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 years Dr. Carr been FRE dept. chair, applications increased from 1,300 per year to 1,900 per year. The number of FRE Masters students in residence was the highest in any 2-year period. For the incoming 2018 class, current verbal GRE is 169/170 and GPA is 3.82. FRE moved up in Quantnet rankings both years. An online summer course was initiated last summer and an on-campus bootcamp will be initiated this summer. Six electives on machine learning in finance were introduced. The distance learning room will become operational this summer.
University of Toronto1981
University of Toronto1983
University of California1989
Banc of America Securities
From: January 1999 to May 2001
NYU Courant Institute
Director Masters MF Program
From: June 2003 to May 2016
Head of Quantitative Financial Research
From: May 2003 to March 2010
Global Head of Market Modeling
From: April 2010 to April 2016
- Convex Duality and Mathematical Finance, Springer US (forthcoming).
- "FX Options in Target Zones," Quantitative Finance, vol. 17, issue 10, 2017.
- "Why Is VIX a Fear Gauge?," Risk and Decision Analysis, vol. 6, no. 2, pp. 179-185, 2017.
- “Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions,” with L. Wu, Journal of Financial and Quantitative Analysis,2017.
- “Hall of Mirrors,” Wilmott, May 2017.
- "Bounded Brownian Motion," Risks, 5(4) 61, 2017.
- “Local Variance Gamma and Explicit Calibration to Option Prices,” with L. Nadtochiy, Mathematical Finance, vol. 27, no. 1 (2017), pp. 151–93.
- “Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer,” with G. Rosenberg, A. Haghnegahdar, P. Goddard, K. Wu, and M. De Prado, IEEE Journal of Selected Topics in Signal Processing, vol. 10, no. 6 (2016), pp. 1053–60.
- “Implied Remaining Variance with Application to Bachelier Model,” with J. Sun, Q. Niu, and S. Cao, The Journal of Fixed Income, vol. 26, no. 2 (2016), pp. 78–95.
- “Hedging Insurance Books,” with D.B. Madan, M. Melamed, and W. Schoutens, Insurance: Mathematics and Economics, vol. 70 (2016), pp. 364–72.
- “Adjusting Exponential Lévy Models Toward the Simultaneous Calibration of Market Prices for Crash Cliquets,” with A. Khanna and D.B. Madan, Journal of Computational Finance, vol. 20, no. 1 (2016), pp. 89–111.
- “Analyzing Volatility Risk and Risk Premium in Option Contracts: A New Theory,” with L. Wu, Journal of Financial Economics, vol. 120, no. 1 (2016), pp. 1–20.
- "Optimal Rates from Eigenvalues,” with P. Worah, Finance Research Letters, Vol. 16 (2016), pp. 230–38.
- “Joint Modeling of VIX and SPX Options at a Single and Common Maturity with Risk Management Applications,” with D.B. Madan, IIE Transactions, vol. 46, no. 11 (2014), pp. 1125–31.
- “On the Hedging of Options on Exploding Exchange Rates,” with J. Ruf and T. Fisher, Finance and Stochastics, vol. 18, no. 1, pp. 115–44.
- “Static Hedging of Standard Options,” with L. Wu, Journal of Financial Econometrics, vol. 12, no. 1 (2014), pp. 3–46.
- “First-Order Calculus and Option Pricing,” Journal of Financial Engineering, vol. 1, no. 1 (2014), pp. 1–19.
- “Implied Remaining Variance in Derivative Pricing,” with J. Sun, Journal of Fixed Income, vol. 23, no. 4 (2014), pp. 19–32.
- "Variation and Share-Weighted Variation Swaps on Time-Changed Lévy Processes," with R. Lee, Finance and Stochastics, vol. 17, no. 4 (2013), pp. 685–716.
- "Why Are Quadratic Normal Volatility Models Analytically Tractable?," with T. Fisher and J. Ruf, SIAM Journal on Financial Mathematics, vol. 4, no. 1 (2013), pp. 185–202.
- “Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models”, (with A. Itkin), Computational Economics, 40, 1, Jun., 2012, 63–104.
- “Variance Swaps on Time-Changed L´evy Processes”, (with R. Lee), Finance and Stochastics, Apr. 2012, 335-355.
- “Static Hedging under Time-Homogeneous Diffusions”, (with S. Nadtochiy), SIAM Journal on Financial Mathematics, 2, 1, Dec., 2011, 794–838.
- “Explicit Constructions of Martingales Calibrated to Given Implied Volatility Smiles”, (with L. Cousot), SIAM Journal on Financial Mathematics, 3 1, 2012, 182–214.
- “Factor Models for Option Pricing”, (with D. Madan), Asia-Pacific Financial Markets, Nov. 2011, 1-11.
