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Peter P. Carr

(deceased)

Personal Details

This person is deceased (Date: 01 Mar 2022)
First Name:Peter
Middle Name:P.
Last Name:Carr
Suffix:
RePEc Short-ID:pca1563
https://engineering.nyu.edu/faculty/peter-carr
Terminal Degree:1988 Finance Group; Anderson Graduate School of Management; University of California-Los Angeles (UCLA) (from RePEc Genealogy)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Al-Jaaf, Aşty & Carr, Peter, 2023. "Vol, Skew, and Smile Trading," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 140532, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
  2. P. Carr & A. Itkin & D. Muravey, 2022. "Semi-analytical pricing of barrier options in the time-dependent Heston model," Papers 2202.06177, arXiv.org.
  3. Peter Carr & Roger Lee & Matthew Lorig, 2021. "Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions," Papers 2107.00554, arXiv.org.
  4. Peter Carr & Andrey Itkin & Dmitry Muravey, 2020. "Semi-closed form prices of barrier options in the time-dependent CEV and CIR models," Papers 2005.05459, arXiv.org.
  5. Peter Carr & Andrey Itkin, 2020. "Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process," Papers 2003.08853, arXiv.org, revised Mar 2020.
  6. Peter Carr & Sander Willems, 2019. "A lognormal type stochastic volatility model with quadratic drift," Papers 1908.07417, arXiv.org.
  7. Peter Carr & Andrey Itkin, 2019. "ADOL - Markovian approximation of rough lognormal model," Papers 1904.09240, arXiv.org.
  8. Peter Carr & Liuren Wu & Zhibai Zhang, 2019. "Using Machine Learning to Predict Realized Variance," Papers 1909.10035, arXiv.org.
  9. Peter Carr & Andrey Itkin & Sasha Stoikov, 2019. "A model-free backward and forward nonlinear PDEs for implied volatility," Papers 1907.07305, arXiv.org.
  10. Peter Carr & Andrey Itkin, 2018. "An Expanded Local Variance Gamma model," Papers 1802.09611, arXiv.org, revised Dec 2018.
  11. Peter Carr & Zhibai Zhang, 2018. "Generalizing Geometric Brownian Motion," Papers 1809.02245, arXiv.org.
  12. Peter Carr & Andrey Itkin, 2018. "Geometric Local Variance Gamma model," Papers 1809.07727, arXiv.org, revised Dec 2018.
  13. Peter Carr & Roger Lee & Matthew Lorig, 2017. "Pricing Variance Swaps on Time-Changed Markov Processes," Papers 1705.01069, arXiv.org, revised Nov 2019.
  14. Peter Carr & Roger Lee & Matthew Lorig, 2015. "Robust replication of barrier-style claims on price and volatility," Papers 1508.00632, arXiv.org, revised Jan 2022.
  15. Peter Carr & Zura Kakushadze, 2015. "FX Options in Target Zone," Papers 1512.01527, arXiv.org, revised Jul 2016.
  16. Gili Rosenberg & Poya Haghnegahdar & Phil Goddard & Peter Carr & Kesheng Wu & Marcos L'opez de Prado, 2015. "Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer," Papers 1508.06182, arXiv.org, revised Aug 2016.
  17. Peter P. Carr & Marcos Lopez de Prado, 2014. "Determining Optimal Trading Rules without Backtesting," Papers 1408.1159, arXiv.org, revised Sep 2014.
  18. Peter Carr & Sergey Nadtochiy, 2013. "Local Variance Gamma and Explicit Calibration to Option Prices," Papers 1308.2326, arXiv.org, revised Jan 2014.
  19. Peter Carr & Travis Fisher & Johannes Ruf, 2012. "Why are quadratic normal volatility models analytically tractable?," Papers 1202.6187, arXiv.org, revised Mar 2013.
  20. Peter Carr & Travis Fisher & Johannes Ruf, 2012. "On the Hedging of Options On Exploding Exchange Rates," Papers 1202.6188, arXiv.org, revised Nov 2013.
  21. Andrey Itkin & Peter Carr, 2010. "Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models," Papers 1002.1995, arXiv.org.
  22. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, University Library of Munich, Germany.
  23. Peter Carr & Liuren Wu, 2004. "Stochastic Skew in Currency Options," Finance 0409014, University Library of Munich, Germany.
  24. Peter Carr & Liuren Wu, 2004. "Static Hedging of Standard Options," Finance 0409016, University Library of Munich, Germany.
  25. M. Schroder & P. Carr, 2003. "Bessel processes, the integral of geometric Brownian motion, and Asian options," Papers math/0311280, arXiv.org.
  26. Helyette Geman & P. Carr & D. Madan & Marc Yor, 2003. "Stochastic Volatility for Levy Processes," Post-Print halshs-00144385, HAL.
  27. Peter Carr & Liuren Wu, 2002. "Time-Changed Levy Processes and Option Pricing," Finance 0207011, University Library of Munich, Germany.
  28. Peter Carr & Liuren Wu, 2002. "What Type of Process Underlies Options? A Simple Robust Test," Finance 0207019, University Library of Munich, Germany.
  29. Peter Carr & Liuren Wu, 2002. "The Finite Moment Log Stable Process and Option Pricing," Finance 0207012, University Library of Munich, Germany.
  30. Peter Carr & Michael Schroder, 2001. "On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited," Papers math/0102080, arXiv.org.
  31. Saphores, Jean-Daniel M. & Carr, Peter, 1998. "Pollution Reduction, Environmental Uncertainty, and the Irreversibility Effect," Cahiers de recherche 9827, Université Laval - Département d'économique.
  32. Peter Carr, 1996. "Valuing Finite-Lived Options as Perpetual," Finance 9607002, University Library of Munich, Germany.
  33. Peter Carr, 1996. "Randomization and the American Put," Finance 9610003, University Library of Munich, Germany.

