Peter Carr

Available identifiers

zbMath Open carr.peter-pMaRDI QIDQ201757

List of research outcomes

Publication	Date of Publication	Type
Optionality as a binary operation	2023-09-27	Paper
Option pricing generators	2023-07-25	Paper
Decomposing Long Bond Returns: A Decentralized Theory	2023-06-30	Paper
Static replication of European standard dispersion options	2022-05-27	Paper
A functional analysis approach to the static replication of European options	2021-12-01	Paper
Additive logistic processes in option pricing	2021-11-02	Paper
Spiking the Volatility Punch	2021-06-21	Paper
Two extensions to barrier option valuation	2021-06-18	Paper
Why is VIX a fear gauge?	2019-03-12	Paper
From local volatility to local Lévy models	2019-01-15	Paper
Optimal positioning in derivative securities	2019-01-14	Paper
Convex Duality and Financial Mathematics	2018-06-29	Paper
Randomization and the American Put	2018-04-06	Paper
LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES	2017-03-13	Paper
Hedging insurance books	2016-12-13	Paper
On the hedging of options on exploding exchange rates	2014-11-14	Paper
Why Are Quadratic Normal Volatility Models Analytically Tractable?	2014-01-23	Paper
Options on realized variance and convex orders	2013-12-13	Paper
https://portal.mardi4nfdi.de/entity/Q4913890	2013-04-17	Paper
Factor models for option pricing	2013-01-29	Paper
Explicit Constructions of Martingales Calibrated to Given Implied Volatility Smiles	2013-01-25	Paper
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models	2013-01-11	Paper
Static Hedging under Time-Homogeneous Diffusions	2012-04-19	Paper
MAXIMUM DRAWDOWN INSURANCE	2012-03-13	Paper
SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS	2011-12-28	Paper
A PDE approach to jump-diffusions	2011-04-29	Paper
MULTI-ASSET STOCHASTIC LOCAL VARIANCE CONTRACTS	2011-02-02	Paper
A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options	2010-12-20	Paper
TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING	2010-10-15	Paper
Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case	2010-09-16	Paper
Local Volatility Enhanced by a Jump to Default	2010-02-03	Paper
Saddlepoint methods for option pricing	2009-10-26	Paper
https://portal.mardi4nfdi.de/entity/Q5506190	2009-01-28	Paper
HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT	2008-08-26	Paper
SELF-DECOMPOSABILITY AND OPTION PRICING	2007-06-08	Paper
Generating integrable one dimensional driftless diffusions	2006-12-14	Paper
A jump to default extended CEV model: an application of Bessel processes	2006-12-08	Paper
Pricing options on realized variance	2006-05-24	Paper
THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS	2005-05-06	Paper
Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options	2004-12-16	Paper
Stochastic Volatility for Lévy Processes	2004-08-23	Paper
https://portal.mardi4nfdi.de/entity/Q2725579	2003-06-19	Paper
https://portal.mardi4nfdi.de/entity/Q2771113	2002-08-19	Paper
Optimal investment in derivative securities	2001-09-16	Paper
https://portal.mardi4nfdi.de/entity/Q2725585	2001-07-12	Paper
On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited	2001-02-09	Paper
The Valuation of Executive Stock Options in an Intensity-Based Framework *	2000-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q4356583	1998-11-01	Paper
The Variance Gamma Process and Option Pricing	1998-01-01	Paper
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS	1997-08-31	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Peter Carr