Vladimir Ilich Piterbarg : Citation Profile

National Research University Higher School of Economics (HSE)

7

H index

5

i10 index

233

Citations

RESEARCH PRODUCTION:

10

Articles

2

Papers

RESEARCH ACTIVITY:

   36 years (1984 - 2020). See details.
   Cites by year: 6
   Journals where Vladimir Ilich Piterbarg has often published
   Relations with other researchers
   Recent citing documents: 18.    Total self citations: 1 (0.43 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppi536
   Updated: 2026-05-02    RAS profile: 2022-04-04    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Vladimir Ilich Piterbarg.

Is cited by:

Jacquier, Antoine (7)

Platen, Eckhard (7)

Einmahl, John (4)

Chernozhukov, Victor (4)

Gnoatto, Alessandro (4)

Jarrow, Robert (4)

Laurini, Márcio (3)

Baldeaux, Jan (2)

Okui, Ryo (2)

Dell'Era, Mario (2)

Whang, Yoon-Jae (2)

Cites to:

Einmahl, John (5)

Yakovenko, Victor (3)

Dacorogna, Michel (2)

Schönbucher, Philipp (2)

LI, HAITAO (1)

Sandmann, Klaus (1)

Estrella, Arturo (1)

Jamshidian, Farshid (1)

Egidio dos Reis, Alfredo (1)

White, Alan (1)

Main data

Where Vladimir Ilich Piterbarg has published?

Journals with more than one article published# docs
Stochastic Processes and their Applications5
Statistics & Probability Letters2

Recent works citing Vladimir Ilich Piterbarg (2025 and 2024)

YearTitle of citing document
2025Wasserstein–Aitchison GAN for angular measures of multivariate extremes. (2025). Segers, Johan ; Rootzn, Holger ; Lhaut, Stphane. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2025010.

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2024Sandwiched Volterra Volatility model: Markovian approximations and hedging. (2024). di Nunno, Giulia ; Yurchenko-Tytarenko, Anton. In: Papers. RePEc:arx:papers:2209.13054.

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2024Hydrodynamics of Markets:Hidden Links Between Physics and Finance. (2024). Lipton, Alexander. In: Papers. RePEc:arx:papers:2403.09761.

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2024Benchmark-Neutral Pricing. (2024). Platen, Eckhard. In: Papers. RePEc:arx:papers:2407.01542.

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2024Enhancing Fourier pricing with machine learning. (2024). Stier, Hauke ; Junike, Gero. In: Papers. RePEc:arx:papers:2412.05070.

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2025Martingale property and moment explosions in signature volatility models. (2025). Sotnikov, Dimitri ; Gassiat, Paul ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2503.17103.

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2025Numerical analysis of a particle system for the calibrated Heston-type local stochastic volatility model. (2025). Reisinger, Christoph ; Tsianni, Maria Olympia. In: Papers. RePEc:arx:papers:2504.14343.

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2025Gatheral double stochastic volatility model with Skorokhod reflection. (2025). Pilipenko, Andrey ; Mishura, Yuliya ; Ralchenko, Kostiantyn. In: Papers. RePEc:arx:papers:2505.09184.

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2025Efficient simulation of prices for European call options under Heston stochastic-local volatility model: a comparison of methods. (2025). Li, Tianze ; Cai, Meng. In: Papers. RePEc:arx:papers:2509.24449.

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2026Quantum Speedups for Derivative Pricing Beyond Black-Scholes. (2026). Harrow, Aram ; Chakrabarti, Shouvanik ; Otter, Rob ; Che, Charlie ; Pistoia, Marco ; Liu, Jin-Peng ; Sun, Yue ; Herman, Dylan. In: Papers. RePEc:arx:papers:2602.03725.

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2026A Wiener Chaos Approach to Martingale Modelling and Implied Volatility Calibration. (2026). Kloster, Thomas K ; Diaz-Lozano, Pere. In: Papers. RePEc:arx:papers:2602.16232.

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2026Asymptotic Separability of Diffusion and Jump Components in High-Frequency CIR and CKLS Models. (2026). Barick, Sourojyoti. In: Papers. RePEc:arx:papers:2603.05119.

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2024Modeling multivariate extreme value distributions via Markov trees. (2024). Hu, Shuang ; Segers, Johan ; Peng, Zuoxiang. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:51:y:2024:i:2:p:760-800.

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2024Estimating option pricing models using a characteristic function-based linear state space representation. (2024). Laeven, Roger ; Vladimirov, Evgenii ; Boswijk, Peter H. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624002094.

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2025Stochastic volatility for factor Heath–Jarrow–Morton framework. (2025). Sepp, Artur ; Rakhmonov, Parviz. In: Review of Derivatives Research. RePEc:kap:revdev:v:28:y:2025:i:3:d:10.1007_s11147-025-09217-4.

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2026Sandwiched Volterra volatility model: Markovian approximations and hedging. (2026). di Nunno, Giulia ; Yurchenko-Tytarenko, Anton. In: Finance and Stochastics. RePEc:spr:finsto:v:30:y:2026:i:1:d:10.1007_s00780-025-00584-2.

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2024Calibration in the “real world” of a partially specified stochastic volatility model. (2024). Fatone, Lorella ; Zirilli, Francesco ; Mariani, Francesca. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:1:p:75-102.

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2025Modeling the Implied Volatility Smirk in China: Do Non‐Affine Two‐Factor Stochastic Volatility Models Work?. (2025). Ruan, Xinfeng ; Fan, Zheqi ; Ye, Yifan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:6:p:612-636.

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Works by Vladimir Ilich Piterbarg:

YearTitleTypeCited
1984On the convergence rate of maximal deviation distribution for kernel regression estimates In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article18
2004On the ruin probability for physical fractional Brownian motion In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article9
2004Limit theorem for maximum of the storage process with fractional Brownian motion as input In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article3
2006On asymptotic distribution of maxima of complete and incomplete samples from stationary sequences In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article10
2008A limit theorem for the time of ruin in a Gaussian ruin problem In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article6
2020High excursions of Bessel and related random processes In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article0
2008On estimation of the exponent of regular variation using a sample with missing observations In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article1
2011Log-likelihood ratio test for detecting transient change In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article9
2002Discrete vs continuous time for large extremes of Gaussian processes. In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper0
2007Moment explosions in stochastic volatility models In: Finance and Stochastics.
[Full Text][Citation analysis]		article134
2001Nonparametric estimation of the spectral measure of an extreme value distribution In: Other publications TiSEM.
[Full Text][Citation analysis]		paper31
2008A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article12

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