The following pages link to Peter Carr (Q201757):
Displaying 50 items.
- Variation and share-weighted variation swaps on time-changed Lévy processes (Q377448) (← links)
- On the hedging of options on exploding exchange rates (Q471173) (← links)
- A jump to default extended CEV model: an application of Bessel processes (Q854279) (← links)
- Generating integrable one dimensional driftless diffusions (Q857067) (← links)
- Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models (Q1930397) (← links)
- Factor models for option pricing (Q1934585) (← links)
- Additive logistic processes in option pricing (Q2238772) (← links)
- Pricing options on realized variance (Q2488490) (← links)
- Hedging insurance books (Q2520465) (← links)
- Determining volatility surfaces and option values from an implied volatility smile (Q2725579) (← links)
- Simulating Bermudan interest rate derivatives (Q2725585) (← links)
- The Valuation of Executive Stock Options in an Intensity-Based Framework * (Q2770906) (← links)
- Towards a theory of volatility trading (Q2771113) (← links)
- Options on realized variance and convex orders (Q2866381) (← links)
- Why are quadratic normal volatility models analytically tractable? (Q2873123) (← links)
- LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES (Q2968277) (← links)
- A PDE approach to jump-diffusions (Q2994851) (← links)
- A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options (Q3064014) (← links)
- MULTI-ASSET STOCHASTIC LOCAL VARIANCE CONTRACTS (Q3069956) (← links)
- SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS (Q3107931) (← links)
- Why is VIX a fear gauge? (Q3119650) (← links)
- TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING (Q3161734) (← links)
- MAXIMUM DRAWDOWN INSURANCE (Q3225024) (← links)
- Local Volatility Enhanced by a Jump to Default (Q3402357) (← links)
- SELF-DECOMPOSABILITY AND OPTION PRICING (Q3446058) (← links)
- HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT (Q3520540) (← links)
- Saddlepoint methods for option pricing (Q3639926) (← links)
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (Q4345925) (← links)
- (Q4356583) (← links)
- Convex Duality and Financial Mathematics (Q4571795) (← links)
- From local volatility to local Lévy models (Q4610266) (← links)
- Optimal positioning in derivative securities (Q4646462) (← links)
- THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS (Q4675937) (← links)
- Stochastic Volatility for Lévy Processes (Q4812839) (← links)
- Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options (Q4830863) (← links)
- Explicit Constructions of Martingales Calibrated to Given Implied Volatility Smiles (Q4902210) (← links)
- (Q4913890) (← links)
- The Variance Gamma Process and Option Pricing (Q4939318) (← links)
- Two extensions to barrier option valuation (Q4994406) (← links)
- Spiking the Volatility Punch (Q4994679) (← links)
- A functional analysis approach to the static replication of European options (Q5014195) (← links)
- Static replication of European standard dispersion options (Q5079371) (← links)
- Randomization and the American Put (Q5374084) (← links)
- Static Hedging under Time-Homogeneous Diffusions (Q5388686) (← links)
- (Q5506190) (← links)
- Optimal investment in derivative securities (Q5942932) (← links)
- Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case (Q5962135) (← links)
- Optionality as a binary operation (Q6078121) (← links)
- Option pricing generators (Q6134133) (← links)
- Decomposing Long Bond Returns: A Decentralized Theory (Q6164059) (← links)
