Brooklyn Quant Experience Lecture Series: Peter Carr
The Department of Finance and Risk Engineering welcomes Peter Carr, Department Chair, NYU Tandon School of Engineering, FRE to the BQE Lecture Series.
Optionality as a Binary Operation
The owner of a married put has the option to receive either a fixed amount or the future value of a risky asset. We interpret the premium of a married put as a non-classical "sum" of the fixed amount and the current value of the risky asset. This "sum" is non-associative in the Black model so we develop an alternative model for which the "sum" is associative. We also develop a generalization of the married put called a stoption whose premium is a repeated "sum."
Peter Carr is the current Chair of the Finance and Risk Engineering Department at NYU Tandon School of Engineering. Prior to joining NYU, he headed various quant groups in the financial industry for twenty years. He has won numerous awards and has many publications in both academic and industry journals. He is currently ranked second in the world by Google Scholar for citations on derivatives and third in the world for citations on quantitative finance.