Brooklyn Quant Experience Lecture Series: Peter Carr
The Department of Finance & Risk Engineering welcomes Dr. Peter Carr to present a talk on "Addition, Multiplication and Options" as part of the Brooklyn Quant Experience (BQE) Lecture Series*.
We treat optionality as a binary operation, on an equal footing with addition and multiplication.
We begin with optionality between real-valued securities, but then use a change of arithmetic to cover optionality between assets whose prices are never negative.
We conclude with several examples illustrating how changes of arithmetic can connect disparate geometric and financial truths.
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.
In the 2.5 years Dr. Carr has been FRE dept. chair, applications increased from 1,300 per year to 1,800 per year. For the 2018 class, current quant GRE is 169/170 and GPA is 3.82. FRE moved up in QuantNet rankings both years. An online summer course was initiated 2 summers ago and an on-campus bootcamp was initiated this past summer. Six electives on machine learning in finance were introduced. The distance learning room became operational this past summer.
Attendance is free and highly encouraged. When possible, slides will be made available after the talk.
Refreshments will be served.