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Publications

by alumni of

University of California-Los Angeles (UCLA) → Anderson Graduate School of Management → Finance Group

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, Aşty & Carr, Peter, 2023, "Vol, Skew, and Smile Trading," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 140532.
  2. Alberto Plazzi & Andrea Tamoni & Marco Zanotti, 2023, "Financial Intermediaries and Demand for Duration," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 23-94, Oct.

2022

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

2021

  1. Peter Carr & Roger Lee & Matthew Lorig, 2021, "Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions," Papers, arXiv.org, number 2107.00554, Jul.
  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, Swiss Finance Institute, number 21-21, Mar.
  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, Swiss Finance Institute, number 21-30, Apr.

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, arXiv.org, number 2003.08853, Mar, 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, arXiv.org, number 2005.05459, May.
  3. Caporin, Massimiliano & Pelizzon, Loriana & Plazzi, Alberto, 2020, "Does monetary policy impact international market co-movements?," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 276.

2019

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

2018

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

2017

  1. Peter Carr & Roger Lee & Matthew Lorig, 2017, "Pricing Variance Swaps on Time-Changed Markov Processes," Papers, arXiv.org, number 1705.01069, May, 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, Swiss Finance Institute, number 17-47, May.
  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, Swiss Finance Institute, number 17-53, Dec.

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, Swiss Finance Institute, number 16-10, Feb, 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, Swiss Finance Institute, number 16-22, Mar, 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, Swiss Finance Institute, number 16-43, Jul.
  4. Alberto Plazzi & Walter N. Torous, 2016, "Does Corporate Governance Matter? Evidence from the AGR Governance Rating," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-54, Sep.

2015

  1. Peter Carr & Roger Lee & Matthew Lorig, 2015, "Robust replication of barrier-style claims on price and volatility," Papers, arXiv.org, number 1508.00632, Aug, 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, arXiv.org, number 1508.06182, Aug, revised Aug 2016.
  3. Peter Carr & Zura Kakushadze, 2015, "FX Options in Target Zone," Papers, arXiv.org, number 1512.01527, Dec, revised Jul 2016.

2014

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

2013

  1. Peter Carr & Sergey Nadtochiy, 2013, "Local Variance Gamma and Explicit Calibration to Option Prices," Papers, arXiv.org, number 1308.2326, Aug, 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, Swiss Finance Institute, number 13-10, Mar.

2012

  1. Peter Carr & Travis Fisher & Johannes Ruf, 2012, "Why are quadratic normal volatility models analytically tractable?," Papers, arXiv.org, number 1202.6187, Feb, revised Mar 2013.
  2. Peter Carr & Travis Fisher & Johannes Ruf, 2012, "On the Hedging of Options On Exploding Exchange Rates," Papers, arXiv.org, number 1202.6188, Feb, revised Nov 2013.
  3. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2012, "Bank regulation and stability: An examination of the Basel market risk framework," Discussion Papers, Deutsche Bundesbank, number 09/2012.

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, Swiss Finance Institute, number 11-06, Feb.
  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, Swiss Finance Institute, number 11-07, Jan.

2010

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

2004

  1. Peter Carr & Liuren Wu, 2004, "Stochastic Skew in Currency Options," Finance, University Library of Munich, Germany, number 0409014, Sep.
  2. Peter Carr & Liuren Wu, 2004, "Variance Risk Premia," Finance, University Library of Munich, Germany, number 0409015, Sep.
  3. Peter Carr & Liuren Wu, 2004, "Static Hedging of Standard Options," Finance, University Library of Munich, Germany, number 0409016, Sep.
  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, Anderson Graduate School of Management, UCLA, number qt8c68m5tk, Jul.
  5. Santa-Clara, Pedro & Yan, Shu, 2004, "Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA, number qt5dv8v999, Sep.

2003

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

2002

  1. Peter Carr & Liuren Wu, 2002, "Time-Changed Levy Processes and Option Pricing," Finance, University Library of Munich, Germany, number 0207011, Aug.
  2. Peter Carr & Liuren Wu, 2002, "The Finite Moment Log Stable Process and Option Pricing," Finance, University Library of Munich, Germany, number 0207012, Aug.
  3. Peter Carr & Liuren Wu, 2002, "What Type of Process Underlies Options? A Simple Robust Test," Finance, University Library of Munich, Germany, number 0207019, Sep.
  4. Ledoit, Olivier & Santa-Clara, Pedro & Yan, Shu, 2002, "Relative Pricing of Options with Stochastic Volatility," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA, number qt7jp8f42t, Jul.

