Peter Carr

New York University Finance and Risk Engineering

Dept. Chair

6 MetroTech Center

Brooklyn, NY 11201

United States

http://engineering.nyu.edu/people/peter-paul-carr

SCHOLARLY PAPERS

57

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46,915

SSRN CITATIONS
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SSRN RANKINGS

Top 1,144

in Total Papers Citations

428

CROSSREF CITATIONS

611

Scholarly Papers (57)

1.

Analyzing Volatility Risk and Risk Premium in Option Contracts: A New Theory

NYU Tandon Research Paper No. 1701685
Number of pages: 56 Posted: 03 Nov 2010 Last Revised: 26 Jun 2017
Peter Carr and Liuren Wu
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 4,916 (2,537)
Citation 31

Abstract:

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Implied volatility surface; Option realized volatility; Expected volatility surface; Volatility risk premium; Vega-gamma-vanna-volga; Proportional variance dynamics

2.

Variance Risk Premia

AFA 2005 Philadelphia Meetings
Number of pages: 44 Posted: 17 Aug 2004 Last Revised: 25 Oct 2007
Liuren Wu and Peter Carr
City University of New York, CUNY Baruch College - Zicklin School of Business and New York University Finance and Risk Engineering
Downloads 4,724 (2,719)
Citation 11

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Stochastic volatility, variance risk premia, variance swap, volatility swap, option pricing, expectation hypothesis

3.

Option Profit and Loss Attribution and Pricing: A New Framework

Journal of Finance, Forthcoming, Baruch College Zicklin School of Business Research Paper No. 2018-04-01
Number of pages: 63 Posted: 25 Mar 2018 Last Revised: 02 Nov 2019
Peter Carr and Liuren Wu
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 2,834 (6,466)
Citation 2

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Profit and loss attribution; Local commonality; Risk-return trade-off; Statistical arbitrage; Delta; Vega; Vanna; Volga; Implied volatility term structure; Implied volatility smile

4.

Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation

Number of pages: 43 Posted: 24 Jun 2005
Liuren Wu and Peter Carr
City University of New York, CUNY Baruch College - Zicklin School of Business and New York University Finance and Risk Engineering
Downloads 2,652 (7,148)
Citation 23

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Stock options, credit default swaps, default arrival rate, return variance dynamics, option pricing, time-changed Levy processes

5.

Static Hedging of Standard Options

NYU Tandon Research Paper No. 585451
Number of pages: 61 Posted: 02 Sep 2004
Peter Carr and Liuren Wu
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 2,419 (8,283)
Citation 52

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Static hedging, jumps, option pricing, Monte Carlo, S&P 500 index options, stochastic volatility

6.

Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer

IEEE Journal of Selected Topics in Signal Processing, Forthcoming, 2016, NYU Tandon Research Paper No. 2649376
Number of pages: 12 Posted: 24 Aug 2015 Last Revised: 26 Jun 2017
1QBit, 1QBit, 1QBit, New York University Finance and Risk Engineering, University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,332 (8,741)
Citation 2

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Qubit, quantum computer, optimal trading trajectory, portfolio optimization, quantum annealing

7.

Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions

Bloomberg Portfolio Research Paper No. 2009-03-FRONTIERS, AFA 2011 Denver Meetings Paper, NYU Tandon Research Paper No. 1306495
Number of pages: 66 Posted: 25 Nov 2008 Last Revised: 26 Jun 2017
Peter Carr and Liuren Wu
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 2,178 (9,802)
Citation 26

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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

8.

Stochastic Volatility for Levy Processes

Number of pages: 35 Posted: 04 Jun 2002
New York University Finance and Risk Engineering, University of London - Economics, Mathematics and Statistics, University of Maryland - Robert H. Smith School of Business and Universite Paris
Downloads 2,128 (10,212)
Citation 76

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9.
Downloads 2,048 ( 10,889)
Citation 109

A Tale of Two Indices

Number of pages: 38 Posted: 28 Dec 2005
Peter Carr and Liuren Wu
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,669 (14,787)
Citation 12

Abstract:

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volatility index; variance swap; volatility swap

A Tale of Two Indices

NYU Working Paper No. SC-CFE-04-01
Number of pages: 38 Posted: 07 Nov 2008
Peter Carr and Liuren Wu
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 379 (109,815)
Citation 14

Abstract:

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10.