    repec:san:crieff:0803 is not listed on IDEAS

Articles

  1. Peter Carr & Lorenzo Torricelli, 2024. "Convex duality in continuous option pricing models," Annals of Operations Research, Springer, vol. 336(1), pages 1013-1037, May.
  2. Peter Carr & Liuren Wu, 2023. "Decomposing Long Bond Returns: A Decentralized Theory," Review of Finance, European Finance Association, vol. 27(3), pages 997-1026.
  3. Sébastien Bossu & Peter Carr & Andrew Papanicolaou, 2022. "Static replication of European standard dispersion options," Quantitative Finance, Taylor & Francis Journals, vol. 22(5), pages 799-811, May.
  4. Peter Carr & Lorenzo Torricelli, 2021. "Additive logistic processes in option pricing," Finance and Stochastics, Springer, vol. 25(4), pages 689-724, October.
  5. Peter Carr & Roger Lee & Matthew Lorig, 2021. "Robust replication of volatility and hybrid derivatives on jump diffusions," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1394-1422, October.
  6. P. Carr & A. Itkin, 2021. "An Expanded Local Variance Gamma Model," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 949-987, April.
  7. Peter Carr & Roger Lee & Matthew Lorig, 2021. "Semi-Robust Replication of Barrier-Style Claims on Price and Volatility," Applied Mathematical Finance, Taylor & Francis Journals, vol. 28(6), pages 534-559, November.
  8. Sébastien Bossu & Peter Carr & Andrew Papanicolaou, 2021. "A functional analysis approach to the static replication of European options," Quantitative Finance, Taylor & Francis Journals, vol. 21(4), pages 637-655, April.
  9. Peter Carr & Liuren Wu, 2020. "Option Profit and Loss Attribution and Pricing: A New Framework," Journal of Finance, American Finance Association, vol. 75(4), pages 2271-2316, August.
  10. Peter Carr & Gianna Figà-Talamanca, 2020. "Spiking the Volatility Punch," Applied Mathematical Finance, Taylor & Francis Journals, vol. 27(6), pages 495-520, November.
  11. Nicholas A. J. Graham & Shaun K. Wilson & Peter Carr & Andrew S. Hoey & Simon Jennings & M. Aaron MacNeil, 2018. "Seabirds enhance coral reef productivity and functioning in the absence of invasive rats," Nature, Nature, vol. 559(7713), pages 250-253, July.
  12. Peter Carr & Sergey Nadtochiy, 2017. "Local Variance Gamma And Explicit Calibration To Option Prices," Mathematical Finance, Wiley Blackwell, vol. 27(1), pages 151-193, January.
  13. Carr, Peter & Wu, Liuren, 2017. "Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(5), pages 2119-2156, October.
  14. Peter Carr, 2017. "Bounded Brownian Motion," Risks, MDPI, vol. 5(4), pages 1-11, November.
  15. Peter P. Carr & Zura Kakushadze, 2017. "FX options in target zones," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1477-1486, October.
  16. Carr, Peter & Wu, Liuren, 2016. "Analyzing volatility risk and risk premium in option contracts: A new theory," Journal of Financial Economics, Elsevier, vol. 120(1), pages 1-20.
  17. Carr, Peter & Worah, Pratik, 2016. "Optimal rates from eigenvalues," Finance Research Letters, Elsevier, vol. 16(C), pages 230-238.
  18. Carr, Peter & Madan, Dilip B. & Melamed, Michael & Schoutens, Wim, 2016. "Hedging insurance books," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 364-372.
  19. Peter Carr & Dilip B. Madan, 2014. "Joint modeling of VIX and SPX options at a single and common maturity with risk management applications," IISE Transactions, Taylor & Francis Journals, vol. 46(11), pages 1125-1131, November.
  20. Peter Carr, 2014. "First-order calculus and option pricing," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 1-19.
  21. Peter Carr & Travis Fisher & Johannes Ruf, 2014. "On the hedging of options on exploding exchange rates," Finance and Stochastics, Springer, vol. 18(1), pages 115-144, January.
  22. Peter Carr & Liuren Wu, 2013. "Static Hedging of Standard Options," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 3-46, December.
