IDEAS home Printed from https://ideas.repec.org/d/g/fguclus.html
 

Publications

by alumni of

Finance Group
Anderson Graduate School of Management
University of California-Los Angeles (UCLA)
Los Angeles, California (United States)

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.

| Working papers | Journal articles | Chapters |

Working papers

2023

  1. Al-Jaaf, Asty & Carr, Peter, 2023. "Vol, Skew, and Smile Trading," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 140532, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).

2022

  1. P. Carr & A. Itkin & D. Muravey, 2022. "Semi-analytical pricing of barrier options in the time-dependent Heston model," Papers 2202.06177, arXiv.org.

2021

  1. Peter Carr & Roger Lee & Matthew Lorig, 2021. "Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions," Papers 2107.00554, arXiv.org.
  2. Matteo Garzoli & Alberto Plazzi & Rossen I. Valkanov, 2021. "Backcasting, Nowcasting, and Forecasting Residential Repeat-Sales Returns: Big Data meets Mixed Frequency," Swiss Finance Institute Research Paper Series 21-21, Swiss Finance Institute.
  3. Ruggero Jappelli & Loriana Pelizzon & Alberto Plazzi, 2021. "The Core, the Periphery, and the Disaster: Corporate-Sovereign Nexus in COVID-19 Times," Swiss Finance Institute Research Paper Series 21-30, Swiss Finance Institute.

2020

  1. Peter Carr & Andrey Itkin, 2020. "Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process," Papers 2003.08853, arXiv.org, revised Mar 2020.
  2. Peter Carr & Andrey Itkin & Dmitry Muravey, 2020. "Semi-closed form prices of barrier options in the time-dependent CEV and CIR models," Papers 2005.05459, arXiv.org.
  3. Caporin, Massimiliano & Pelizzon, Loriana & Plazzi, Alberto, 2020. "Does monetary policy impact international market co-movements?," SAFE Working Paper Series 276, Leibniz Institute for Financial Research SAFE.

2019

  1. Peter Carr & Andrey Itkin, 2019. "ADOL - Markovian approximation of rough lognormal model," Papers 1904.09240, arXiv.org.
  2. Peter Carr & Andrey Itkin & Sasha Stoikov, 2019. "A model-free backward and forward nonlinear PDEs for implied volatility," Papers 1907.07305, arXiv.org.
  3. Peter Carr & Sander Willems, 2019. "A lognormal type stochastic volatility model with quadratic drift," Papers 1908.07417, arXiv.org.
  4. Peter Carr & Liuren Wu & Zhibai Zhang, 2019. "Using Machine Learning to Predict Realized Variance," Papers 1909.10035, arXiv.org.
  5. Andrea Berardi & Michael Markovich & Alberto Plazzi & Andrea Tamoni, 2019. "Mind the (Convergence) Gap: Bond Predictability Strikes Back!," Swiss Finance Institute Research Paper Series 19-52, Swiss Finance Institute.
  6. Andrea Berardi & Alberto Plazzi, 2019. "Dissecting the Yield Curve: The International Evidence," Swiss Finance Institute Research Paper Series 19-73, Swiss Finance Institute.

2018

  1. Peter Carr & Andrey Itkin, 2018. "An Expanded Local Variance Gamma model," Papers 1802.09611, arXiv.org, revised Dec 2018.
  2. Peter Carr & Zhibai Zhang, 2018. "Generalizing Geometric Brownian Motion," Papers 1809.02245, arXiv.org.
  3. Peter Carr & Andrey Itkin, 2018. "Geometric Local Variance Gamma model," Papers 1809.07727, arXiv.org, revised Dec 2018.
  4. Andrea Berardi & Alberto Plazzi, 2018. "Inflation Risk Premia, Yield Volatility and Macro Factors," Swiss Finance Institute Research Paper Series 18-13, Swiss Finance Institute, revised Mar 2018.

2017

  1. Peter Carr & Roger Lee & Matthew Lorig, 2017. "Pricing Variance Swaps on Time-Changed Markov Processes," Papers 1705.01069, arXiv.org, revised Nov 2019.
  2. Massimiliano Caporin & Loriana Pelizzon & Alberto Plazzi, 2017. "Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets," Swiss Finance Institute Research Paper Series 17-47, Swiss Finance Institute.
  3. Priyank Gandhi & Benjamin Golez & Jens Carsten Jackwerth & Alberto Plazzi, 2017. "Financial Market Misconduct and Public Enforcement: The Case of Libor Manipulation," Swiss Finance Institute Research Paper Series 17-53, Swiss Finance Institute.

