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Carr, Peter


 SSRN Author Rank: 416 by Downloads
 

New York University (NYU) - Courant Institute of Mathematical Sciences


 251 Mercer Street
 New York, NY 10012
 United States
 email address

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. Carr, Peter's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
27,956
Total
Citations
738
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Variance Risk Premia | Show Abstract | Download |
AFA 2005 Philadelphia Meetings
Working Paper Series
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
Posted:
17 Aug 04
Last Revised:
25 Oct 07
3,690
(1,222)
69

2.  
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
Posted:
03 Nov 10
Last Revised:
04 Jul 13
2,488
(2,515)
1

3.  
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
Posted:
24 Jun 05
2,380
(2,708)
42

4.  
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
Posted:
02 Sep 04
1,958
(3,756)
49

5.  
Stochastic Volatility for Levy Processes | Show Abstract | Download |
EFA 2002 Berlin Meetings Presented Paper
Working Paper Series
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
Posted:
04 Jun 02
1,766
(4,520)
86

6.  
Stein, Harvey J.
Bloomberg L.P.
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
Hogan, Apollo
Bloomberg L.P. - R&D
Posted:
12 Jan 07
1,688
(4,863)
6

7.  
Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions | Show Abstract | Download |
Bloomberg Portfolio Research Paper No. 2009-03-FRONTIERS, AFA 2011 Denver Meetings Paper
Working Paper Series
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
Posted:
25 Nov 08
Last Revised:
20 Sep 11
1,622
(5,227)
6

8.   Incl. Electronic Paper
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
Posted:
30 Jun 04
Last Revised:
07 Nov 08
1,507
(5,972)
74

9.   Incl. Electronic Paper
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
Posted:
28 Dec 05
Last Revised:
07 Nov 08
1,308
(7,578)
56

10.  
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
Posted:
26 Sep 01
829
(15,558)
82

11.  
Pricing Options on Realized Variance | Show Abstract | Download |
EFA 2005 Moscow Meetings Paper
Working Paper Series
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
Posted:
11 Mar 05
Last Revised:
30 Jan 10
761
(17,659)
24

12.  
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
Posted:
25 Mar 08
729
(18,763)
1

13.  
A Simple Robust Link between American Puts and Credit Protection | Show Abstract | Download |
Bloomberg Portfolio Research Paper No. 2009-07-FRONTIERS
Accepted Paper Series
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
Posted:
25 Nov 08
Last Revised:
06 Nov 10
698
(19,993)
10

14.  
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
Posted:
09 May 05
Last Revised:
13 Feb 11
694
(20,142)
34

15.   Incl. Electronic Paper
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
Posted:
31 Oct 96
Last Revised:
04 Jun 98
627
(23,213)
57

16.  
Faguet, Dmitri
Johnson Wax, Ukraine
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
Posted:
03 Oct 96
607
(24,323)
8

17.  
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
Schoutens, Wim
KU Leuven - Department of Mathematics
Posted:
24 Sep 07
526
(29,546)
4

18.  
From Local Volatility to Local Levy Models | Show Abstract | Download |
Quantitative Finance, Vol. 4, No. 5, October 2004
Accepted Paper Series
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
Posted:
15 Jan 07
480
(33,483)
13

19.  
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
Posted:
13 Sep 01
471
(34,217)
 

20.  
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
Posted:
20 Jun 05
465
(34,771)
18

21.  
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
Posted:
19 Mar 11
388
(43,606)
2

22.  
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
Cousot, Laurent
BNP Paribas
Posted:
28 Oct 10
388
(43,606)
 

23.  
Time Changed Markov Processes in Unified Credit-Equity Modeling | Show Abstract | Download |
FDIC Center for Financial Research Working Paper No. 2008-03
Working Paper Series
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
Posted:
28 Mar 08
382
(44,429)
14

24.  
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
Cousot, Laurent
BNP Paribas
Posted:
28 Oct 10
Last Revised:
05 Jul 11
310
(57,108)
2

25.  
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
Posted:
24 Jan 08
278
(64,609)
4

26.  
Local Volatility Enhanced by a Jump to Default | Show Abstract | Download |
Robert H. Smith School Research Paper No. RHS 06-119
Working Paper Series
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
28 Jan 10
Last Revised:
13 May 10
256
(70,543)
9

27.  
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
Posted:
28 Jan 10
244
(74,316)
22

28.  
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
Posted:
20 Sep 10
208
(87,722)
4

29.  
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
18 Mar 13
177
(102,324)
 

30.  
Self-Decomposability and Option Pricing | Show Abstract | Download |
Mathematical Finance, Vol. 17, No. 1, pp. 31-57, January 2007
Accepted Paper Series
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
Posted:
13 Dec 06
24
(313,399)
29

31.  
Time-Changed Markov Processes in Unified Credit-Equity Modeling | Show Abstract | Download |
Mathematical Finance, Vol. 20, Issue 4, pp. 527-569, October 2010
Accepted Paper Series
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
Posted:
27 Sep 10
3
(402,574)
9

32.  
Put-Call Symmetry: Extensions and Applications | Show Abstract | Download |
Mathematical Finance, Vol. 19, Issue 4, pp. 523-560, October 2009
Accepted Paper Series
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
Lee, Roger
University of Chicago
Posted:
21 Oct 09
3
(402,574)
3

33.  
Multi-Asset Stochastic Local Variance Contracts | Show Abstract | Download |
Mathematical Finance, Vol. 21, Issue 1, pp. 21-52, 2010
Accepted Paper Series
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
Laurence, Peter M.
University of Rome I - Department of Mathematics
Posted:
30 Dec 10
1
(417,429)
 

34.  
Volatility Derivatives | Show Abstract |
Annual Review of Financial Economics, Vol. 1, pp. 319-339, 2009
Accepted Paper Series
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
Lee, Roger
University of Chicago
Posted:
04 Jun 10
 

35.  
Variance Risk Premiums | Show Abstract |
The Review of Financial Studies, Vol. 22, Issue 3, pp. 1311-1341, 2009
Accepted Paper Series
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
Posted:
17 Mar 09
 

36.  
The Finite Moment Log Stable Process and Option Pricing | Show Abstract |
Journal of Finance, Vol. 58, pp. 753-778, April 2003
Accepted Paper Series
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
Posted:
20 Sep 03
 

37.  
The Fine Structure of Asset Returns: An Empirical Investigation | Show Abstract |
Journal of Business, Vol. 75, No. 2, April 2002
Accepted Paper Series
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
Posted:
03 May 02
 

38.  
Optimal Investment in Derivative Securities | Show Abstract |
Finance and Stochastics, Vol. 5 Issue 1
Accepted Paper Series
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
Posted:
19 Mar 01
 

39.  
Static Hedging of Timing Risk | Show Abstract |
Journal of Derivatives, Spring 1999
Accepted Paper Series
Picron, Jean-Francois
Summit Systems, Inc.
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
Posted:
30 Jun 99
 

40.  
Faguet, Dmitri
Johnson Wax, Ukraine
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
Posted:
20 Dec 98
 


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