2001

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

2000

  1. Aliber, Robert Z. & Chowdhry, Bhagwan & Yan, Shu, 2000, "Transactions Costs in the Foreign Exchange Market," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA, number qt4qw3p6rp, Nov.
  2. Torous, Walter & Yan, Shu, 2000, "Predictive Regressions Revisited," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA, number qt7w92x2ch, Dec.

1998

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

1996

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

Journal articles

2026

  1. Jia, Yuecheng & Simkins, Betty & Yan, Shu & Zhang, Hongyu & Zhao, Jiangyu, 2026, "Psychological anchoring effect and cross section of cryptocurrency returns," Journal of Banking & Finance, Elsevier, volume 182, issue C, DOI: 10.1016/j.jbankfin.2025.107592.

2024

  1. Peter Carr & Lorenzo Torricelli, 2024, "Convex duality in continuous option pricing models," Annals of Operations Research, Springer, volume 336, issue 1, pages 1013-1037, May, DOI: 10.1007/s10479-022-05143-y.
  2. Marc Gerritzen & Jens Jackwerth & Alberto Plazzi, 2024, "Birds of a Feather: Do Hedge Fund Managers Flock Together?," Management Science, INFORMS, volume 70, issue 5, pages 2976-2998, May, DOI: 10.1287/mnsc.2023.4843.
  3. Jia, Yuecheng & Xu, Zheng & Yan, Shu & Zhang, Runyu, 2024, "Nominal price illusion, return skewness, and momentum," Finance Research Letters, Elsevier, volume 67, issue PB, DOI: 10.1016/j.frl.2024.105899.
  4. Jia, Yuecheng & Liu, Yuzheng & Wu, Yangru & Yan, Shu, 2024, "Information spillover and cross-predictability of currency returns: An analysis via Machine Learning," Journal of Banking & Finance, Elsevier, volume 169, issue C, DOI: 10.1016/j.jbankfin.2024.107313.

2023

  1. Peter Carr & Liuren Wu, 2023, "Decomposing Long Bond Returns: A Decentralized Theory," Review of Finance, European Finance Association, volume 27, issue 3, pages 997-1026.
  2. Jian Wang & Yanhuang Huang & Hongrui Feng & Xingjian Li & Shu Yan, 2023, "CEO incentive compensation and stock price momentum," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, volume 63, issue S1, pages 975-1028, April, DOI: 10.1111/acfi.13035.
  3. Jia, Yuecheng & Wu, Yangru & Yan, Shu & Liu, Yuzheng, 2023, "A seesaw effect in the cryptocurrency market: Understanding the return cross predictability of cryptocurrencies," Journal of Empirical Finance, Elsevier, volume 74, issue C, DOI: 10.1016/j.jempfin.2023.101428.

2022

  1. Sébastien Bossu & Peter Carr & Andrew Papanicolaou, 2022, "Static replication of European standard dispersion options," Quantitative Finance, Taylor & Francis Journals, volume 22, issue 5, pages 799-811, May, DOI: 10.1080/14697688.2022.2040743.
  2. Berardi, Andrea & Plazzi, Alberto, 2022, "Dissecting the yield curve: The international evidence," Journal of Banking & Finance, Elsevier, volume 134, issue C, DOI: 10.1016/j.jbankfin.2021.106286.