2016

  1. Marc Gerritzen & Jens Carsten Jackwerth & Alberto Plazzi, 2016. "Birds of a Feather – Do Hedge Fund Managers Flock Together?," Swiss Finance Institute Research Paper Series 16-10, Swiss Finance Institute, revised Jul 2020.
  2. Priyank Gandhi & Hanno N. Lustig & Alberto Plazzi, 2016. "Equity is Cheap for Large Financial Institutions: The International Evidence," Swiss Finance Institute Research Paper Series 16-22, Swiss Finance Institute, revised Jun 2016.
  3. Priyank Gandhi & Patrick Christian Kiefer & Alberto Plazzi, 2016. "A False Sense of Security: Why U.S. Banks Diversify and Does it Help?," Swiss Finance Institute Research Paper Series 16-43, Swiss Finance Institute.
  4. Alberto Plazzi & Walter N. Torous, 2016. "Does Corporate Governance Matter? Evidence from the AGR Governance Rating," Swiss Finance Institute Research Paper Series 16-54, Swiss Finance Institute.

2015

  1. Peter Carr & Roger Lee & Matthew Lorig, 2015. "Robust replication of barrier-style claims on price and volatility," Papers 1508.00632, arXiv.org, revised Jan 2022.
  2. Gili Rosenberg & Poya Haghnegahdar & Phil Goddard & Peter Carr & Kesheng Wu & Marcos L'opez de Prado, 2015. "Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer," Papers 1508.06182, arXiv.org, revised Aug 2016.
  3. Peter Carr & Zura Kakushadze, 2015. "FX Options in Target Zone," Papers 1512.01527, arXiv.org, revised Jul 2016.

2014

  1. Peter P. Carr & Marcos Lopez de Prado, 2014. "Determining Optimal Trading Rules without Backtesting," Papers 1408.1159, arXiv.org, revised Sep 2014.

2013

  1. Peter Carr & Sergey Nadtochiy, 2013. "Local Variance Gamma and Explicit Calibration to Option Prices," Papers 1308.2326, arXiv.org, revised Jan 2014.
  2. Efe Cotelioglu & Francesco A. Franzoni & Alberto Plazzi, 2013. "What Constrains Liquidity Provision? Evidence From Hedge Fund Trades," Swiss Finance Institute Research Paper Series 13-10, Swiss Finance Institute.

2012

  1. Peter Carr & Travis Fisher & Johannes Ruf, 2012. "Why are quadratic normal volatility models analytically tractable?," Papers 1202.6187, arXiv.org, revised Mar 2013.
  2. Peter Carr & Travis Fisher & Johannes Ruf, 2012. "On the Hedging of Options On Exploding Exchange Rates," Papers 1202.6188, arXiv.org, revised Nov 2013.

2011

  1. Eric Ghysels & Alberto Plazzi & Rossen I. Valkanov, 2011. "Conditional Skewness of Stock Market Returns in Developed and Emerging Markets and its Economic Fundamentals," Swiss Finance Institute Research Paper Series 11-06, Swiss Finance Institute.
  2. Alberto Plazzi & Walter N. Torous & Rossen I. Valkanov, 2011. "Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation," Swiss Finance Institute Research Paper Series 11-07, Swiss Finance Institute.

2010

  1. Andrey Itkin & Peter Carr, 2010. "Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models," Papers 1002.1995, arXiv.org.

2004

  1. Peter Carr & Liuren Wu, 2004. "Stochastic Skew in Currency Options," Finance 0409014, University Library of Munich, Germany.
  2. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, University Library of Munich, Germany.
  3. Peter Carr & Liuren Wu, 2004. "Static Hedging of Standard Options," Finance 0409016, University Library of Munich, Germany.
  4. Plazzi, Alberto & Torous, Walt & Valkanov, Rossen, 2004. "13-04 Expected Returns and the Expected Growth in Rents of Commercial Real Estate," University of California at Los Angeles, Anderson Graduate School of Management qt8c68m5tk, Anderson Graduate School of Management, UCLA.

2003

  1. M. Schroder & P. Carr, 2003. "Bessel processes, the integral of geometric Brownian motion, and Asian options," Papers math/0311280, arXiv.org.
  2. Helyette Geman & P. Carr & D. Madan & Marc Yor, 2003. "Stochastic Volatility for Levy Processes," Post-Print halshs-00144385, HAL.