- “Jumps without Tears: A New Splitting Technology for Barrier Options”, (with A. Itkin), International Journal of Numerical Analysis and Modeling, 8, 4, 2011, 667–704.
- “A Simple Robust Link Between American Puts and Credit Protection”, (with L. Wu), Review of Financial Studies, 24, 2, 2011, 473–505.
- “Multi-Asset Stochastic Local Variance Contracts”, (with P. Laurence), Mathematical Finance, 21,1, Jan. 2011, 2152.
- “Pricing Swaps and Options on Quadratic Variation Under Stochastic Time Change Models: Discrete Observations Case,” (with A. Itkin), Review of Derivatives Research, Springer, 13 2, July, 2010, 141–176.
- “Time Changed Markov Processes in Unified Credit-Equity Modeling”, (with R. Mendoza-Arriaga and V. Linetsky), Mathematical Finance, 20, 2010, 527569.
- “A Class of L´evy Process Models with almost exact calibration of both barrier and vanilla FX options”, (with J. Crosby), Quantitative Finance, May 2010, 1-22.
- “Options on Realized Variance and Convex Orders”, (with H. Geman, D. Madan, and M. Yor), Quantitative Finance, April 2010, 1-10.
- “Hedging Variance Options on Continuous Semimartingales”, (with R. Lee), Finance and Stochastics,14, 2, Feb. 2010, 179–207.
- “Local Volatility Enhanced by a Jump to Default”, (with D. Madan), SIAM Journal on Financial Mathematics, 1, Jan. 2010 2–15.
- “Volatility Derivatives”, (with R. Lee), Annual Review of Financial Economics, Volume 1, Dec. 2009.
- “Put-Call Symmetry: Extensions and Applications”, (with R. Lee), Mathematical Finance, 19, 4, Oct. 2009, 523–560.
- “Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation”, (with L. Wu), Journal of Financial Econometrics, July 2009, 1–41.
- “Variance Risk Premia”, (with L. Wu), Review of Financial Studies, 22, March, 2009.
- “On the qualitative effect of volatility and duration on prices of Asian options”, (with C. Ewald, and Y. Xiao), Finance Research Letters, Sept. 2008.
- “Stochastic Risk Premiums: Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economics”, (with L. Wu and G. Bakshi), Journal of Financial Economics, 87, 132–156.
- “Stochastic Skew for Currency Options”, (with L. Wu), Journal of Financial Economics, 2007, 86 1, 213–247.
- “A New Approach for Option Pricing Under Stochastic Volatility”, (with J. Sun), Review of Derivatives Research, 10, 2, 87–150.
- ”On the Numerical Valuation of Option Prices in Jump Diffusion Processes”, (with A. Mayo), The European Journal of Finance, 2007, 13 4, 353–372.
- “Theory and Evidence on the Dynamic Interactions Between Sovereign Credit Default Swaps and Currency Options”, (with L. Wu), Journal of Banking and Finance, 31, 8, 2007, 2383-2403.
- “Self-Decomposability and Option Pricing”, (with D. Madan, H. G´eman, and M. Yor), Mathematical Finance, 7, 1, 2007, 31–57.
- “A Jump to Default Extended CEV Model: An Application of Bessel Processes”, (with V. Linetsky), Finance and Stochastics, 2006, 10, 303-330.
- “Generating Integrable One Dimensional Driftless Diffusions”, (with P. Laurence and T. Wang), Comptes Rendus de l’Acad´emie des Sciences, 343, 6, Sept. 2006, 393-398.
- “A Note on Sufficient Conditions for No Arbitrage”, (with D. Madan), Finance Research Letters, 2005, 2, 3.
- “Pricing Options on Realized Variance”, (with D. Madan, H. G´eman, and M. Yor), Finance and Stochastics, IX, 4.
- “From Local Volatility to Local L´evy Models”, (with D. Madan, H. G´eman, and M. Yor), Quantitative Finance, October 2004, 4, 5, 581–588.
- “Time-Changed L´evy Processes And Option Pricing”, (with L. Wu), Journal of Financial Economics, January 2004, 71, 1, 113–141.
- “Bessel Processes, The Integral of Geometric Brownian Motion, and Asian options”, (with M. Schr¨oder), Theory of Probability and its Applications, 2004, 48, 3, 400–425.
- “What Type of Process Underlies Options: A Simple Robust Test”, (with L. Wu), Journal of Finance, December 2003, 68, 6, 2581–2610.
- “Stochastic Volatility for L´evy Processes”, (with H. G´eman, D. Madan, and M. Yor), Mathematical Finance, July 2003, 345–382.
