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Factors and Factoring

Wednesday, April 4, 2018 - 3:30pm EDT

Dr. Peter Carr will present a lecture on the following topic:


Factors and Factoring


Linear factor models are widely used to describe asset returns. In such a setting, the absence of arbitrage implies that expected returns are affine in factor loadings. In particular, in a one factor model, the mean gain rate on a zero cost portfolio factors into the product of the market price of risk and the amount of risk. Working in a univariate diffusion context, we develop an alternative factorization that applies to the mean gain rate under a risk-neutral measure.


Dr. Peter Carr is the Chair of the Finance and Risk Engineering Department at NYU Tandon School of Engineering. He has headed various quant groups in the financial industry for the last twenty years. He also presently serves as a trustee for the National Museum of Mathematics and WorldQuant University. Prior to joining the financial industry, Dr. Carr was a finance professor for 8 years at Cornell University, after obtaining his Ph.D. from UCLA in 1989. He has over 85 publications in academic and industry-oriented journals and serves as an associate editor for 8 journals related to mathematical finance. He was selected as Quant of the Year by Risk Magazine in 2003 and Financial Engineer of the Year by IAQF/Sungard in 2010. From 2011 to 2014, Dr. Carr was included in Institutional Investor's Tech 50, an annual listing of the 50 most influential people in financial technology.

Light refreshments will be served. Please mark your calendars and see attached poster for details. We will distribute the slides next week. Hope you can join us.