2002

  1. Peter Carr & Liuren Wu, 2002. "Time-Changed Levy Processes and Option Pricing," Finance 0207011, University Library of Munich, Germany.
  2. Peter Carr & Liuren Wu, 2002. "The Finite Moment Log Stable Process and Option Pricing," Finance 0207012, University Library of Munich, Germany.
  3. Peter Carr & Liuren Wu, 2002. "What Type of Process Underlies Options? A Simple Robust Test," Finance 0207019, University Library of Munich, Germany.

2001

  1. Peter Carr & Michael Schroder, 2001. "On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited," Papers math/0102080, arXiv.org.

1998

  1. Saphores, Jean-Daniel M. & Carr, Peter, 1998. "Pollution Reduction, Environmental Uncertainty, and the Irreversibility Effect," Cahiers de recherche 9827, Université Laval - Département d'économique.

1996

  1. Peter Carr, 1996. "Valuing Finite-Lived Options as Perpetual," Finance 9607002, University Library of Munich, Germany.
  2. Peter Carr, 1996. "Randomization and the American Put," Finance 9610003, University Library of Munich, Germany.

Journal articles

2023

  1. Peter Carr & Liuren Wu, 2023. "Decomposing Long Bond Returns: A Decentralized Theory," Review of Finance, European Finance Association, vol. 27(3), pages 997-1026.

2022

  1. Sébastien Bossu & Peter Carr & Andrew Papanicolaou, 2022. "Static replication of European standard dispersion options," Quantitative Finance, Taylor & Francis Journals, vol. 22(5), pages 799-811, May.
  2. Berardi, Andrea & Plazzi, Alberto, 2022. "Dissecting the yield curve: The international evidence," Journal of Banking & Finance, Elsevier, vol. 134(C).

2021

  1. Peter Carr & Roger Lee & Matthew Lorig, 2021. "Robust replication of volatility and hybrid derivatives on jump diffusions," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1394-1422, October.
  2. P. Carr & A. Itkin, 2021. "An Expanded Local Variance Gamma Model," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 949-987, April.
  3. Peter Carr & Lorenzo Torricelli, 2021. "Additive logistic processes in option pricing," Finance and Stochastics, Springer, vol. 25(4), pages 689-724, October.
  4. Peter Carr & Roger Lee & Matthew Lorig, 2021. "Semi-Robust Replication of Barrier-Style Claims on Price and Volatility," Applied Mathematical Finance, Taylor & Francis Journals, vol. 28(6), pages 534-559, November.
  5. Sébastien Bossu & Peter Carr & Andrew Papanicolaou, 2021. "A functional analysis approach to the static replication of European options," Quantitative Finance, Taylor & Francis Journals, vol. 21(4), pages 637-655, April.
  6. Efe Çötelioğlu & Francesco Franzoni & Alberto Plazzi, 2021. "What Constrains Liquidity Provision? Evidence from Institutional Trades [Illiquidity and stock returns: cross-section and time-series effects]," Review of Finance, European Finance Association, vol. 25(2), pages 485-517.

2020

  1. Peter Carr & Liuren Wu, 2020. "Option Profit and Loss Attribution and Pricing: A New Framework," Journal of Finance, American Finance Association, vol. 75(4), pages 2271-2316, August.
  2. Peter Carr & Gianna Figà-Talamanca, 2020. "Spiking the Volatility Punch," Applied Mathematical Finance, Taylor & Francis Journals, vol. 27(6), pages 495-520, November.
  3. Priyank Gandhi & Hanno Lustig & Alberto Plazzi, 2020. "Equity Is Cheap for Large Financial Institutions," The Review of Financial Studies, Society for Financial Studies, vol. 33(9), pages 4231-4271.

2019

  1. Eric Ghysels & Alberto Plazzi & Rossen Valkanov & Antonio Rubia & Asad Dossani, 2019. "Direct Versus Iterated Multiperiod Volatility Forecasts," Annual Review of Financial Economics, Annual Reviews, vol. 11(1), pages 173-195, December.
  2. Priyank Gandhi & Benjamin Golez & Jens Carsten Jackwerth & Alberto Plazzi, 2019. "Financial Market Misconduct and Public Enforcement: The Case of Libor Manipulation," Management Science, INFORMS, vol. 65(11), pages 5268-5289, November.
  3. Andrea Berardi & Alberto Plazzi, 2019. "Inflation Risk Premia, Yield Volatility, and Macro Factors," Journal of Financial Econometrics, Oxford University Press, vol. 17(3), pages 397-431.