Time for a Change: The Variance Gamma Model and Option Pricing

Number of pages: 12 Posted: 12 Jan 2007
Harvey J. Stein, Peter Carr and Apollo Hogan
Two Sigma, New York University Finance and Risk Engineering and Bloomberg L.P. - R&D
Downloads 1,971 (11,583)
Citation 9

Abstract:

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Black-Scholes, variance gamma model, skew, kurtosis, volatility smile, option pricing, equity options, time changed Brownian motion

11.
Downloads 1,746 ( 14,054)
Citation 109

Stochastic Skew in Currency Options

EFA 2004 Maastricht Meetings Paper No. 1426
Number of pages: 48 Posted: 30 Jun 2004
Liuren Wu and Peter Carr
City University of New York, CUNY Baruch College - Zicklin School of Business and New York University Finance and Risk Engineering
Downloads 1,591 (15,906)
Citation 2

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Currency options, Foreign exchange dynamics; Stochastic skew; Stochastic volatility; Time-changed Levy processes.

Stochastic Skew in Currency Options

NYU Working Paper No. SC-CFE-04-02
Number of pages: 65 Posted: 07 Nov 2008
Peter Carr and Liuren Wu
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 155 (263,396)
Citation 14

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12.

Determining Optimal Trading Rules Without Backtesting

Number of pages: 39 Posted: 12 Sep 2015
New York University Finance and Risk Engineering and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 1,526 (17,297)
Citation 5

Abstract:

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Trading, optimization, backtesting, overfitting, simulation

13.

FX Options in Target Zone

Quantitative Finance 17(10) (2017) 1477-1486, Featured Article
Number of pages: 25 Posted: 06 Dec 2015 Last Revised: 16 Sep 2017
Peter Carr and Zura Kakushadze
New York University Finance and Risk Engineering and Quantigic Solutions LLC
Downloads 1,513 (17,493)
Citation 6

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FX, options, target zone, attainable boundaries, Brownian motion, volatility, drift, reflecting barriers

14.

Time-Changed Levy Process and Option Pricing

Number of pages: 35 Posted: 26 Sep 2001
Peter Carr and Liuren Wu
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,085 (28,603)
Citation 67

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Stochastic time change, Levy processes, subordination, characteristic functions, option pricing, exponential martingales, measure change.

15.

Pricing Options on Realized Variance

EFA 2005 Moscow Meetings Paper
Number of pages: 26 Posted: 11 Mar 2005 Last Revised: 30 Jan 2010
New York University Finance and Risk Engineering, University of London - Economics, Mathematics and Statistics, University of Maryland - Robert H. Smith School of Business and Universite Paris
Downloads 893 (37,783)
Citation 12

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Options on Variance Swaps, Options on Time Changes, Self Decomposability and its Hierarchy

16.

Simple Robust Linkages between CDS and Equity Options

Number of pages: 46 Posted: 25 Mar 2008
Peter Carr and Liuren Wu
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 843 (40,798)
Citation 1

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Stock options, American puts, unit recovery claims, credit default swaps, default probabilities

17.

A Simple Robust Link between American Puts and Credit Protection

Bloomberg Portfolio Research Paper No. 2009-07-FRONTIERS
Number of pages: 62 Posted: 25 Nov 2008 Last Revised: 06 Nov 2010
Peter Carr and Liuren Wu
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 828 (41,821)
Citation 10

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Stock options, American puts, unit recovery claims, credit default swaps, default probabilities

18.

Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies

Robert H. Smith School Research Paper No. RHS 06-154
Number of pages: 45 Posted: 09 May 2005 Last Revised: 13 Feb 2011
New York University Finance and Risk Engineering, City University of New York, CUNY Baruch College - Zicklin School of Business and Temple University - Fox School of Business and ManagementFox School of Business
Downloads 783 (45,045)
Citation 19

Abstract:

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Stochastic discount factors, international economy, stochastic risk premium

19.
Downloads 749 ( 47,807)
Citation 19

Randomization and the American Put

Number of pages: 38 Posted: 31 Oct 1996
Peter Carr
New York University Finance and Risk Engineering
Downloads 749 (47,179)
Citation 19

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Randomization and the American Put

Review of Financial Studies, Vol. 11, No. 3
Posted: 04 Jun 1998
Peter Carr
New York University Finance and Risk Engineering

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20.

Valuing Finite-Lived Options as Perpetual

Number of pages: 35 Posted: 03 Oct 1996
Dmitri Faguet and Peter Carr
Johnson Wax, Ukraine and New York University Finance and Risk Engineering
Downloads 654 (57,115)
Citation 17

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21.

