With Peter Carr, Managing Director, Morgan Stanley.
Intuitions about bond yields can be used to model implied volatilities and vice versa. In particular, we link the shape of the yield curve to the graph of (normal) implied volatilities across strikes.
About Peter Carr:
Dr. Peter Carr is a Managing Director and Global Head of Market Modeling at Morgan Stanley overseeing several quantitative teams spread over three continents. He also presently serves as the Executive Director of the Math Finance program at NYU’s Courant Institute. Dr. Carr is a leading practitioner in the application of Financial Mathematics and Engineering to industry. He was included in Institutional Investor’s Tech 50, an annual listing of the 50 most influential people in financial technology.