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.
- 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