A PDE Approach to Jump-Diffusions

Number of pages: 37 Posted: 28 Oct 2010
Peter Carr and Laurent Cousot
New York University Finance and Risk Engineering and BNP Paribas
Downloads 632 (59,670)
Citation 1

Abstract:

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martingale, jump-di ffusion, partial diff erential equation, calibration, option

22.

Hedging Under the Heston Model with Jump-to-Default

Number of pages: 12 Posted: 24 Sep 2007
Peter Carr and Wim Schoutens
New York University Finance and Risk Engineering and KU Leuven - Department of Mathematics
Downloads 607 (62,842)
Citation 2

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hHeston, hedging, variance swaps, CDS, jump to default

23.

From Local Volatility to Local Levy Models

Quantitative Finance, Vol. 4, No. 5, October 2004
Number of pages: 17 Posted: 15 Jan 2007
New York University Finance and Risk Engineering, University of London - Economics, Mathematics and Statistics, University of Maryland - Robert H. Smith School of Business and Universite Paris
Downloads 586 (65,851)
Citation 3

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Hunt Processes, Persistent Skewness, Convolution Transforms

24.

Linearity-Generating Processes, Unspanned Stochastic Volatility, and Interest-Rate Option Pricing

Number of pages: 51 Posted: 19 Mar 2011
Peter Carr, Xavier Gabaix and Liuren Wu
New York University Finance and Risk Engineering, Harvard University - Department of Economics and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 580 (66,567)
Citation 11

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25.

Theory and Evidence on the Dynamic Interactions between Sovereign Credit Default Swaps and Currency Options

Number of pages: 31 Posted: 20 Jun 2005
Liuren Wu and Peter Carr
City University of New York, CUNY Baruch College - Zicklin School of Business and New York University Finance and Risk Engineering
Downloads 522 (75,953)
Citation 14

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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.

26.

A Simple Robust Test for the Presence of Jumps in Asset Prices

Number of pages: 44 Posted: 13 Sep 2001
Peter Carr and Liuren Wu
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 494 (81,266)

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27.

Time Changed Markov Processes in Unified Credit-Equity Modeling

FDIC Center for Financial Research Working Paper No. 2008-03
Number of pages: 59 Posted: 28 Mar 2008
New York University Finance and Risk Engineering, Northwestern University - Department of Industrial Engineering and Management Sciences and University of Texas at Austin - Department of Information, Risk and Operations Management
Downloads 441 (92,892)
Citation 1

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28.

Explicit Constructions of Martingales Calibrated to Given Implied Volatility Smiles

Number of pages: 35 Posted: 28 Oct 2010 Last Revised: 05 Jul 2011
Peter Carr and Laurent Cousot
New York University Finance and Risk Engineering and BNP Paribas
Downloads 394 (105,850)
Citation 1

Abstract:

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martingale, marginal distribution, diffusion, jump-diffusion, calibration, option, time change

29.

Decomposing Long Bond Returns: A Decentralized Modeling Approach

Baruch College Zicklin School of Business Research Paper No. 2019-08-06
Number of pages: 70 Posted: 05 Aug 2019 Last Revised: 28 Aug 2020
Peter Carr and Liuren Wu
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 366 (115,067)
Citation 1

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bond returns, profit and loss attribution, yield decomposition, expectation, risk premium, convexity effects, butterfly trades

30.

Local Volatility Enhanced by a Jump to Default

Robert H. Smith School Research Paper No. RHS 06-119
Number of pages: 17 Posted: 28 Jan 2010 Last Revised: 13 May 2010
Peter Carr and Dilip B. Madan
New York University Finance and Risk Engineering and University of Maryland - Robert H. Smith School of Business
Downloads 355 (119,041)
Citation 4

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Hazard Rates, CDS Curves, Weibull Distribution, VGSSD Sato Process

31.

Jointly Modeling of VIX and SPX Options at a Single and Common Maturity with Risk Management Applications

Number of pages: 17 Posted: 18 Mar 2013
Peter Carr and Dilip B. Madan
New York University Finance and Risk Engineering and University of Maryland - Robert H. Smith School of Business
Downloads 343 (123,625)
Citation 4

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32.

Stoptions: Representations and Applications

Number of pages: 40 Posted: 11 Oct 2021
Peter Carr
New York University Finance and Risk Engineering
Downloads 332 (128,094)

Abstract:

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tropical arithmetic, path-dependent options

33.

