Peter Carr

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

6 Metrotech Center

New York, NY 11201

United States

SCHOLARLY PAPERS

3

DOWNLOADS

158

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

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 70 (337,089)

Abstract:

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2.

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 Ecole Polytechnique Fédérale de Lausanne
Downloads 52 (390,633)

Abstract:

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3.

A Functional Analysis Approach to Static Replication of European Options

Number of pages: 23 Posted: 01 Jul 2019
NYU Courant, New York University (NYU) - Finance and Risk Engineering Department and NYU Tandon School of Engineering, Department of Finance and Risk Engineering
Downloads 36 (451,033)

Abstract:

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