Overview
Peter Carr (1958–2022) was a quantitative finance researcher and practitioner (NationsBanc Montgomery Securities, Bloomberg, Morgan Stanley; chair of the Finance and Risk Engineering department at NYU Tandon), one of the most influential figures in derivatives pricing.
Key Contributions / Features
- FFT option pricing (Carr-Madan 1999): with Madan, the fast-Fourier-transform method for pricing options from the characteristic function.
- Static hedging of barrier and exotic options, the Carr-Geman-Madan-Yor (CGMY) Lévy process, and variance-swap replication.
- Extensive work on volatility derivatives, model-free implied variance, and time-changed Lévy models.
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