Peter Carr

Finance and Risk Engineering Department Chair; Professor

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Peter Carr

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 quant 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 Toronto 1981
Com, Accounting/Economics

University of Toronto 1983
MBA, Accounting/Finance

University of California, 1989
PhD, Finance


Banc of America Securities
Principal
From: January 1999 to May 2001

NYU Courant Institute
Director Masters MF Program
From: June 2003 to May 2016

Bloomberg LP
Head of Quantitative Financial Research
From: May 2003 to March 2010

Morgan Stanley
Global Head of Market Modeling
From: April 2010 to April 2016


Journal publications:

Book publications:

  • “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” (with J. Saphores), in Project Flexibility, Agency, and Competition, Oxford University Press, M. J. Brennan and L. Trigeorgis, ed., 1999.
  • “Learning and Exercising Options to Reduce Capital Project Risk” (with L. Chorn), in Risk Options and Business Strategy, Risk Publications, L. Trigeorgis, ed., 1999, 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.

Co-organized Conferences

Conference Presentations

  • 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