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D-Index & Metrics

Economics and Finance

D-Index
60
Citations
24967
World Ranking
800
National Ranking
501

Overview

Peter Carr was affiliated with New York University in the United States. Their research primarily fell within the broad domain of Economics, Econometrics, and Finance, with a significant focus on Finance and several interdisciplinary subfields including Economics and Econometrics, Management Science and Operations Research, Mathematical Physics, and General Decision Sciences.

Their scholarly output included 55 publications in these main fields and covered a range of interconnected topics. The main subjects addressed in their work included:

  • Stochastic processes and financial applications
  • Financial Risk and Volatility Modeling
  • Credit Risk and Financial Regulations
  • Capital Investment and Risk Analysis
  • Financial Markets and Investment Strategies
  • Economic theories and models
  • Risk and Portfolio Optimization

Peter Carr contributed to various academic journals. Their most frequent publication venues were:

  • The Journal of Derivatives
  • SSRN Electronic Journal
  • Quantitative Finance
  • Frontiers of Mathematical Finance
  • The Journal of Finance

Their recent papers, which reflect their research interests and areas of investigation, included the following:

  • "Option Profit and Loss Attribution and Pricing: A New Framework," 2020, The Journal of Finance
  • "Additive logistic processes in option pricing," 2021, Finance and Stochastics
  • "Semi-Analytical Solutions for Barrier and American Options Written on a Time-Dependent Ornstein-Uhlenbeck Process," 2021, The Journal of Derivatives
  • "A functional analysis approach to the static replication of European options," 2020, Quantitative Finance
  • "Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process," 2020, arXiv (Cornell University)

They frequently collaborated with several co-authors over their career. Regular collaborators included:

  • Andrey Itkin
  • Umberto Cherubini
  • Liuren Wu
  • Lorenzo Torricelli
  • Sébastien Bossu

Best Publications

  • Option valuation using the fast Fourier transform

    Peter Carr;Dilip Madan

  • The Variance Gamma Process and Option Pricing

    Dilip B. Madan;Peter P. Carr;Eric C. Chang

  • The fine structure of asset returns: an empirical investigation

    Peter Carr;Hélyette Geman;Dilip B. Madan;Marc Yor

  • Variance Risk Premiums

    Peter Carr;Liuren Wu

  • Stochastic Volatility for Lévy Processes

    Peter Carr;Hélyette Geman;Dilip B. Madan;Marc Yor

  • Time-Changed Levy Processes and Option Pricing ⁄

    Peter Carr;Peter Carr;Liuren Wu

  • Towards a Theory of Volatility Trading

    P. Carr;D. Madan

  • ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS

    Peter P. Carr;Robert A. Jarrow;Ravi Myneni

  • The Finite Moment Log Stable Process and Option Pricing

    Peter Carr;Liuren Wu

  • Randomization and the American Put

    Peter Carr

  • A Tale of Two Indices

    Peter Carr;Liuren Wu

  • Stochastic Skew in Currency Options

    Peter Carr;Peter Carr;Liuren Wu

  • The Valuation of Sequential Exchange Opportunities

    Peter Carr

  • Static Hedging of Exotic Options

    Peter Carr;Katrina Ellis;Vishal Gupta

  • Optimal positioning in derivative securities

    Peter Carr;Dilip Madan

  • Pricing and hedging in incomplete markets

    Peter Carr;Helyette Geman;Dilip B Madan

  • What Type of Process Underlies Options? A Simple Robust Test

    Peter Carr;Liuren Wu

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

    Peter Carr;Liuren Wu

  • A jump to default extended CEV model: an application of Bessel processes

    Peter Carr;Vadim Linetsky

  • Variance Risk Premia

    Peter Carr;Liuren Wu

  • Stochastic Skew in Currency Options

    Liuren Wu;Peter Carr

Frequent Co-Authors

Liuren Wu
Liuren Wu City University of New York
Dilip B. Madan
Dilip B. Madan University of Maryland, College Park
Hélyette Geman
Hélyette Geman Birkbeck, University of London
Robert A. Jarrow
Robert A. Jarrow Cornell University
Kesheng Wu
Kesheng Wu Lawrence Berkeley National Laboratory
Wim Schoutens
Wim Schoutens KU Leuven
Jean-Daniel Saphores
Jean-Daniel Saphores University of California, Irvine
Gurdip Bakshi
Gurdip Bakshi Temple University
Eric C. Chang
Eric C. Chang Shanghai Jiao Tong University
Xavier Gabaix
Xavier Gabaix Harvard University

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