  23. Peter Carr & Roger Lee, 2013. "Variation and share-weighted variation swaps on time-changed Lévy processes," Finance and Stochastics, Springer, vol. 17(4), pages 685-716, October.
  24. Peter Carr & Dilip Madan, 2012. "Factor Models for Option Pricing," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(4), pages 319-329, November.
  25. Andrey Itkin & Peter Carr, 2012. "Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models," Computational Economics, Springer;Society for Computational Economics, vol. 40(1), pages 63-104, June.
  26. Peter Carr & Roger Lee & Liuren Wu, 2012. "Variance swaps on time-changed Lévy processes," Finance and Stochastics, Springer, vol. 16(2), pages 335-355, April.
  27. Peter Carr & Liuren Wu, 2011. "A Simple Robust Link Between American Puts and Credit Protection," The Review of Financial Studies, Society for Financial Studies, vol. 24(2), pages 473-505.
  28. Peter Carr & Helyette Geman & Dilip Madan & Marc Yor, 2011. "Options on realized variance and convex orders," Quantitative Finance, Taylor & Francis Journals, vol. 11(11), pages 1685-1694.
  29. Peter Carr & Laurent Cousot, 2011. "A PDE approach to jump-diffusions," Quantitative Finance, Taylor & Francis Journals, vol. 11(1), pages 33-52.
  30. Peter Carr & Hongzhong Zhang & Olympia Hadjiliadis, 2011. "Maximum Drawdown Insurance," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(08), pages 1195-1230.
  31. Peter Carr, 2011. "Semi-Static Hedging Of Barrier Options Under Poisson Jumps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(07), pages 1091-1111.
  32. Peter Carr & John Crosby, 2010. "A class of Levy process models with almost exact calibration to both barrier and vanilla FX options," Quantitative Finance, Taylor & Francis Journals, vol. 10(10), pages 1115-1136.
  33. Peter Carr & Roger Lee, 2010. "Hedging variance options on continuous semimartingales," Finance and Stochastics, Springer, vol. 14(2), pages 179-207, April.
  34. Andrey Itkin & Peter Carr, 2010. "Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case," Review of Derivatives Research, Springer, vol. 13(2), pages 141-176, July.
  35. Peter Carr & Liuren Wu, 2010. "Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation," Journal of Financial Econometrics, Oxford University Press, vol. 8(4), pages 409-449, Fall.
  36. Peter Carr & Roger Lee, 2009. "Volatility Derivatives," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 319-339, November.
  37. Peter Carr & Liuren Wu, 2009. "Variance Risk Premiums," The Review of Financial Studies, Society for Financial Studies, vol. 22(3), pages 1311-1341, March.
  38. Bakshi, Gurdip & Carr, Peter & Wu, Liuren, 2008. "Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies," Journal of Financial Economics, Elsevier, vol. 87(1), pages 132-156, January.
  39. Peter Carr & Wim Schoutens, 2008. "Hedging Under The Heston Model With Jump-To-Default," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(04), pages 403-414.
  40. Carr, Peter & Ewald, Christian-Oliver & Xiao, Yajun, 2008. "On the qualitative effect of volatility and duration on prices of Asian options," Finance Research Letters, Elsevier, vol. 5(3), pages 162-171, September.
  41. Peter Carr & Anita Mayo, 2007. "On the Numerical Evaluation of Option Prices in Jump Diffusion Processes," The European Journal of Finance, Taylor & Francis Journals, vol. 13(4), pages 353-372.
  42. Peter Carr & Hélyette Geman & Dilip B. Madan & Marc Yor, 2007. "Self‐Decomposability And Option Pricing," Mathematical Finance, Wiley Blackwell, vol. 17(1), pages 31-57, January.
  43. Carr, Peter & Wu, Liuren, 2007. "Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2383-2403, August.
  44. Carr, Peter & Wu, Liuren, 2007. "Stochastic skew in currency options," Journal of Financial Economics, Elsevier, vol. 86(1), pages 213-247, October.