2021

  1. Peter Carr & Roger Lee & Matthew Lorig, 2021, "Robust replication of volatility and hybrid derivatives on jump diffusions," Mathematical Finance, Wiley Blackwell, volume 31, issue 4, pages 1394-1422, October, DOI: 10.1111/mafi.12327.
  2. P. Carr & A. Itkin, 2021, "An Expanded Local Variance Gamma Model," Computational Economics, Springer;Society for Computational Economics, volume 57, issue 4, pages 949-987, April, DOI: 10.1007/s10614-020-10000-w.
  3. Peter Carr & Lorenzo Torricelli, 2021, "Additive logistic processes in option pricing," Finance and Stochastics, Springer, volume 25, issue 4, pages 689-724, October, DOI: 10.1007/s00780-021-00461-8.
  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, volume 28, issue 6, pages 534-559, November, DOI: 10.1080/1350486X.2022.2110130.
  5. Sébastien Bossu & Peter Carr & Andrew Papanicolaou, 2021, "A functional analysis approach to the static replication of European options," Quantitative Finance, Taylor & Francis Journals, volume 21, issue 4, pages 637-655, April, DOI: 10.1080/14697688.2020.1810857.
  6. Andrea Berardi & Michael Markovich & Alberto Plazzi & Andrea Tamoni, 2021, "Mind the (Convergence) Gap: Bond Predictability Strikes Back!," Management Science, INFORMS, volume 67, issue 12, pages 7888-7911, December, DOI: 10.1287/mnsc.2020.3847.
  7. 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, volume 25, issue 2, pages 485-517.
  8. Li, Xingjian & Feng, Hongrui & Yan, Shu & Wang, Heng, 2021, "Dispersion in analysts’ target prices and stock returns," The North American Journal of Economics and Finance, Elsevier, volume 56, issue C, DOI: 10.1016/j.najef.2021.101385.
  9. Jia, Yuecheng & Liu, Yuzheng & Yan, Shu, 2021, "Higher moments, extreme returns, and cross–section of cryptocurrency returns," Finance Research Letters, Elsevier, volume 39, issue C, DOI: 10.1016/j.frl.2020.101536.
  10. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2021, "Regulation of bank proprietary trading post 2007–09 crisis: An examination of the Basel framework and Volcker rule," Journal of International Money and Finance, Elsevier, volume 119, issue C, DOI: 10.1016/j.jimonfin.2021.102490.

2020

  1. Peter Carr & Liuren Wu, 2020, "Option Profit and Loss Attribution and Pricing: A New Framework," Journal of Finance, American Finance Association, volume 75, issue 4, pages 2271-2316, August, DOI: 10.1111/jofi.12894.
  2. Peter Carr & Gianna Figà-Talamanca, 2020, "Spiking the Volatility Punch," Applied Mathematical Finance, Taylor & Francis Journals, volume 27, issue 6, pages 495-520, November, DOI: 10.1080/1350486X.2021.1893196.
  3. Priyank Gandhi & Hanno Lustig & Alberto Plazzi, 2020, "Equity Is Cheap for Large Financial Institutions," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 9, pages 4231-4271.
  4. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2020, "Portfolio selection with mental accounts: An equilibrium model with endogenous risk aversion," Journal of Banking & Finance, Elsevier, volume 110, issue C, DOI: 10.1016/j.jbankfin.2019.07.019.
  5. Shingo Goto & Zhao Wang & Shu Yan, 2020, "Net Share Issuance and Asset Growth Effects: The Role of Managerial Incentives," Financial Analysts Journal, Taylor & Francis Journals, volume 76, issue 1, pages 63-81, January, DOI: 10.1080/0015198X.2019.1682427.

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, volume 11, issue 1, pages 173-195, December, DOI: 10.1146/annurev-financial-110217-02.
  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, volume 65, issue 11, pages 5268-5289, November, DOI: 10.1287/mnsc.2018.3065.
  3. Andrea Berardi & Alberto Plazzi, 2019, "Inflation Risk Premia, Yield Volatility, and Macro Factors," Journal of Financial Econometrics, Oxford University Press, volume 17, issue 3, pages 397-431.
  4. Hongrui Feng & Shu Yan, 2019, "CEO incentive compensation and stock liquidity," Review of Quantitative Finance and Accounting, Springer, volume 53, issue 4, pages 1069-1098, November, DOI: 10.1007/s11156-018-0775-9.

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, volume 559, issue 7713, pages 250-253, July, DOI: 10.1038/s41586-018-0202-3.

2017

  1. Peter Carr & Sergey Nadtochiy, 2017, "Local Variance Gamma And Explicit Calibration To Option Prices," Mathematical Finance, Wiley Blackwell, volume 27, issue 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, volume 52, issue 5, pages 2119-2156, October.
  3. Peter Carr, 2017, "Bounded Brownian Motion," Risks, MDPI, volume 5, issue 4, pages 1-11, November.
  4. Peter P. Carr & Zura Kakushadze, 2017, "FX options in target zones," Quantitative Finance, Taylor & Francis Journals, volume 17, issue 10, pages 1477-1486, October, DOI: 10.1080/14697688.2016.1238500.
  5. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2017, "Portfolio selection with mental accounts and estimation risk," Journal of Empirical Finance, Elsevier, volume 41, issue C, pages 161-186, DOI: 10.1016/j.jempfin.2016.07.012.