2018

  1. Nicholas A. J. Graham & Shaun K. Wilson & Peter Carr & Andrew S. Hoey & Simon Jennings & M. Aaron MacNeil, 2018. "Seabirds enhance coral reef productivity and functioning in the absence of invasive rats," Nature, Nature, vol. 559(7713), pages 250-253, July.

2017

  1. Peter Carr & Sergey Nadtochiy, 2017. "Local Variance Gamma And Explicit Calibration To Option Prices," Mathematical Finance, Wiley Blackwell, vol. 27(1), pages 151-193, January.
  2. Carr, Peter & Wu, Liuren, 2017. "Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(5), pages 2119-2156, October.
  3. Peter Carr, 2017. "Bounded Brownian Motion," Risks, MDPI, vol. 5(4), pages 1-11, November.
  4. Peter P. Carr & Zura Kakushadze, 2017. "FX options in target zones," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1477-1486, October.

2016

  1. Carr, Peter & Worah, Pratik, 2016. "Optimal rates from eigenvalues," Finance Research Letters, Elsevier, vol. 16(C), pages 230-238.
  2. Carr, Peter & Madan, Dilip B. & Melamed, Michael & Schoutens, Wim, 2016. "Hedging insurance books," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 364-372.
  3. Carr, Peter & Wu, Liuren, 2016. "Analyzing volatility risk and risk premium in option contracts: A new theory," Journal of Financial Economics, Elsevier, vol. 120(1), pages 1-20.
  4. Eric Ghysels & Alberto Plazzi & Rossen Valkanov, 2016. "Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry," Journal of Finance, American Finance Association, vol. 71(5), pages 2145-2192, October.

2014

  1. Peter Carr & Travis Fisher & Johannes Ruf, 2014. "On the hedging of options on exploding exchange rates," Finance and Stochastics, Springer, vol. 18(1), pages 115-144, January.
  2. Peter Carr & Dilip B. Madan, 2014. "Joint modeling of VIX and SPX options at a single and common maturity with risk management applications," IISE Transactions, Taylor & Francis Journals, vol. 46(11), pages 1125-1131, November.
  3. Peter Carr, 2014. "First-order calculus and option pricing," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 1-19.

2013

  1. Peter Carr & Liuren Wu, 2013. "Static Hedging of Standard Options," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 3-46, December.
  2. Peter Carr & Roger Lee, 2013. "Variation and share-weighted variation swaps on time-changed Lévy processes," Finance and Stochastics, Springer, vol. 17(4), pages 685-716, October.

2012

  1. Peter Carr & Dilip Madan, 2012. "Factor Models for Option Pricing," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(4), pages 319-329, November.
  2. Andrey Itkin & Peter Carr, 2012. "Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models," Computational Economics, Springer;Society for Computational Economics, vol. 40(1), pages 63-104, June.
  3. Peter Carr & Roger Lee & Liuren Wu, 2012. "Variance swaps on time-changed Lévy processes," Finance and Stochastics, Springer, vol. 16(2), pages 335-355, April.

2011

  1. Peter Carr & Liuren Wu, 2011. "A Simple Robust Link Between American Puts and Credit Protection," The Review of Financial Studies, Society for Financial Studies, vol. 24(2), pages 473-505.
  2. Peter Carr & Helyette Geman & Dilip Madan & Marc Yor, 2011. "Options on realized variance and convex orders," Quantitative Finance, Taylor & Francis Journals, vol. 11(11), pages 1685-1694.
  3. Peter Carr & Laurent Cousot, 2011. "A PDE approach to jump-diffusions," Quantitative Finance, Taylor & Francis Journals, vol. 11(1), pages 33-52.
  4. Peter Carr, 2011. "Semi-Static Hedging Of Barrier Options Under Poisson Jumps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(07), pages 1091-1111.
  5. Peter Carr & Hongzhong Zhang & Olympia Hadjiliadis, 2011. "Maximum Drawdown Insurance," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(08), pages 1195-1230.

2010

  1. Andrey Itkin & Peter Carr, 2010. "Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case," Review of Derivatives Research, Springer, vol. 13(2), pages 141-176, July.
  2. Peter Carr & Liuren Wu, 2010. "Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation," Journal of Financial Econometrics, Oxford University Press, vol. 8(4), pages 409-449, Fall.
  3. Peter Carr & Roger Lee, 2010. "Hedging variance options on continuous semimartingales," Finance and Stochastics, Springer, vol. 14(2), pages 179-207, April.
  4. Peter Carr & John Crosby, 2010. "A class of Levy process models with almost exact calibration to both barrier and vanilla FX options," Quantitative Finance, Taylor & Francis Journals, vol. 10(10), pages 1115-1136.
  5. Alberto Plazzi & Walter Torous & Rossen Valkanov, 2010. "Expected Returns and Expected Growth in Rents of Commercial Real Estate," The Review of Financial Studies, Society for Financial Studies, vol. 23(9), pages 3469-3519.

