Peter Carr

According to our database, Peter Carr authored at least 12 papers between 2001 and 2016.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of three.

2016

Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer.

Gili Rosenberg, Poya Haghnegahdar, Phil Goddard, Peter Carr, Kesheng Wu, Marcos López de Prado

IEEE J. Sel. Top. Signal Process., 2016

2014

On the hedging of options on exploding exchange rates.

Peter Carr, Travis Fisher, Johannes Ruf

Finance Stochastics, 2014

2013

Why Are Quadratic Normal Volatility Models Analytically Tractable?

Peter Carr, Travis Fisher, Johannes Ruf

SIAM J. Financial Math., 2013

Variation and share-weighted variation swaps on time-changed Lévy processes.

Peter Carr, Roger Lee

Finance Stochastics, 2013

2012

Explicit Constructions of Martingales Calibrated to Given Implied Volatility Smiles.

Peter Carr, Laurent Cousot

SIAM J. Financial Math., 2012

Variance swaps on time-changed Lévy processes.

Peter Carr, Roger Lee, Liuren Wu

Finance Stochastics, 2012

2011

Static Hedging under Time-Homogeneous Diffusions.

Peter Carr, Sergey Nadtochiy

SIAM J. Financial Math., 2011

2010

Local Volatility Enhanced by a Jump to Default.

Peter Carr, Dilip B. Madan

SIAM J. Financial Math., 2010

Hedging variance options on continuous semimartingales.

Peter Carr, Roger Lee

Finance Stochastics, 2010

2006

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

Peter Carr, Vadim Linetsky

Finance Stochastics, 2006

2005

Pricing options on realized variance.

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

Finance Stochastics, 2005

2001

Optimal investment in derivative securities.

Peter Carr, Xing Jin, Dilip B. Madan

Finance Stochastics, 2001