A unique conference celebrates a unique figure in the world of financial engineering

The Peter Carr Memorial Conference, held at NYU Tandon in early June, highlighted the vast web of connections the pioneering financial scholar had forged.


Prof. Barry Blecherman and an FRE student at The Peter Carr Memorial Conference
Professor Barry Blecherman and an MSFE student stop for a photo at The Peter Carr Memorial Conference.

The agenda for the Peter Carr Memorial Conference was undeniably impressive. Speaker after speaker could claim credentials from the best financial engineering programs and most iconic companies in the world. Bloomberg, Amazon, and UBS were represented, along with the University of Chicago, the University of London, and Italy’s Bocconi University — and that was just the tip of the iceberg. 

Prof. David Shimko introduces Dilip Madan at The Peter Carr Memorial Conference
Professor David Shimko introduces Dilip Madan at The Peter Carr Memorial Conference.

What was even more noteworthy than the stature of the presenters at the three-day event was the fact that each had a close professional and scholarly connection to Carr, the late chair of NYU Tandon’s Department of Finance and Risk Engineering (FRE), who served as a teacher, mentor, colleague, or co-author to so many. They included:

  • Dilip Madan, Professor Emeritus of Mathematical Finance at the University of Maryland, Morgan Stanley consultant, 2021 IAQF Financial Engineer of the Year — and Carr’s collaborator on the Carr-Madan Formula, which shows how the fast Fourier transform can be used to value options when the characteristic function of the return is known analytically, as well as the “M” in the CGMY model of pricing derivatives. 
     
  • Bruno Dupire, a Risk Magazine hall-of-famer who now serves as head of Quantitative Research at Bloomberg — a division that Carr himself once helmed. Writing about quant research at Bloomberg in the days when Carr and Dupire were both there, one financial journalist asserted: “There is no quant finance problem that this team cannot solve, and the number of innovative as well as practical implementations emerging from [them] is just astonishing. What else would one expect from such a quant dream team?”
     
  • Hélyette Geman, a Research Professor at Johns Hopkins University and a Professor of Mathematical Finance at the University of London, who represents the “G” in the CGMY model of pricing derivatives and whose former students include such financial luminaries as Nassim Taleb. 
     
  • Liuren Wu, the Wollman Distinguished Professor of Finance at Baruch College and a frequent paper co-author of Carr on topics such as option profit, loss attribution, and pricing; static hedging of standard options; and using machine learning to predict realized variance.
     
  • Robert Jarrow, Cornell professor, director of research at Kamakura Corporation, and recipient of Risk Magazine’s Lifetime Achievement Award, who had known Carr from the time Carr was a student attending a pioneering inaugural financial engineering conference in 1989. 
     
  • Ségolène Dessertine-Panhard of Amazon Web Services, a former post-doctoral associate of Carr’s who traveled all the way from Paris to participate in the conference and who asserts: “Peter quite simply changed the course of my life with his suggestion that I begin exploring cloud computing for leveraging the financial ML models I was teaching at FRE. He sparked that interest, inspired me to dig deeper, and helped shape me into the professional I am today.” 

Like Dessertine-Panhard, many of the speakers used the word “inspiring” in connection to their relationships with Carr. Bruno Kamdem, whose talk was entitled “Tradable Carbon Permit Auctions Under Regulation and Competition,” recalled how Carr had recruited him to come to teach a course focused on ESG factors — an acronym that refers to the environment (encompassing a company’s carbon footprint and overall sustainability efforts), social (which takes into account hiring practices, diversity, and commitment to the broader good), and governance (the ways in which the company’s board and management seek to encourage positive change and stakeholder satisfaction) — sensing that with a  growing number of investors around the world considering these untraditional metrics during their decision-making process, it's becoming more and more important that Tandon’s financial-engineering grads have a firm grasp of the area. “The fact that Tandon now has a course on this vital topic is due to Peter,” Kamdem said. “He was a visionary in many ways, and I think the department will move forward following his example. On a personal level, I’m going to continue to be inspired by not only his scholarship but his humility, generosity, and kindness.”

Professor Bruno Kamdem presents at The Peter Carr Memorial Conference.
Professor Bruno Kamdem presents at The Peter Carr Memorial Conference.

Others were touched by Carr’s consistently exhibited joie-de-vivre. Pasquale Cirillo of the ZHAW School of Management and Law, in Switzerland, traveled to the U.S. regularly to teach at the summer boot camps Carr arranged for his students. “We met originally through our mutual colleague Nassim Taleb, and naturally we had financial engineering in common,” Cirillo recalls, “but we could just as often be found discussing where we were going to have dinner together, who made the best pizza, and our ideal meal. When you go out to eat, the friends you’re with are a fundamental component, and there was no one better to be with than Peter.”

Professor Pasquale Cirillo presents at The Peter Carr Memorial Conference. The slide on the screen says "Simply put, Peter was a terrific person."
Professor Pasquale Cirillo presents at The Peter Carr Memorial Conference. The slide on the screen says "Simply put, Peter was a terrific person. I have learned a lot from him."

Carr could, by all accounts, make even the most average work day into something special for his colleagues. “I often got to the office early to get a jumpstart on administrative work,” Barry Blecherman, the interim FRE chair and a person Carr often described as his “right hand,” says. “Peter would, without fail, come in excited about something, whether that was a piece of volatility research or the performance of an athlete he had watched the night before. It was a joy and a privilege to listen to him, and it always changed the tenor of my day.”

Many of the more than 700 registrants to the event could probably tell similar stories of their own, and most would surely agree that the conference was a fitting tribute to a man whose life’s work involved building not just financial models but bridges among people.

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