On the Qualitative Effect of Volatility and Duration on Prices of Asian Options

Number of pages: 17 Posted: 24 Jan 2008
New York University Finance and Risk Engineering, University of Glasgow and University of Freiburg - Department of Economics
Downloads 329 (129,311)
Citation 4

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Asian options, volatility, vega, duration, qualitative risk-management

34.

Options on Realized Variance and Convex Orders

Number of pages: 28 Posted: 28 Jan 2010
New York University Finance and Risk Engineering, University of London - Economics, Mathematics and Statistics, Universite Paris and University of Maryland - Robert H. Smith School of Business
Downloads 326 (131,002)
Citation 2

Abstract:

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reverse martingale, quadratic variation, stochastic volatility

35.

Optionality as a Binary Operation

Number of pages: 35 Posted: 23 Mar 2022
Peter Carr and Doug Costa
New York University Finance and Risk Engineering and SIG, LLP
Downloads 320 (133,057)

Abstract:

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Option pricing, abstract algebra, monoids

36.

Markets, Profits, Capital, Leverage and Return

Number of pages: 31 Posted: 20 Sep 2010
New York University Finance and Risk Engineering, Morgan Stanley and University of Maryland - Robert H. Smith School of Business
Downloads 298 (143,370)
Citation 26

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Acceptable Risks, Bid and Ask Prices, Variance Gamma Model, Variance Swaps

37.

Derivatives Pricing Under Bilateral Counterparty Risk

Number of pages: 28 Posted: 03 Apr 2015 Last Revised: 12 Apr 2015
Peter Carr and Samim Ghamami
New York University Finance and Risk Engineering and
Downloads 257 (166,654)
Citation 1

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Reduced-Form Modeling, Counterparty Risk, Wrong Way Risk, Credit Value Adjustment, Basel III

38.

Spectral Methods and Pricing Options on Private Equity

Number of pages: 21 Posted: 02 May 2015
Peter Carr and Pratik Worah
New York University Finance and Risk Engineering and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 237 (180,194)

Abstract:

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39.

Bijections between [0,∞) and the support of a continuous probability law allow a generalized memoryless property

Number of pages: 18 Posted: 27 Apr 2022
Peter Carr and Pasquale Cirillo
New York University Finance and Risk Engineering and ZHAW School of Management and Law
Downloads 194 (217,161)

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memoryless, contingent claim, pseudosum.

40.

Hedging Insurance Books

Robert H. Smith School Research Paper No. RHS 2635602, NYU Tandon Research Paper No. 2635602
Number of pages: 23 Posted: 26 Jul 2015
University of Maryland - Robert H. Smith School of Business, New York University Finance and Risk Engineering, KU Leuven - Department of Mathematics and Independent
Downloads 146 (275,612)
Citation 1

Abstract:

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Acceptable Risks, Probability Distortions, Variance Gamma Model

41.

Optimal Rates from Eigenvalues

NYU Tandon Research Paper No. 2600683
Number of pages: 11 Posted: 02 May 2015
Peter Carr and Pratik Worah
New York University Finance and Risk Engineering and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 135 (292,955)

Abstract:

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42.

Adjusting Exponential Levy Models Towards the Simultaneous Calibration of Market Prices for Crash Cliquets

Number of pages: 23 Posted: 26 Jul 2015
Peter Carr, Ajay Khanna and Dilip B. Madan
New York University Finance and Risk Engineering, New York University (NYU) and University of Maryland - Robert H. Smith School of Business
Downloads 79 (417,841)
Citation 1

Abstract:

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Completely monotone function, Gauss Laguerre quadrature, Gap Risk Pricing

Derivatives Pricing Under Bilateral Counterparty Risk

Journal of Risk, Forthcoming
Number of pages: 31 Posted: 17 Oct 2017
Peter Carr and Samim Ghamami
New York University Finance and Risk Engineering and
Downloads 1 (928,815)
Citation 1
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Asset Pricing, Reduced-Form Modeling, Counterparty Risk, Wrong-Way Risk (WWR), Credit Value Adjustment (CVA)

44.

Robust Replication of Barrier-Style Claims on Price and Volatility

Number of pages: 36 Posted: 06 Aug 2015
Peter Carr and Matthew Lorig
New York University Finance and Risk Engineering and University of Washington - Applied Mathematics
Downloads 70 (446,605)
Citation 1

Abstract:

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robust pricing, robust hedging, knock-in, knock-out, rebate, barrier, quadratic variation

45.

