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Peter Carr

New York University (NYU) - Finance and Risk Engineering Department

6 Metrotech Center

New York, NY 11201

United States

  • New York University (NYU) - Finance and Risk Engineering Department

SCHOLARLY PAPERS

8

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Top 39,020

in Total Papers Downloads

3,256

TOTAL CITATIONS

12

Scholarly Papers (8)

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1.

Static Replication of European Standard Dispersion Options

Number of pages: 21 Posted: 12 Oct 2020 Last Revised: 06 Mar 2021
Sebastien Bossu, Peter Carr and Andrew Papanicolaou
University of North Carolina (UNC) at Charlotte, New York University (NYU) - Finance and Risk Engineering Department and North Carolina State University - Department of Mathematics
Downloads 730 (87,119)
Citation 3

Abstract:

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dispersion option, static replication, Radon transform, fractional integral equation, Carr-Madan formula, Breeden-Litzenberger formula

2.

Bond Yield Curve Convexity Trading

Number of pages: 10 Posted: 25 Aug 2018
Jian Sun and Peter Carr
Fudan University and New York University (NYU) - Finance and Risk Engineering Department
Downloads 705 (91,722)

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3.

Game of Vols

Number of pages: 43 Posted: 22 Oct 2019
Peter Carr and Gregory Pelts
New York University (NYU) - Finance and Risk Engineering Department and Scotia Bank
Downloads 660 (101,462)

Abstract:

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volatility, surface, arbitrage-free, options

4.

A Functional Analysis Approach to Static Replication of European Options

Number of pages: 23 Posted: 01 Jul 2019
Sebastien Bossu, Peter Carr and Andrew Papanicolaou
University of North Carolina (UNC) at Charlotte, New York University (NYU) - Finance and Risk Engineering Department and North Carolina State University - Department of Mathematics
Downloads 353 (213,671)

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derivatives, options, static replication, payoff, integral equations, functional analysis, spectral theorem, Breeden-Litzenberger

5.

A Lognormal Type Stochastic Volatility Model With Quadratic Drift

Number of pages: 26 Posted: 18 Jul 2019
Peter Carr and Sander Willems
New York University (NYU) - Finance and Risk Engineering Department and École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 348 (214,990)
Citation 4

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6.

Additive Logistic Processes in Option Pricing

Number of pages: 38 Posted: 16 Sep 2020 Last Revised: 20 Jul 2021
Peter Carr and Lorenzo Torricelli
New York University (NYU) - Finance and Risk Engineering Department and University of Bologna Department of Statistics
Downloads 242 (315,246)
Citation 4

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Logistic distribution, additive processes, derivative pricing, Dagum distribution, generalized-z distributions

7.

Long Term Risk: A Time Change Approach

Number of pages: 45 Posted: 28 Dec 2021 Last Revised: 03 Jan 2023
Umberto Cherubini and Peter Carr
University of Bologna - Department of Economics and New York University (NYU) - Finance and Risk Engineering Department
Downloads 218 (351,440)
Citation 1

Abstract:

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Asset Pricing, Term Structures, Time Change Models, Associative Operators

8.

Generalized Compounding and Growth Optimal Portfolios: Reconciling Kelly and Samuelson

The Journal of Derivatives, Winter 2022, 30 (2) 74-93 DOI: 10.3905/jod.2022.30.2.074
Posted: 09 Mar 2020 Last Revised: 17 Apr 2024
Peter Carr and Umberto Cherubini
New York University (NYU) - Finance and Risk Engineering Department and University of Bologna - Department of Economics

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Kelly Crierion, Growth Optimal Portfolio, Speculative Price Dynamics, Stochastic Clock Models