Peter Carr's Papers

Here's a list of my working papers in PDF
(Scroll down for postscript files:)

• Overheads for ``Trading Autocorrelation''

• Long Talk Overheads for ``Robust Replication of Volatility Derivatives''

• Short Talk Overheads for ``Robust Replication of Volatility Derivatives''

• Overheads for ``Option Pricing Using Integral Transforms''

• What Type of Process Underlies Options: A Simple Robust Test (Forthcoming, Journal of Finance)

• Static Hedging of Standard Options (New!)

• Corridor Variance Swaps (New!)

• Why Be Backward? Forward Equations for American Options (Risk, January 2003)

• Risk 2002 Presentation by Ali Hirsa (New!)

• Put Call Reversal (New!)

• Time-changed Lévy Processes and Option Pricing (Forthcoming, Journal of Financial Economics)

• The Finite Moment Logstable Process and Option Pricing (Journal of Finance, April 2003)

• The Finite Moment Logstable Process and Option Pricing (Overheads)

• Stochastic Volatility for Lévy Processes (Mathematical Finance, July 2003)

• The Fine Structure of Asset Returns (Journal of Business, April 2002)

• Pricing and Hedging in Incomplete Markets (Journal of Financial Economics Oct. 2001)

• Pricing and Hedging in Incomplete Markets (Overheads)

• The Valuation of Executive Stock Options in an Intensity Based Framework (European Financial Review, 4, 2000)

• Commodity Covariance Contracting (Energy and Power Risk Management, April 2001)

• Factor Models for Option Pricing (forthcoming in Asia Pacific Financial Markets)

• Bessel Processes, The Integral of Geometric Brownian motion, and Asian options (forthcoming in Theory of Probability and its Applications)

• An Alternative Approach for Valuing Continuous Cash Flows (Going with the Flow, Risk, Aug. 2000)

• The Reduction Method for Valuing Derivative Securities

• The Reduction Method for Valuing Derivative Securities (Overheads)

• The Value of Purchasing Information to Reduce Risk in Capital Investment Projects (Real Options and Business Strategy, L. Trigeorgis, ed.)

• On the Nature of Options

• On the Nature of Options (Overheads)

• Survey of Preference Free Option Pricing with Stochastic Volatility (Overheads)

• Closed Form Option Valuation with Smiles

• Closed Form Option Valuation with Smiles (Overheads)

• Frequently Asked Questions in Option Pricing Theory (forthcoming in Journal of Derivatives)

• Frequently Asked Questions in Option Pricing Theory (Overheads)

• Currency Covariance Contracting (Risk Feb. 99)

• Determining Volatility Surfaces and Option Values From an Implied Volatility Smile (Forthcoming in Quantitative Analysis in Financial Markets, Vol II, M. Avellaneda, ed.)

• The Variance Gamma Process and Option Pricing (European Finance Review, Vol. 2 No. 1 1998)

• Financial Interpretations of Probabilistic Concepts (Overheads)

• Option Valuation Using the Fast Fourier Transform (Journal of Computational Finance, Summer 1999)

• American Options: A Comparison of Numerical Methods (Rogers/ Talay eds.)

• Randomization and the American Put (Review of Financial Studies, Fall 1998)

• American Put Call Symmetry

• Breaking Barriers (Risk, Sept. 97)

• Deriving Derivatives of Derivative Securities (Journal of Computational Finance, Winter 2000/2001)

• Hedging Complex Barrier Options

• Towards a Theory of Volatility Trading (Risk book publication)

• Towards a Theory of Volatility Trading (Overheads)

• Static Hedging of Exotic Options (Journal of Finance, June 1998)

• Static Hedging of Timing Risk (Journal of Derivatives, April 1998)

• Valuation of American Exchange Options (Real Options, edited by Lenos Trigeorgis)

• Optimal Positioning in Derivative Securities (Quantitative Finance, Jan. 2001)

• Optimal Investment in Derivative Securities (Finance and Stochastics, January 2001)

• Simulating American Bond Options in an HJM Framework (Forthcoming in Quantitative Analysis in Financial Markets, Vol II, M. Avellaneda, ed.)

• Simulating Bermudan Interest Rate Derivatives

• Alternative Characterizations of American Put Options (in Mathematical Finance, April 1992)

• The Stop-Loss Start-Gain Strategy and Option Valuation (in Review of Financial Studies, Fall 1990)

• The Valuation of Sequential Exchange Opportunities (in Journal of Finance, Dec. 1988)

• A Calculator Program for Option Values and Implied Standard Deviations (in Journal of Financial Education, Fall 1988)

• A Note on the Pricing of Commodity Linked Bonds (in Journal of Finance, Sept. 1987)

 

Papers in postscript format

Postscript

Courant Institute of Mathematical Sciences
New York University
251 Mercer Street
New York, NY 10012

pcarr4@bloomberg.com

This page was created by Dinka Krstulovic
krst7055@cs.nyu.edu