An Analog of Forward Interest Rates for OptionsFinance and Risk Engineering
You are cordially invited to attend the FRE Lecture Series in the Event MakerSpace - Rogers Hall, 1st Floor. Dr. Peter Carr will present a lecture on the following topic:
An Analog of Forward Interest Rates for Options
When interest rates must be non-negative, one can quote any positive forward interest rate term structure and generate an arbitrage-free discount curve.
We develop an analogous concept, which applicable to the problem of generating arbitrage-free option prices across strike price. While a quote of positive implied vol can lead to arbitrageable option prices, any positive quotation of our concept leads to arbitrage-free option prices across all strike prices at one maturity.
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. Hope you can join us.