2009

  1. Peter Carr & Roger Lee, 2009. "Volatility Derivatives," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 319-339, November.
  2. Peter Carr & Liuren Wu, 2009. "Variance Risk Premiums," The Review of Financial Studies, Society for Financial Studies, vol. 22(3), pages 1311-1341, March.

2008

  1. Carr, Peter & Ewald, Christian-Oliver & Xiao, Yajun, 2008. "On the qualitative effect of volatility and duration on prices of Asian options," Finance Research Letters, Elsevier, vol. 5(3), pages 162-171, September.
  2. Bakshi, Gurdip & Carr, Peter & Wu, Liuren, 2008. "Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies," Journal of Financial Economics, Elsevier, vol. 87(1), pages 132-156, January.
  3. Peter Carr & Wim Schoutens, 2008. "Hedging Under The Heston Model With Jump-To-Default," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(04), pages 403-414.
  4. Alberto Plazzi & Walter Torous & Rossen Valkanov, 2008. "The Cross‐Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 36(3), pages 403-439, September.

2007

  1. Peter Carr & Hélyette Geman & Dilip B. Madan & Marc Yor, 2007. "Self‐Decomposability And Option Pricing," Mathematical Finance, Wiley Blackwell, vol. 17(1), pages 31-57, January.
  2. Carr, Peter & Wu, Liuren, 2007. "Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2383-2403, August.
  3. Carr, Peter & Wu, Liuren, 2007. "Stochastic skew in currency options," Journal of Financial Economics, Elsevier, vol. 86(1), pages 213-247, October.
  4. Peter Carr & Jian Sun, 2007. "A new approach for option pricing under stochastic volatility," Review of Derivatives Research, Springer, vol. 10(2), pages 87-150, May.
  5. Peter Carr & Anita Mayo, 2007. "On the Numerical Evaluation of Option Prices in Jump Diffusion Processes," The European Journal of Finance, Taylor & Francis Journals, vol. 13(4), pages 353-372.
  6. Eric Ghysels & Alberto Plazzi & Rossen Valkanov, 2007. "Valuation in US Commercial Real Estate," European Financial Management, European Financial Management Association, vol. 13(3), pages 472-497, June.

2006

  1. Peter Carr & Vadim Linetsky, 2006. "A jump to default extended CEV model: an application of Bessel processes," Finance and Stochastics, Springer, vol. 10(3), pages 303-330, September.

2005

  1. Carr, Peter & Madan, Dilip B., 2005. "A note on sufficient conditions for no arbitrage," Finance Research Letters, Elsevier, vol. 2(3), pages 125-130, September.
  2. Peter Carr & Hélyette Geman & Dilip Madan & Marc Yor, 2005. "Pricing options on realized variance," Finance and Stochastics, Springer, vol. 9(4), pages 453-475, October.
  3. Peter Carr & Alireza Javaheri, 2005. "The Forward Pde For European Options On Stocks With Fixed Fractional Jumps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 239-253.

2004

  1. Carr, Peter & Wu, Liuren, 2004. "Time-changed Levy processes and option pricing," Journal of Financial Economics, Elsevier, vol. 71(1), pages 113-141, January.
  2. Peter Carr & Helyette Geman & Dilip Madan & Marc Yor, 2004. "From local volatility to local Levy models," Quantitative Finance, Taylor & Francis Journals, vol. 4(5), pages 581-588.

2003

  1. Peter Carr & Liuren Wu, 2003. "The Finite Moment Log Stable Process and Option Pricing," Journal of Finance, American Finance Association, vol. 58(2), pages 753-777, April.
  2. Peter Carr & Liuren Wu, 2003. "What Type of Process Underlies Options? A Simple Robust Test," Journal of Finance, American Finance Association, vol. 58(6), pages 2581-2610, December.
  3. Peter Carr & Hélyette Geman & Dilip B. Madan & Marc Yor, 2003. "Stochastic Volatility for Lévy Processes," Mathematical Finance, Wiley Blackwell, vol. 13(3), pages 345-382, July.

