Peter Paul Carr
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Peter Paul Carrbusiness Degrees
Business
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#816
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Finance
#79
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#84
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Peter Paul Carrmathematics Degrees
Mathematics
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#9138
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Applied Mathematics
#241
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#266
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Measure Theory
#1469
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#1838
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Business Mathematics
Peter Paul Carr's Degrees
- Masters Mathematics University of Oxford
- Bachelors Mathematics University of Oxford
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(Suggest an Edit or Addition)Peter Paul Carr's Published Works
Number of citations in a given year to any of this author's works
Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author
Published Works
- Option valuation using the fast Fourier transform (1999) (2191)
- The Variance Gamma Process and Option Pricing (1998) (1872)
- The fine structure of asset returns: an empirical investigation (2002) (1806)
- Variance Risk Premiums (2009) (1114)
- Time-Changed Levy Processes and Option Pricing ⁄ (2002) (663)
- Option Pricing, Interest Rates and Risk Management: Towards a Theory of Volatility Trading (2001) (620)
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992) (506)
- The Finite Moment Log Stable Process and Option Pricing (2003) (492)
- Stochastic Volatility for Levy Processes (2001) (481)
- Stochastic Volatility for Lévy Processes (2003) (476)
- A Tale of Two Indices (2004) (412)
- Randomization and the American Put (1996) (397)
- Optimal positioning in derivative securities (2001) (370)
- Stochastic Skew in Currency Options (2004) (333)
- Static Hedging of Exotic Options (1998) (326)
- What Type of Process Underlies Options? A Simple Robust Test (2003) (299)
- Pricing and hedging in incomplete markets (2001) (285)
- The Valuation of Sequential Exchange Opportunities (1988) (277)
- Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation (2006) (246)
- A jump to default extended CEV model: an application of Bessel processes (2006) (228)
- Variance Risk Premia (2007) (197)
- Volatility Derivatives (2009) (185)
- SELF‐DECOMPOSABILITY AND OPTION PRICING (2007) (185)
- Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies (2006) (180)
- A note on sufficient conditions for no arbitrage (2005) (156)
- Robust Replication of Volatility Derivatives (2008) (146)
- Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer (2015) (145)
- Pricing options on realized variance (2005) (138)
- A new approach for option pricing under stochastic volatility (2007) (138)
- PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS (2009) (124)
- Theory and Evidence on the Dynamic Interactions between Sovereign Credit Default Swaps and Currency Options (2006) (117)
- Static Hedging of Standard Options (2004) (107)
- A Simple Robust Link between American Puts and Credit Protection (2008) (106)
- TIME‐CHANGED MARKOV PROCESSES IN UNIFIED CREDIT‐EQUITY MODELING (2010) (101)
- Risk, Return, and Ross Recovery (2012) (101)
- The Valuation of Executive Stock Options in an Intensity-Based Framework (2000) (95)
- The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value (1990) (94)
- Two Extensions to Barrier Option Valuation (1995) (92)
- Variance swaps on time-changed Lévy processes (2012) (92)
- Bessel processes, the integral of geometric Brownian motion, and Asian options (2003) (82)
- From local volatility to local Lévy models (2004) (79)
- Hedging variance options on continuous semimartingales (2010) (76)
- Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions (2011) (75)
- Realized Volatility and Variance: Options via Swaps (2007) (75)
- Saddlepoint methods for option pricing (2009) (71)
- Fast Accurate Valuation of American Options (1994) (70)
- Analyzing Volatility Risk and Risk Premium in Option Contracts: A New Theory (2010) (69)
- Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case (2010) (68)
- On the hedging of options on exploding exchange rates (2012) (61)
- Hedging Complex Barrier Options (2002) (59)
- On the Numerical Evaluation of Option Prices in Jump Diffusion Processes (2007) (57)
- Numerical Methods in Finance: American Options: A Comparison of Numerical Methods (1997) (55)
- SCM Involving Small Versus Large Suppliers: Relational Exchange and Electronic Communication Media (2005) (54)
- MAXIMUM DRAWDOWN INSURANCE (2011) (53)
- A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options (2010) (51)
- Corridor Variance Swaps (2002) (49)
- On the Qualitative Effect of Volatility and Duration on Prices of Asian Options (2008) (47)
- Deriving derivatives of derivative securities (2000) (39)
- Static Hedging of Timing Risk (1999) (39)
- American Put Call Symmetry (1997) (38)
- Why Be Backward? Forward Equations for American Options (2002) (37)