  45. Peter Carr & Jian Sun, 2007. "A new approach for option pricing under stochastic volatility," Review of Derivatives Research, Springer, vol. 10(2), pages 87-150, May.
  46. Peter Carr & Vadim Linetsky, 2006. "A jump to default extended CEV model: an application of Bessel processes," Finance and Stochastics, Springer, vol. 10(3), pages 303-330, September.
  47. Peter Carr & Hélyette Geman & Dilip Madan & Marc Yor, 2005. "Pricing options on realized variance," Finance and Stochastics, Springer, vol. 9(4), pages 453-475, October.
  48. Peter Carr & Alireza Javaheri, 2005. "The Forward Pde For European Options On Stocks With Fixed Fractional Jumps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 239-253.
  49. Carr, Peter & Madan, Dilip B., 2005. "A note on sufficient conditions for no arbitrage," Finance Research Letters, Elsevier, vol. 2(3), pages 125-130, September.
  50. Peter Carr & Helyette Geman & Dilip Madan & Marc Yor, 2004. "From local volatility to local Levy models," Quantitative Finance, Taylor & Francis Journals, vol. 4(5), pages 581-588.
  51. Carr, Peter & Wu, Liuren, 2004. "Time-changed Levy processes and option pricing," Journal of Financial Economics, Elsevier, vol. 71(1), pages 113-141, January.
  52. Peter Carr & Hélyette Geman & Dilip B. Madan & Marc Yor, 2003. "Stochastic Volatility for Lévy Processes," Mathematical Finance, Wiley Blackwell, vol. 13(3), pages 345-382, July.
  53. Peter Carr & Liuren Wu, 2003. "The Finite Moment Log Stable Process and Option Pricing," Journal of Finance, American Finance Association, vol. 58(2), pages 753-777, April.
  54. Peter Carr & Liuren Wu, 2003. "What Type of Process Underlies Options? A Simple Robust Test," Journal of Finance, American Finance Association, vol. 58(6), pages 2581-2610, December.
  55. Peter Carr & Helyette Geman, 2002. "The Fine Structure of Asset Returns: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 75(2), pages 305-332, April.
  56. P. Carr & D. Madan, 2001. "Optimal positioning in derivative securities," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 19-37.
  57. Dilip B. Madan & Xing Jin & Peter Carr, 2001. "Optimal investment in derivative securities," Finance and Stochastics, Springer, vol. 5(1), pages 33-59.
  58. Carr, Peter & Geman, Helyette & Madan, Dilip B., 2001. "Pricing and hedging in incomplete markets," Journal of Financial Economics, Elsevier, vol. 62(1), pages 131-167, October.
  59. Peter Carr & Vadim Linetsky, 2000. "The Valuation of Executive Stock Options in an Intensity-Based Framework," Review of Finance, European Finance Association, vol. 4(3), pages 211-230.
  60. Carr, Peter, 1998. "Randomization and the American Put," The Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 597-626.
  61. Dilip B. Madan & Peter P. Carr & Eric C. Chang, 1998. "The Variance Gamma Process and Option Pricing," Review of Finance, European Finance Association, vol. 2(1), pages 79-105.
  62. P. Carr, 1995. "Two extensions to barrier option valuation," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(3), pages 173-209.
  63. Peter Carr & Robert Jarrow & Ravi Myneni, 1992. "Alternative Characterizations Of American Put Options," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 87-106, April.
  64. Carr, Peter P & Jarrow, Robert A, 1990. "The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value," The Review of Financial Studies, Society for Financial Studies, vol. 3(3), pages 469-492.
  65. Carr, Peter, 1987. "A Note on the Pricing of Commodity-Linked Bonds," Journal of Finance, American Finance Association, vol. 42(4), pages 1071-1076, September.
    RePEc:bla:jfinan:v:43:y:1988:i:5:p:1235-56 is not listed on IDEAS
    RePEc:bla:jfinan:v:58:y:2003:i:2:p:753-778 is not listed on IDEAS
    RePEc:igg:jgim00:v:10:y:2002:i:2:p:50-54 is not listed on IDEAS
    RePEc:bla:jfinan:v:53:y:1998:i:3:p:1165-1190 is not listed on IDEAS