2016

  1. Carr, Peter & Worah, Pratik, 2016, "Optimal rates from eigenvalues," Finance Research Letters, Elsevier, volume 16, issue C, pages 230-238, DOI: 10.1016/j.frl.2015.12.003.
  2. Carr, Peter & Madan, Dilip B. & Melamed, Michael & Schoutens, Wim, 2016, "Hedging insurance books," Insurance: Mathematics and Economics, Elsevier, volume 70, issue C, pages 364-372, DOI: 10.1016/j.insmatheco.2016.05.002.
  3. Carr, Peter & Wu, Liuren, 2016, "Analyzing volatility risk and risk premium in option contracts: A new theory," Journal of Financial Economics, Elsevier, volume 120, issue 1, pages 1-20, DOI: 10.1016/j.jfineco.2016.01.004.
  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, volume 71, issue 5, pages 2145-2192, October.

2015

  1. Gordon J. Alexander & Alexandre M. Baptista & Shu Yan, 2015, "On Regulatory Responses to the Recent Crisis: An Assessment of the Basel Market Risk Framework and the Volcker Rule," Financial Markets, Institutions & Instruments, John Wiley & Sons, volume 24, issue 2-3, pages 87-125, May, DOI: 10.1111/fmii.12025.

2014

  1. Peter Carr & Travis Fisher & Johannes Ruf, 2014, "On the hedging of options on exploding exchange rates," Finance and Stochastics, Springer, volume 18, issue 1, pages 115-144, January, DOI: 10.1007/s00780-013-0218-3.
  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, volume 46, issue 11, pages 1125-1131, November, DOI: 10.1080/0740817X.2013.857063.
  3. Peter Carr, 2014, "First-order calculus and option pricing," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., volume 1, issue 01, pages 1-19, DOI: 10.1142/S2345768614500093.
  4. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2014, "Bank regulation and international financial stability: A case against the 2006 Basel framework for controlling tail risk in trading books," Journal of International Money and Finance, Elsevier, volume 43, issue C, pages 107-130, DOI: 10.1016/j.jimonfin.2014.01.001.

2013

  1. Peter Carr & Liuren Wu, 2013, "Static Hedging of Standard Options," Journal of Financial Econometrics, Oxford University Press, volume 12, issue 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, volume 17, issue 4, pages 685-716, October, DOI: 10.1007/s00780-013-0212-9.
  3. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2013, "A comparison of the original and revised Basel market risk frameworks for regulating bank capital," Journal of Economic Behavior & Organization, Elsevier, volume 85, issue C, pages 249-268, DOI: 10.1016/j.jebo.2012.04.007.

2012

  1. Peter Carr & Dilip Madan, 2012, "Factor Models for Option Pricing," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 19, issue 4, pages 319-329, November, DOI: 10.1007/s10690-011-9151-7.
  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, volume 40, issue 1, pages 63-104, June, DOI: 10.1007/s10614-011-9269-8.
  3. Peter Carr & Roger Lee & Liuren Wu, 2012, "Variance swaps on time-changed Lévy processes," Finance and Stochastics, Springer, volume 16, issue 2, pages 335-355, April, DOI: 10.1007/s00780-011-0157-9.
  4. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2012, "When more is less: Using multiple constraints to reduce tail risk," Journal of Banking & Finance, Elsevier, volume 36, issue 10, pages 2693-2716, DOI: 10.1016/j.jbankfin.2011.08.002.

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, volume 24, issue 2, pages 473-505.
  2. Peter Carr & Laurent Cousot, 2011, "A PDE approach to jump-diffusions," Quantitative Finance, Taylor & Francis Journals, volume 11, issue 1, pages 33-52, DOI: 10.1080/14697688.2010.531042.
  3. Peter Carr & Helyette Geman & Dilip Madan & Marc Yor, 2011, "Options on realized variance and convex orders," Quantitative Finance, Taylor & Francis Journals, volume 11, issue 11, pages 1685-1694, DOI: 10.1080/14697680903397675.
  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., volume 14, issue 07, pages 1091-1111, DOI: 10.1142/S0219024911006668.
  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., volume 14, issue 08, pages 1195-1230, DOI: 10.1142/S0219024911006826.
  6. Yan, Shu, 2011, "Jump risk, stock returns, and slope of implied volatility smile," Journal of Financial Economics, Elsevier, volume 99, issue 1, pages 216-233, January.

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, volume 13, issue 2, pages 141-176, July, DOI: 10.1007/s11147-009-9048-z.
  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, volume 8, issue 4, pages 409-449, Fall.
  3. Peter Carr & Roger Lee, 2010, "Hedging variance options on continuous semimartingales," Finance and Stochastics, Springer, volume 14, issue 2, pages 179-207, April, DOI: 10.1007/s00780-009-0110-3.
  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, volume 10, issue 10, pages 1115-1136, DOI: 10.1080/14697680903413605.
  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, volume 23, issue 9, pages 3469-3519.
  6. Pedro Santa-Clara & Shu Yan, 2010, "Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options," The Review of Economics and Statistics, MIT Press, volume 92, issue 2, pages 435-451, May.

