Peter Carr

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

6 Metrotech Center

New York, NY 11201

United States

SCHOLARLY PAPERS

6

DOWNLOADS

1,022

SSRN CITATIONS

6

CROSSREF CITATIONS

0

Scholarly Papers (6)

1.

Generalized Compounding and Growth Optimal Portfolios: Reconciling Kelly and Samuelson

Number of pages: 37 Posted: 09 Mar 2020 Last Revised: 06 Apr 2020
Peter Carr and Umberto Cherubini
New York University (NYU) - Finance and Risk Engineering Department and University of Bologna - Department of Economics
Downloads 319 (117,180)

Abstract:

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

2.

Static Replication of European Standard Dispersion Options

Number of pages: 21 Posted: 12 Oct 2020 Last Revised: 06 Mar 2021
NYU Courant, New York University (NYU) - Finance and Risk Engineering Department and North Carolina State University - Department of Mathematics
Downloads 202 (184,871)
Citation 1

Abstract:

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

3.

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 169 (216,387)
Citation 1

Abstract:

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4.

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 134 (261,648)

Abstract:

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5.

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 North Carolina State University - Department of Mathematics
Downloads 113 (296,239)

Abstract:

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

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 Parma, Department of Economics and Management
Downloads 85 (356,765)
Citation 4

Abstract:

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

Other Papers (1)

Total Downloads: 79
1.

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 79

Abstract:

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volatility, surface, arbitrage-free, options