Self-Decomposability and Option Pricing

Mathematical Finance, Vol. 17, No. 1, pp. 31-57, January 2007
Number of pages: 27 Posted: 13 Dec 2006
New York University Finance and Risk Engineering, University of London - Economics, Mathematics and Statistics, University of Maryland - Robert H. Smith School of Business and Universite Paris
Downloads 28 (648,640)
Citation 7

Abstract:

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46.

Put-Call Symmetry: Extensions and Applications

Mathematical Finance, Vol. 19, Issue 4, pp. 523-560, October 2009
Number of pages: 38 Posted: 21 Oct 2009
Peter Carr and Roger Lee
New York University Finance and Risk Engineering and University of Chicago
Downloads 11 (778,881)

Abstract:

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47.

Time-Changed Markov Processes in Unified Credit-Equity Modeling

Mathematical Finance, Vol. 20, Issue 4, pp. 527-569, October 2010
Number of pages: 43 Posted: 27 Sep 2010
University of Texas at Austin - Department of Information, Risk and Operations Management, New York University Finance and Risk Engineering and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 6 (828,535)
Citation 3

Abstract:

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48.

Local Variance Gamma and Explicit Calibration to Option Prices

Mathematical Finance, Vol. 27, Issue 1, pp. 151-193, 2017
Number of pages: 43 Posted: 15 Jan 2017
Peter Carr and Sergey Nadtochiy
New York University Finance and Risk Engineering and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 2 (874,405)
Citation 1

Abstract:

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exact calibration, implied smile, local variance gamma

49.

Multi-Asset Stochastic Local Variance Contracts

Mathematical Finance, Vol. 21, Issue 1, pp. 21-52, 2010
Number of pages: 32 Posted: 30 Dec 2010
Peter Carr and Peter M. Laurence
New York University Finance and Risk Engineering and University of Rome I - Department of Mathematics
Downloads 2 (874,405)
Citation 3

Abstract:

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variance swap, basket option, stochastic volatility

50.

Adjusting Exponential Lévy Models Toward the Simultaneous Calibration of Market Prices for Crash Cliquets

Journal of Computational Finance, 20(1), 89-111, DOI:10.21314/JCF.2016.309
Number of pages: 24 Posted: 28 Jul 2016
Peter Carr, Ajay Khanna and Dilip B. Madan
New York University Finance and Risk Engineering, New York University (NYU) and University of Maryland - Robert H. Smith School of Business
Downloads 0 (905,643)
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completely monotone function, Gauss Laguerre quadrature, gap risk pricing, beta exposure pricing, CGMY model, negative binomial process

51.

Volatility Derivatives

Posted: 04 Jun 2010
Peter Carr and Roger Lee
New York University Finance and Risk Engineering and University of Chicago

Abstract:

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52.

Variance Risk Premiums

The Review of Financial Studies, Vol. 22, Issue 3, pp. 1311-1341, 2009
Posted: 17 Mar 2009
Peter Carr and Liuren Wu
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business

Abstract:

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G10, G12, G13

53.

The Finite Moment Log Stable Process and Option Pricing

Posted: 20 Sep 2003
Liuren Wu and Peter Carr
City University of New York, CUNY Baruch College - Zicklin School of Business and New York University Finance and Risk Engineering

Abstract:

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54.

The Fine Structure of Asset Returns: An Empirical Investigation

Posted: 03 May 2002
University of London - Economics, Mathematics and Statistics, New York University Finance and Risk Engineering, University of Maryland - Robert H. Smith School of Business and Universite Paris

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55.

Optimal Investment in Derivative Securities

Posted: 19 Mar 2001
Peter Carr, Xing Jin and Dilip B. Madan
New York University Finance and Risk Engineering, University of Maryland - Robert H. Smith School of Business and University of Maryland - Robert H. Smith School of Business

Abstract:

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Levy process, market completeness, stochastic duality, option pricing, variance gamma model

56.

Static Hedging of Timing Risk

Posted: 30 Jun 1999
Jean-Francois Picron and Peter Carr
Summit Systems, Inc. and New York University Finance and Risk Engineering

Abstract:

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57.

Fast Accurate Valuation of American Options

Posted: 20 Dec 1998
Dmitri Faguet and Peter Carr
Johnson Wax, Ukraine and New York University Finance and Risk Engineering

Abstract:

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