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ORCIDPeter Carr 0002
Person information
- affiliation: New York University, Courant Institute
- affiliation: Banc of America Securities, New York, USA
Other persons with the same name
- Peter Carr — disambiguation page
- Peter Carr 0001 (aka: G. Peter K. Carr) — Disney Research, Pittsburgh, USA (and 2 more)
- Peter Carr 0003 — University of Waterloo, Department of Management Sciences (and 1 more)
- Peter Carr 0004 — Broad Institute, Cambridge, USA
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2010 – 2019
- 2016
[j12]Gili Rosenberg, Poya Haghnegahdar, Phil Goddard, Peter Carr, Kesheng Wu
, Marcos López de Prado:
Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer. IEEE J. Sel. Top. Signal Process. 10(6): 1053-1060 (2016)- 2015
- [c1]Gili Rosenberg, Poya Haghnegahdar, Phil Goddard, Peter Carr, Kesheng Wu, Marcos López de Prado:
Solving the optimal trading trajectory problem using a quantum annealer. WHPCF@SC 2015: 7:1-7:7 - [i1]Gili Rosenberg, Poya Haghnegahdar, Phil Goddard, Peter Carr, Kesheng Wu, Marcos López de Prado:
Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer. CoRR abs/1508.06182 (2015) - 2014
- [j11]Peter Carr, Travis Fisher, Johannes Ruf:
On the hedging of options on exploding exchange rates. Finance Stochastics 18(1): 115-144 (2014) - 2013
- [j10]Peter Carr, Roger Lee:
Variation and share-weighted variation swaps on time-changed Lévy processes. Finance Stochastics 17(4): 685-716 (2013) - [j9]Peter Carr, Travis Fisher, Johannes Ruf:
Why Are Quadratic Normal Volatility Models Analytically Tractable? SIAM J. Financial Math. 4(1): 185-202 (2013) - 2012
- [j8]Peter Carr, Roger Lee, Liuren Wu:
Variance swaps on time-changed Lévy processes. Finance Stochastics 16(2): 335-355 (2012) - [j7]Peter Carr, Laurent Cousot:
Explicit Constructions of Martingales Calibrated to Given Implied Volatility Smiles. SIAM J. Financial Math. 3(1): 182-214 (2012) - 2011
- [j6]Peter Carr, Sergey Nadtochiy:
Static Hedging under Time-Homogeneous Diffusions. SIAM J. Financial Math. 2(1): 794-838 (2011) - 2010
- [j5]Peter Carr, Roger Lee:
Hedging variance options on continuous semimartingales. Finance Stochastics 14(2): 179-207 (2010) - [j4]Peter Carr, Dilip B. Madan:
Local Volatility Enhanced by a Jump to Default. SIAM J. Financial Math. 1(1): 2-15 (2010)
2000 – 2009
- 2006
- [j3]Peter Carr, Vadim Linetsky:
A jump to default extended CEV model: an application of Bessel processes. Finance Stochastics 10(3): 303-330 (2006) - 2005
- [j2]Peter Carr, Hélyette Geman, Dilip B. Madan, Marc Yor:
Pricing options on realized variance. Finance Stochastics 9(4): 453-475 (2005) - 2001
- [j1]Peter Carr, Xing Jin, Dilip B. Madan:
Optimal investment in derivative securities. Finance Stochastics 5(1): 33-59 (2001)
Coauthor Index
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