2009

  1. Peter Carr & Roger Lee, 2009, "Volatility Derivatives," Annual Review of Financial Economics, Annual Reviews, volume 1, issue 1, pages 319-339, November.
  2. Peter Carr & Liuren Wu, 2009, "Variance Risk Premiums," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 3, pages 1311-1341, March.
  3. Jiang, George & Yan, Shu, 2009, "Linear-quadratic term structure models - Toward the understanding of jumps in interest rates," Journal of Banking & Finance, Elsevier, volume 33, issue 3, pages 473-485, March.
  4. Gordon J. Alexander & Alexandre M. Baptista & Shu Yan, 2009, "Reducing estimation risk in optimal portfolio selection when short sales are allowed," Managerial and Decision Economics, John Wiley & Sons, Ltd., volume 30, issue 5, pages 281-305, DOI: 10.1002/mde.1451.

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, volume 5, issue 3, pages 162-171, September.
      Unknown
  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, volume 87, issue 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., volume 11, issue 04, pages 403-414, DOI: 10.1142/S0219024908004865.
  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, volume 36, issue 3, pages 403-439, September, DOI: 10.1111/j.1540-6229.2008.00218.x.

2007

  1. Peter Carr & Hélyette Geman & Dilip B. Madan & Marc Yor, 2007, "Self‐Decomposability And Option Pricing," Mathematical Finance, Wiley Blackwell, volume 17, issue 1, pages 31-57, January, DOI: 10.1111/j.1467-9965.2007.00293.x.
  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, volume 31, issue 8, pages 2383-2403, August.
  3. Carr, Peter & Wu, Liuren, 2007, "Stochastic skew in currency options," Journal of Financial Economics, Elsevier, volume 86, issue 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, volume 10, issue 2, pages 87-150, May, DOI: 10.1007/s11147-007-9014-6.
  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, volume 13, issue 4, pages 353-372, DOI: 10.1080/13518470701201512.
  6. Eric Ghysels & Alberto Plazzi & Rossen Valkanov, 2007, "Valuation in US Commercial Real Estate," European Financial Management, European Financial Management Association, volume 13, issue 3, pages 472-497, June, DOI: 10.1111/j.1468-036X.2007.00369.x.
  7. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2007, "Mean-variance portfolio selection with `at-risk' constraints and discrete distributions," Journal of Banking & Finance, Elsevier, volume 31, issue 12, pages 3761-3781, December.

2006

  1. Peter Carr & Vadim Linetsky, 2006, "A jump to default extended CEV model: an application of Bessel processes," Finance and Stochastics, Springer, volume 10, issue 3, pages 303-330, September, DOI: 10.1007/s00780-006-0012-6.

2005

  1. Carr, Peter & Madan, Dilip B., 2005, "A note on sufficient conditions for no arbitrage," Finance Research Letters, Elsevier, volume 2, issue 3, pages 125-130, September.
  2. Peter Carr & Hélyette Geman & Dilip Madan & Marc Yor, 2005, "Pricing options on realized variance," Finance and Stochastics, Springer, volume 9, issue 4, pages 453-475, October, DOI: 10.1007/s00780-005-0155-x.
  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., volume 8, issue 02, pages 239-253, DOI: 10.1142/S0219024905002974.

2004

  1. Carr, Peter & Wu, Liuren, 2004, "Time-changed Levy processes and option pricing," Journal of Financial Economics, Elsevier, volume 71, issue 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, volume 4, issue 5, pages 581-588, DOI: 10.1080/14697680400000039.
  3. Walter Torous & Rossen Valkanov & Shu Yan, 2004, "On Predicting Stock Returns with Nearly Integrated Explanatory Variables," The Journal of Business, University of Chicago Press, volume 77, issue 4, pages 937-966, October, DOI: 10.1086/422634.