- Markets, Profits, Capital, Leverage and Return (2010) (36)
- Local Volatility Enhanced by a Jump to Default (2010) (36)
- Valuing Finite-Lived Options as Perpetual (1996) (33)
- Jumps without tears: A new splitting technology for barrier options (2011) (31)
- Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models (2010) (31)
- A Note on the Pricing of Commodity-Linked Bonds (1987) (29)
- A New Simple Approach for Constructing Implied Volatility Surfaces (2011) (28)
- From Local Volatility to Local Levy Models (2004) (24)
- SIMULATING BERMUDAN INTEREST RATE DERIVATIVES (2001) (24)
- Why Are Quadratic Normal Volatility Models Analytically Tractable? (2012) (23)
- On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited (2001) (23)
- Linearity-Generating Processes, Unspanned Stochastic Volatility, and Interest-Rate Option Pricing (2011) (22)
- Hedging Under the Heston Model with Jump-to-Default (2007) (22)
- Static Hedging under Time-Homogeneous Diffusions (2011) (22)
- Simulating American Bond Options in an HJM Framework (1998) (21)
- Optimal investment in derivative securities (2001) (20)
- Joint modeling of VIX and SPX options at a single and common maturity with risk management applications (2014) (20)
- DETERMINING VOLATILITY SURFACES AND OPTION VALUES FROM AN IMPLIED VOLATILITY SMILE (2001) (19)
- LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES (2013) (19)
- Time for a Change: The Variance Gamma Model and Option Pricing (2005) (18)
- A PDE approach to jump-diffusions (2010) (17)
- SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS (2011) (17)
- The Reduction Method for Valuing Derivative Securities (2002) (16)
- Breaking Barriers: Static Hedging of Barrier Securities (1996) (16)
- Bounded Brownian Motion (2017) (16)
- Chapter 7 A discrete time synthesis of derivative security valuation using a term structure of futures prices (1995) (16)
- MULTI‐ASSET STOCHASTIC LOCAL VARIANCE CONTRACTS (2010) (16)
- The Value of Purchasing Information to Reduce Risk in Capital Investment Projects (1997) (14)
- Factor Models for Option Pricing (2012) (14)
- Put Call Reversal (2002) (14)
- Time-Changed Levy Process and Option Pricing (2001) (13)
- Variation and share-weighted variation swaps on time-changed Lévy processes (2013) (11)
- What Type of Process Underlies Options ? (2002) (11)
- Semi-Closed Form Prices of Barrier Options in the Time-Dependent CEV and CIR Models (2020) (11)
- FAQ’s in Option Pricing Theory (2007) (11)
- Option Profit and Loss Attribution and Pricing: A New Framework (2018) (11)
- Derivatives Pricing: The Classic Collection (2004) (10)
- First-order calculus and option pricing (2014) (10)
- A New Framework for Analyzing Volatility Risk and Premium Across Option Strikes and Expiries (2010) (9)
- On the Nature of Options (2000) (9)
- Forward Evolution Equations for Knock-Out Options (2007) (9)
- Using Machine Learning to Predict Realized Variance (2019) (9)
- Option pricing models l Cutting edge Black-Scholes goes hypergeometric (9)
- Why is VIX a fear gauge? (2017) (9)
- Options on realized variance and convex orders (2009) (8)
- Determining Optimal Trading Rules Without Backtesting (2014) (8)
- Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process (2020) (8)
- Derivatives Pricing Under Bilateral Counterparty Risk (2015) (8)
- Additive logistic processes in option pricing (2020) (7)
- The forward PDE for european options on stocks with fixed fractional jumps (2005) (7)
- FX options in target zones (2015) (7)
- Explicit Constructions of Martingales Calibrated to Given Implied Volatility Smiles (2011) (6)
- Convex Duality and Financial Mathematics (2018) (6)
- A Lognormal Type Stochastic Volatility Model With Quadratic Drift (2019) (6)
- Jointly Modeling of VIX and SPX Options at a Single and Common Maturity with Risk Management Applications (2013) (6)
- Static Benefits Breaking Barriers (1997) (6)
- A Simple Robust Link Between American Puts and Credit Insurance (2008) (5)
- Pricing Variance Swaps on Time-Changed Lévy Processes (2009) (5)
- Options on Maxima , Drawdown , Trading Gains , and Local Time (5)
- An Expanded Local Variance Gamma Model (2018) (5)
- Generating integrable one dimensional driftless diffusions (2006) (5)
- Implied Remaining Variance in Derivative Pricing (2014) (5)
- Hedging Insurance Books (2015) (4)
- Generalized Compounding and Growth Optimal Portfolios Reconciling Kelly and Samuelson (2020) (4)
- A functional analysis approach to the static replication of European options (2020) (4)
- A Finite-difference approach to the pricing of barrier options in stochastic skew models (2008) (4)
- Robust Replication of Default Contingent Claims (2008) (4)
- Semi-Static Hedging of Path-Dependent Securities (2001) (4)
- Optimal Derivative Investment in Continuous Time (1999) (4)
- Semi-Analytical Solutions for Barrier and American Options Written on a Time-Dependent Ornstein–Uhlenbeck Process (2021) (3)
- A Functional Analysis Approach to Static Replication of European Options (2019) (3)
- Decomposing Long Bond Returns: A Decentralized Modeling Approach (2019) (3)
- Simple Robust Linkages between CDS and Equity Options (2008) (3)