Chapters

  1. P. Carr & L. Wu & Y. Zhang, 2023. "Probabilistic Interpretation of Black Implied Volatility," World Scientific Book Chapters, in: David Gershon & Alexander Lipton & Mathieu Rosenbaum & Zvi Wiener (ed.), Options — 45 years since the Publication of the Black–Scholes–Merton Model The Gershon Fintech Center Conference, chapter 3, pages 29-46, World Scientific Publishing Co. Pte. Ltd..
  2. Peter Carr & Umberto Cherubini, 2023. "Option Pricing Generators," World Scientific Book Chapters, in: Robert A Jarrow & Dilip B Madan (ed.), Peter Carr Gedenkschrift Research Advances in Mathematical Finance, chapter 6, pages 179-209, World Scientific Publishing Co. Pte. Ltd..
  3. Peter Carr & Robert Jarrow & Ravi Myneni, 2008. "Alternative Characterizations Of American Put Options," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 5, pages 85-103, World Scientific Publishing Co. Pte. Ltd..
  4. Peter P. Carr & Robert A. Jarrow, 2008. "The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 4, pages 61-84, World Scientific Publishing Co. Pte. Ltd..
  5. Peter Carr & Alex Lipton & Dilip Madan, 2002. "An Alternative Approach For Valuing Continuous Cash Flows," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume III), chapter 5, pages 110-130, World Scientific Publishing Co. Pte. Ltd..
  6. Peter Carr & Dilip Madan, 2001. "Determining Volatility Surfaces And Option Values From An Implied Volatility Smile," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 6, pages 163-191, World Scientific Publishing Co. Pte. Ltd..
  7. Peter Carr & Guang Yang, 2001. "Simulating Bermudan Interest Rate Derivatives," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 11, pages 295-316, World Scientific Publishing Co. Pte. Ltd..
  8. Peter Carr & Katrina Ellis & Vishal Gupta, 1999. "Static Hedging Of Exotic Options," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar, chapter 5, pages 152-176, World Scientific Publishing Co. Pte. Ltd..

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 14 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (8) 2004-09-12 2004-09-12 2004-09-12 2008-02-23 2017-05-14 2018-10-01 2019-10-07 2021-07-26. Author is listed
  2. NEP-ETS: Econometric Time Series (5) 2002-09-11 2012-03-08 2019-04-29 2019-09-09 2019-10-07. Author is listed
  3. NEP-FMK: Financial Markets (5) 2002-09-11 2004-09-12 2004-09-12 2008-02-23 2013-08-16. Author is listed
  4. NEP-FIN: Finance (3) 2004-09-12 2004-09-12 2004-09-12
  5. NEP-CMP: Computational Economics (2) 2004-09-30 2019-10-07
  6. NEP-ORE: Operations Research (2) 2021-07-26 2022-04-11
  7. NEP-BAN: Banking (1) 2022-04-11
  8. NEP-BIG: Big Data (1) 2019-10-07
  9. NEP-CFN: Corporate Finance (1) 2004-09-12
  10. NEP-SEA: South East Asia (1) 2008-02-23
  11. NEP-SPO: Sports and Economics (1) 2013-08-16

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