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Carr, Peter's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
25,246 |
Total
Citations
687 |
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1.
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Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
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17 Aug 04
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Last Revised:
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25 Oct 07
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3,356
(1,123)
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69
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Stochastic volatility, variance risk premia, variance swap, volatility swap, option pricing, expectation hypothesis
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2.
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Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
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2,309
(2,207)
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37
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Stock options, credit default swaps, default arrival rate, return variance dynamics, option pricing, time-changed Levy processes
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3.
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business
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1,852
(3,202)
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47
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Static hedging, jumps, option pricing, Monte Carlo, S&P 500 index options, stochastic volatility
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4.
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business
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1,744
(3,553)
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2
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Implied volatility surface, vega-gamma-vanna-volga, square-root variance model, lognormal variance model, dynamic calibration, unscented Kalman filter
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5.
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Geman, Hélyette
University of London, Birkbeck College - School of Economics, Mathematics and Statistics Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business Yor, Marc
Universite Paris
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1,700
(3,735)
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81
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6.
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Stein, Harvey J.
Bloomberg L.P. Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Hogan, Apollo
Bloomberg L.P. - R&D
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1,608
(4,124)
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6
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Black-Scholes, variance gamma model, skew, kurtosis, volatility smile, option pricing, equity options, time changed Brownian motion
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7.
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Stochastic Skew in Currency Options
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business
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Posted:
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30 Jun 04
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Last Revised:
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07 Nov 08
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1,439
(5,024)
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66
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business
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84
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66
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Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
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1,355
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66
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Currency options, Foreign exchange dynamics; Stochastic skew; Stochastic volatility; Time-changed Levy processes.
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8.
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business
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| Posted: |
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25 Nov 08
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Last Revised:
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20 Sep 11
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1,393
(5,319)
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6
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Option pricing, implied volatility, leverage effect, volatility feedback, self-exciting, market disruptions, jumps, constant elasticity of variance, time-changed Levy processes, Fast Fourier Transform, Gauss-Hermite quadrature, unscented Kalman filter
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9.
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A Tale of Two Indices
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Show Abstracts |
Hide Abstracts |
Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business
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Posted:
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28 Dec 05
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Last Revised:
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07 Nov 08
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1,018
(9,038)
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55
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business
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242
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55
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business
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776
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55
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volatility index; variance swap; volatility swap
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10.
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business
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792
(13,355)
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78
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Stochastic time change, Levy processes, subordination, characteristic functions, option pricing, exponential martingales, measure change.
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11.
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Geman, Hélyette
University of London, Birkbeck College - School of Economics, Mathematics and Statistics Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business Yor, Marc
Universite Paris
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| Posted: |
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11 Mar 05
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Last Revised:
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30 Jan 10
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725
(15,187)
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25
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Options on Variance Swaps, Options on Time Changes, Self Decomposability and its Hierarchy
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12.
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business
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686
(16,519)
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1
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Stock options, American puts, unit recovery claims, credit default swaps, default probabilities
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13.
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business
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| Posted: |
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25 Nov 08
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Last Revised:
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06 Nov 10
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685
(16,519)
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8
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Stock options, American puts, unit recovery claims, credit default swaps, default probabilities
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14.
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business Bakshi, Gurdip
University of Maryland - Robert H. Smith School of Business
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| Posted: |
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09 May 05
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Last Revised:
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13 Feb 11
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668
(17,126)
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31
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Stochastic discount factors, international economy, stochastic risk premium
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15.
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Randomization and the American Put
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Show Abstracts |
Hide Abstracts |
Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
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Posted:
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31 Oct 96
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Last Revised:
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04 Jun 98
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620
(19,073)
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55
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
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0
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
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620
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55
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16.
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Faguet, Dmitri
Johnson Wax, Ukraine Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
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594
(20,254)
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8
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17.
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Schoutens, Wim
KU Leuven - Department of Mathematics
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487
(26,410)
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4
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hHeston, hedging, variance swaps, CDS, jump to default
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18.
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business
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470
(27,626)
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19.
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Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
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446
(29,646)
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17
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Currency options, sovereign credit default swaps, default arrival rate, return variance dynamics, credit spread term structure modeling, option pricing, time-changed Levy process.
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20.
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Geman, Hélyette
University of London, Birkbeck College - School of Economics, Mathematics and Statistics Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business Yor, Marc
Universite Paris
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443
(29,919)
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14
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Hunt Processes, Persistent Skewness, Convolution Transforms
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21.
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Linetsky, Vadim
Northwestern University - Department of Industrial Engineering and Management Sciences Mendoza-Arriaga, Rafael
University of Texas at Austin - Department of Information, Risk and Operations Management
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366
(38,035)
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11
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22.
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Cousot, Laurent
BNP Paribas
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336
(42,380)
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martingale, jump-di ffusion, partial diff erential equation, calibration, option
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23.
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Cousot, Laurent
BNP Paribas
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| Posted: |
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28 Oct 10
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Last Revised:
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05 Jul 11
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273
(53,727)
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2
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martingale, marginal distribution, diffusion, jump-diffusion, calibration, option, time change
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24.
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Gabaix, Xavier
New York University - Stern School of Business Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business
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266
(55,336)
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1
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25.
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Ewald, Christian-Oliver
University of Glasgow Xiao, Yajun
University of Freiburg - Department of Economics
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245
(60,553)
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4
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Asian options, volatility, vega, duration, qualitative risk-management
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26.
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
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| Posted: |
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28 Jan 10
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Last Revised:
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13 May 10
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224
(66,632)
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6
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Hazard Rates, CDS Curves, Weibull Distribution, VGSSD Sato Process
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27.
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Geman, Hélyette
University of London, Birkbeck College - School of Economics, Mathematics and Statistics Yor, Marc
Universite Paris Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
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222
(67,272)
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23
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reverse martingale, quadratic variation, stochastic volatility
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28.
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Vicente Alvarez, Juan Jose
Morgan Stanley Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
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172
(86,543)
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3
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Acceptable Risks, Bid and Ask Prices, Variance Gamma Model, Variance Swaps
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29.
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
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76
(161,453)
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30.
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Geman, Hélyette
University of London, Birkbeck College - School of Economics, Mathematics and Statistics Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business Yor, Marc
Universite Paris
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24
(261,660)
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22
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31.
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Mendoza-Arriaga, Rafael
University of Texas at Austin - Department of Information, Risk and Operations Management Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Linetsky, Vadim
Northwestern University - Department of Industrial Engineering and Management Sciences
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3
(331,326)
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6
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32.
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Lee, Roger
University of Chicago
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3
(331,326)
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1
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33.
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Laurence, Peter M.
University of Rome I - Department of Mathematics
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1
(343,482)
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variance swap, basket option, stochastic volatility
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34.
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Lee, Roger
University of Chicago
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35.
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business
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G10, G12, G13
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36.
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Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
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37.
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Geman, Hélyette
University of London, Birkbeck College - School of Economics, Mathematics and Statistics Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business Yor, Marc
Universite Paris
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38.
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Jin, Xing
University of Maryland - Robert H. Smith School of Business Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
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Levy process, market completeness, stochastic duality, option pricing, variance gamma model
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39.
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Picron, Jean-Francois
Summit Systems, Inc. Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
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40.
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Faguet, Dmitri
Johnson Wax, Ukraine Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
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