2002

  1. Peter Carr & Helyette Geman, 2002. "The Fine Structure of Asset Returns: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 75(2), pages 305-332, April.

2001

  1. Carr, Peter & Geman, Helyette & Madan, Dilip B., 2001. "Pricing and hedging in incomplete markets," Journal of Financial Economics, Elsevier, vol. 62(1), pages 131-167, October.
  2. Dilip B. Madan & Xing Jin & Peter Carr, 2001. "Optimal investment in derivative securities," Finance and Stochastics, Springer, vol. 5(1), pages 33-59.
  3. P. Carr & D. Madan, 2001. "Optimal positioning in derivative securities," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 19-37.

2000

  1. Peter Carr & Vadim Linetsky, 2000. "The Valuation of Executive Stock Options in an Intensity-Based Framework," Review of Finance, European Finance Association, vol. 4(3), pages 211-230.

1998

  1. Dilip B. Madan & Peter P. Carr & Eric C. Chang, 1998. "The Variance Gamma Process and Option Pricing," Review of Finance, European Finance Association, vol. 2(1), pages 79-105.
  2. Carr, Peter, 1998. "Randomization and the American Put," The Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 597-626.

1995

  1. P. Carr, 1995. "Two extensions to barrier option valuation," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(3), pages 173-209.

1992

  1. Peter Carr & Robert Jarrow & Ravi Myneni, 1992. "Alternative Characterizations Of American Put Options," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 87-106, April.

1990

  1. Carr, Peter P & Jarrow, Robert A, 1990. "The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value," The Review of Financial Studies, Society for Financial Studies, vol. 3(3), pages 469-492.

1987

  1. Carr, Peter, 1987. "A Note on the Pricing of Commodity-Linked Bonds," Journal of Finance, American Finance Association, vol. 42(4), pages 1071-1076, September.

Chapters

2023

  1. P. Carr & L. Wu & Y. Zhang, 2023. "Probabilistic Interpretation of Black Implied Volatility," World Scientific Book Chapters, in: David Gershon & Alexander Lipton & Mathieu Rosenbaum & Zvi Wiener (ed.), Options — 45 years since the Publication of the Black–Scholes–Merton Model The Gershon Fintech Center Conference, chapter 3, pages 29-46, World Scientific Publishing Co. Pte. Ltd..
  2. Peter Carr & Umberto Cherubini, 2023. "Option Pricing Generators," World Scientific Book Chapters, in: Robert A Jarrow & Dilip B Madan (ed.), Peter Carr Gedenkschrift Research Advances in Mathematical Finance, chapter 6, pages 179-209, World Scientific Publishing Co. Pte. Ltd..

2020

  1. Alberto Plazzi & Walter Torous & Umit Yilmaz, 2020. "What You See Is What You Get But Do Investors Reward Good Corporate Governance When They See It?," World Scientific Book Chapters, in: Itzhak Venezia (ed.), Behavioral Finance A Novel Approach, chapter 4, pages 73-98, World Scientific Publishing Co. Pte. Ltd..

2013

  1. Ghysels, Eric & Plazzi, Alberto & Valkanov, Rossen & Torous, Walter, 2013. "Forecasting Real Estate Prices," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 509-580, Elsevier.

2008

  1. Peter P. Carr & Robert A. Jarrow, 2008. "The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 4, pages 61-84, World Scientific Publishing Co. Pte. Ltd..
  2. Peter Carr & Robert Jarrow & Ravi Myneni, 2008. "Alternative Characterizations Of American Put Options," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 5, pages 85-103, World Scientific Publishing Co. Pte. Ltd..

2002

  1. Peter Carr & Alex Lipton & Dilip Madan, 2002. "An Alternative Approach For Valuing Continuous Cash Flows," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume III), chapter 5, pages 110-130, World Scientific Publishing Co. Pte. Ltd..

2001

  1. Peter Carr & Dilip Madan, 2001. "Determining Volatility Surfaces And Option Values From An Implied Volatility Smile," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 6, pages 163-191, World Scientific Publishing Co. Pte. Ltd..
  2. Peter Carr & Guang Yang, 2001. "Simulating Bermudan Interest Rate Derivatives," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 11, pages 295-316, World Scientific Publishing Co. Pte. Ltd..

1999

  1. Peter Carr & Katrina Ellis & Vishal Gupta, 1999. "Static Hedging Of Exotic Options," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar, chapter 5, pages 152-176, World Scientific Publishing Co. Pte. Ltd..

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.