Peter Carr

According to our database1, Peter Carr authored at least 12 papers between 2001 and 2016.

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Bibliography

2016
Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer.
IEEE J. Sel. Top. Signal Process., 2016

2014
On the hedging of options on exploding exchange rates.
Finance Stochastics, 2014

2013
Why Are Quadratic Normal Volatility Models Analytically Tractable?
SIAM J. Financial Math., 2013

Variation and share-weighted variation swaps on time-changed Lévy processes.
Finance Stochastics, 2013

2012
Explicit Constructions of Martingales Calibrated to Given Implied Volatility Smiles.
SIAM J. Financial Math., 2012

Variance swaps on time-changed Lévy processes.
Finance Stochastics, 2012

2011
Static Hedging under Time-Homogeneous Diffusions.
SIAM J. Financial Math., 2011

2010
Local Volatility Enhanced by a Jump to Default.
SIAM J. Financial Math., 2010

Hedging variance options on continuous semimartingales.
Finance Stochastics, 2010

2006
A jump to default extended CEV model: an application of Bessel processes.
Finance Stochastics, 2006

2005
Pricing options on realized variance.
Finance Stochastics, 2005

2001
Optimal investment in derivative securities.
Finance Stochastics, 2001


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