- “The Finite Moment Logstable Process And Option Pricing”, (with L. Wu), Journal of Finance, April 2003, 753–778.
- “The Fine Structure of Asset Returns: An Empirical Investigation”, (with H. G´eman, D. Madan, and M. Yor), Journal of Business, 75, 2002, 2, 305–32.
- “Pricing and Hedging in Incomplete Markets”, (with H. G´eman and D. Madan), Journal of Financial Economics, 62, 2001, 131–167.
- “Optimal Positioning in Derivative Securities,” (with D. Madan), 2001, Quantitative Finance, 1, 1, 19–37.
- “The Valuation of Executive Stock Options in an Intensity-Based Framework”, (with V. Linetsky), European Finance Review, 4, 2000, 211-http://engineering.nyu.edu/files/FRLarticle.pdf230.
- “Optimal Investment in Derivative Securities”, (with D. Madan and X. Jin), Finance and Stochastics, 5, 1, 33-60.
- “The Variance Gamma Process and Option Pricing”, 1998, (with D. Madan), European Finance Review, 2, 79–105.
- “Static Hedging of Exotic Options,” June 1998, (with K. Ellis and V. Gupta), Journal of Finance,1165-90. Reprinted in Quantitative Analysis of Financial Markets, M. Avellaneda, ed., 152–176.
- “Randomization and the American Put,” 1998, Review of Financial Studies, 11, 3, 597–626.
- “Alternative Characterizations of American Put Options,” (with R. Jarrow and R. Myneni), Mathematical Finance, April 1992, 87–105.
- “The Stop-Loss Start-Gain Strategy and Option Valuation,” (with R. Jarrow), Review of Financial Studies, Fall 1990, 469–92.
- “The Valuation of Sequential Exchange Opportunities,” Journal of Finance, Dec. 1988, 1235–56.
- “A Note on the Pricing of Commodity-Linked Bonds,” Journal of Finance, Sept. 1987, 1071–76.
- “Forward Evolution Equations for KnockOut Options,” (with A. Hirsa), Advances in Mathematical Finance (Festschrift in honor of the 60th birthday of Dilip Madan), Birkhauser Boston, July 2007, M.C. Fu, R.A. Jarrow, J.-Y. Yen, and R.J. Elliott, ed.,
- “Real Options and the Timing and Implementation of Emission Limits Under Ecological Uncertainty,” 1999, (with J. Saphores), in Project Flexibility, Agency, and Competition, Oxford University Press, M. J. Brennan and L. Trigeorgis, ed.
- “Learning and Exercising Options to Reduce Capital Project Risk,” 1999, (with L. Chorn), in Risk Options and Business Strategy, Risk Publications, L. Trigeorgis, ed., pp. 279–94.
- “Determining Volatility Surfaces and Option Values from an Implied Volatility Smile,” (with D. Madan), Quantitative Analysis of Financial Markets, vol. II, M. Avellaneda, ed., pp. 163–91.
- “Simulating Bermudan Interest Rate Derivatives,” (with G. Yang), Quantitative Analysis of Financial Markets, vol. II, M. Avellaneda, ed., pp. 295–316.
- “A Discrete Time Synthesis of Derivative Security Valuation Using a Term Structure of Futures Prices,” (with R. Jarrow), in the Finance Volume of Handbooks in Operations Research and Management Science, R. Jarrow, V. Maksimovic, & B. Ziemba, ed., pp. 225–49.
- “The Valuation of American Exchange Options with Application to Real Options,” Real Options in Capital Investment: New Contributions, L. Trigeorgis, ed., pp. 109–20,
- “Valuing Bonds with Detachable Warrants,” Japanese Financial Market Research, pp. 467–79, W. Bailey, Y. Hamao, & B. Ziemba, eds.
- Dilip Madan 70th Birthday, NYU Tandon School of Engineering
- 2nd annual Eastern Conference on Mathematical Finance, Columbia University
- New Ideas & Cutting-Edge Developments in FinTech, Courant Institute of Mathematical Sciences
- Dupire 60th Birthday conference, November 24-28, 2018
- Fields Institute 25th Anniversary, October 25, 2018
- Bachelier Congress, July 16-20, 2018
- Risk Management and Trading Conference, June 20-23, 2018
- Bloomberg lightning talk May 24, 2018: Are you a Trader or a Quant?
- Quant Minds International/ICBI, May 15, 2018
- GARP 19th Risk Convention, March 6-7, 2018 NYC
- IPAM Concluding Conference Lake Arrowhead, December 9, 2017
- FMA Keynote Address, November 10, 2017
- Global Derivatives USA, Risk, November 17, 2017
- Risk Management and Trading Conference, June 21-24, 2017