltonian description of monopoles on a rotating sphere

Leonid I. Piterbarg

Journal:

Physics Letters A

Year:

2005

Language:

english

File:

PDF, 111 KB

english, 2005

37

Hamiltonian description of dipoles on the plane and sphere

Leonid I. Piterbarg

Journal:

Physics Letters A

Year:

2008

Language:

english

File:

PDF, 138 KB

english, 2008

38

On the ruin probability for physical fractional Brownian motion

J. Hüsler, V. Piterbarg

Journal:

Stochastic Processes and their Applications

Year:

2004

Language:

english

File:

PDF, 285 KB

english, 2004

39

Extremes of a certain class of Gaussian processes

J. Hüsler, V. Piterbarg

Journal:

Stochastic Processes and their Applications

Year:

1999

Language:

english

File:

PDF, 128 KB

english, 1999

40

Deconvolving blood-alcohol concentration and alcohol beverage consumption from sensor measurements of transdermal alcohol

M.A. Dumett, Y. Piterbarg, I.G. Rosen, A. Schumitzky

Journal:

Year:

2007

Language:

english

File:

PDF, 102 KB

english, 2007

41

Gaussian stochastic processes

V. I. Piterbarg

Journal:

Journal of Mathematical Sciences

Year:

1983

Language:

english

File:

PDF, 2.42 MB

english, 1983

42

An estimate of the rate of convergence in the Poisson approximation theorem for large excursions of a Gaussian stationary process

E. A. Pikersgil', V. I. Piterbarg

Journal:

Journal of Mathematical Sciences

Year:

1991

Language:

english

File:

PDF, 339 KB

english, 1991

43

Asymptotic expansions for the probabilities of large runs of nonstationary Gaussian processes

V. I. Piterbarg, I. É. Simonova

Journal:

Mathematical Notes

Year:

1984

Language:

english

File:

PDF, 436 KB

english, 1984

44

Asymptotic expansions in the Poisson limit theorem for large excursions of stationary Gaussian sequences

V. I. Piterbarg

Journal:

Mathematical Notes

Year:

1981

Language:

english

File:

PDF, 454 KB

english, 1981

45

Rate of convergence estimate in poisson limit theorem for large excursions of a stationary Gaussian process

E. A. Pikersgil, V. I. Piterbarg

Journal:

Journal of Mathematical Sciences

Year:

1993

Language:

english

File:

PDF, 80 KB

english, 1993

46

Intermittency of the Tracer Gradient

Leonid I. Piterbarg, Vladimir V. Piterbarg

Journal:

Communications in Mathematical Physics

Year:

1999

Language:

english

File:

PDF, 141 KB

english, 1999

47

On average losses in the ruin problem with fractional Brownian motion as input

Patrick Boulongne, Daniel Pierre-Loti-Viaud, Vladimir Piterbarg

Journal:

Year:

2009

Language:

english

File:

PDF, 325 KB

english, 2009

48

On maxima of partial samples in Gaussian sequences with pseudo-stationary trends

A. V. Kudrov, V. I. Piterbarg

Journal:

Lithuanian Mathematical Journal

Year:

2007

Language:

english

File:

PDF, 97 KB

english, 2007

49

Optimal estimation of Eulerian velocity field given Lagrangian observations

Leonid I. Piterbarg

Journal:

Applied Mathematical Modelling

Year:

2008

Language:

english

File:

PDF, 301 KB

english, 2008

50

A simple method for computing velocities from tracer observations and a model output

Leonid I. Piterbarg

Journal:

Applied Mathematical Modelling

Year:

2009

Language:

english

File:

PDF, 1.63 MB

english, 2009