- Semi-Analytical Pricing of Barrier Options in the Time-Dependent Heston Model (2022) (3)
- Static replication of European standard dispersion options (2020) (3)
- Vol , Skew , and Smile Trading (2016) (3)
- Robust replication of volatility and hybrid derivatives on jump diffusions (2021) (2)
- Replicating a Defaultable Bond (2)
- Adjusting Exponential Lévy Models Toward the Simultaneous Calibration of Market Prices for Crash Cliquets (2016) (2)
- Geometric Local Variance Gamma Model (2018) (2)
- AN ALTERNATIVE APPROACH FOR VALUING CONTINUOUS CASH FLOWS (2002) (2)
- Semi-Robust Replication of Barrier-Style Claims on Price and Volatility (2015) (2)
- Time Changed Markov Processes in Unified Credit-Equity Modeling (2007) (2)
- Replicating Defaultable Bonds in Black Scholes with Jump To Default (2005) (2)
- A Simple Robust Test for the Presence of Jumps in Asset Prices (2001) (2)
- ADOL - Markovian approximation of rough lognormal model (2019) (2)
- Fiat Money as Stock in Small Open Economies: Theory and Evidence on Sovereign Default Swaps and Currency Options (2005) (2)
- Hedging Poisson Jumps (2)
- Pricing Variance Swaps on Time-Changed Markov Processes (2017) (1)
- Stoptions: Representations and Applications (2021) (1)
- Generalizing Geometric Brownian Motion (2018) (1)
- Implied Volatility in Stochastic Volatility Models (2010) (1)
- Numerical Methods for Lévy Processes: Lattice Methods and the Density, the Subordinator and the Time Copula (2011) (1)
- Implied Remaining Variance with Application to Bachelier Model (2016) (1)
- FX Options in Target Zone (2015) (1)
- Model-Free Backward and Forward Nonlinear PDEs for Implied Volatility (2019) (1)
- Optimal Positioning in Derivative Securities 1 (1998) (1)
- Cutting edge: Volatility modelling ADOL: Markovian approximation of a rough lognormal model (2019) (1)
- Spectral Methods and Pricing Options on Private Equity (2015) (0)
- Randomization and the American Put by Peter Carr Morgan Stanley 1585 Broadway (1996) (0)
- On the hedging of options on exploding exchange rates (2013) (0)
- Finite Period Financial Models (2018) (0)
- Critical strike prices in the DEVG model (0)
- Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models (2011) (0)
- Carr Memorial: Maximum Drawdown Derivatives to a Hitting Time (2022) (0)
- 85 @bullet Risk @bullet August 2000 Model Set-up (0)
- St Reading Hedging under the Heston Model with Jump-to-default 5 (2007) (0)
- Optimal Positioning in Derivative Securities 1 Introduction (1999) (0)
- Bond Yield Curve Convexity Trading (2018) (0)
- Static and Semi-Static Hedging with Options (2002) (0)
- Adjusting Exponential Levy Models Towards the Simultaneous Calibration of Market Prices for Crash Cliquets (2014) (0)
- Symmetric Approach to Martingale Construction (Presentation Slides) (2022) (0)
- Beyond variance swaps: Trading auto-correlation (2003) (0)
- Option pricing generators (2023) (0)
- Variance swaps on time-changed Lévy processes (2011) (0)
- Auto-Stati for the People : Risk-Minimizing Hedges (2009) (0)
- Probabilistic Interpretation of Black Implied Volatility (2021) (0)
- Essays on exchange : a dissertation submitted in partial satisfaction of the requirements for the degree doctor of philosophy in management (1989) (0)
- Compound Option Pricing and the Roll-Geske-Whaley Formula under the Conjugate-Power Dagum Distribution (2022) (0)
- Hedging Calls in the Black Model with Default (2005) (0)
- Hedging Complex Barrier Options Summary Page (1997) (0)
- Just-inTime Portfolio Insurance (2019) (0)
- Continuous Financial Models (2018) (0)
- Financial Interpretation of Feller’s Factorization (2022) (0)
- Finance and Economics Discussion Series Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board , Washington , D . C . Derivatives Pricing under Bilateral Counterparty Risk (2015) (0)
- Convex duality in continuous option pricing models (2023) (0)
- Financial Models in One Period Economy (2018) (0)
- Practical Applications of Interview with Peter Carr (2016) (0)
- 1 Laws of class L and Self Decomposable Laws (2005) (0)
- Variation and share-weighted variation swaps on time-changed Lévy processes (2013) (0)
- Long Term Risk: A Time Change Approach (2021) (0)
- Lie Algebras/Partial Differential Equations Generating integrable one dimensional driftless diffusions (2006) (0)
- First Order Calculus & Option Pricing (2012) (0)
- Factor Models for Option Pricing (2011) (0)
- Optimal Rates from Eigenvalues (2015) (0)
- Variable Volatility & Financial Failure (2013) (0)
- TR-07-08 HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT Carr (2007) (0)
- Robert Merton’s option-based model for valuing corporate debt, one of the insights for which he won a Nobel prize, is receiving renewed interest for valuing credit derivatives (2006) (0)
- Local Volatility enhanced by a Single Jump to Default (2007) (0)
- An Expanded Local Variance Gamma Model (2020) (0)
- Construction d'indices de taux de change (2010) (0)
- Spiking the Volatility Punch (2020) (0)
- WhatType of Process Underlies Options ? A Simple RobustTest (2003) (0)
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