2003

  1. Peter Carr & Liuren Wu, 2003, "The Finite Moment Log Stable Process and Option Pricing," Journal of Finance, American Finance Association, volume 58, issue 2, pages 753-777, April, DOI: 10.1111/1540-6261.00544.
  2. Peter Carr & Liuren Wu, 2003, "What Type of Process Underlies Options? A Simple Robust Test," Journal of Finance, American Finance Association, volume 58, issue 6, pages 2581-2610, December, DOI: 10.1046/j.1540-6261.2003.00616.x.
  3. Peter Carr & Hélyette Geman & Dilip B. Madan & Marc Yor, 2003, "Stochastic Volatility for Lévy Processes," Mathematical Finance, Wiley Blackwell, volume 13, issue 3, pages 345-382, July, DOI: 10.1111/1467-9965.00020.
  4. Robert Z. Aliber & Bhagwan Chowdhry & Shu Yan, 2003, "Some Evidence that a Tobin Tax on Foreign Exchange Transactions May Increase Volatility," Review of Finance, Springer, volume 7, issue 3, pages 481-510.

2002

  1. Peter Carr & Helyette Geman, 2002, "The Fine Structure of Asset Returns: An Empirical Investigation," The Journal of Business, University of Chicago Press, volume 75, issue 2, pages 305-332, April, DOI: 10.1086/338705.

2001

  1. Carr, Peter & Geman, Helyette & Madan, Dilip B., 2001, "Pricing and hedging in incomplete markets," Journal of Financial Economics, Elsevier, volume 62, issue 1, pages 131-167, October.
  2. Dilip B. Madan & Xing Jin & Peter Carr, 2001, "Optimal investment in derivative securities," Finance and Stochastics, Springer, volume 5, issue 1, pages 33-59.
  3. P. Carr & D. Madan, 2001, "Optimal positioning in derivative securities," Quantitative Finance, Taylor & Francis Journals, volume 1, issue 1, pages 19-37, DOI: 10.1080/713665549.

2000

  1. Peter Carr & Vadim Linetsky, 2000, "The Valuation of Executive Stock Options in an Intensity-Based Framework," Review of Finance, European Finance Association, volume 4, issue 3, pages 211-230.
  2. Richard Roll & Shu Yan, 2000, "An explanation of the forward premium ‘puzzle’," European Financial Management, European Financial Management Association, volume 6, issue 2, pages 121-148, June, DOI: 10.1111/1468-036X.00117.

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, volume 2, issue 1, pages 79-105.
  2. Carr, Peter, 1998, "Randomization and the American Put," The Review of Financial Studies, Society for Financial Studies, volume 11, issue 3, pages 597-626.

1995

  1. P. Carr, 1995, "Two extensions to barrier option valuation," Applied Mathematical Finance, Taylor & Francis Journals, volume 2, issue 3, pages 173-209, DOI: 10.1080/13504869500000010.

1992

  1. Peter Carr & Robert Jarrow & Ravi Myneni, 1992, "Alternative Characterizations Of American Put Options," Mathematical Finance, Wiley Blackwell, volume 2, issue 2, pages 87-106, April, DOI: 10.1111/j.1467-9965.1992.tb00040.x.

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, volume 3, issue 3, pages 469-492.

1987

  1. Carr, Peter, 1987, "A Note on the Pricing of Commodity-Linked Bonds," Journal of Finance, American Finance Association, volume 42, issue 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, World Scientific Publishing Co. Pte. Ltd., chapter 3, in: David Gershon & Alexander Lipton & Mathieu Rosenbaum & Zvi Wiener, "Options — 45 years since the Publication of the Black–Scholes–Merton Model The Gershon Fintech Center Conference".
  2. Peter Carr & Umberto Cherubini, 2023, "Option Pricing Generators," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, in: Robert A Jarrow & Dilip B Madan, "Peter Carr Gedenkschrift Research Advances in Mathematical Finance".

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, World Scientific Publishing Co. Pte. Ltd., chapter 4, in: Itzhak Venezia, "Behavioral Finance A Novel Approach".

2013

  1. Ghysels, Eric & Plazzi, Alberto & Valkanov, Rossen & Torous, Walter, 2013, "Forecasting Real Estate Prices," Handbook of Economic Forecasting, Elsevier, chapter 0, in: G. Elliott & C. Granger & A. Timmermann, "Handbook of Economic Forecasting", DOI: 10.1016/B978-0-444-53683-9.00009-8.

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, World Scientific Publishing Co. Pte. Ltd., chapter 4, "Financial Derivatives Pricing Selected Works of Robert Jarrow".
  2. Peter Carr & Robert Jarrow & Ravi Myneni, 2008, "Alternative Characterizations Of American Put Options," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, "Financial Derivatives Pricing Selected Works of Robert Jarrow".

2002

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

2001

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

1999

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

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