Optimal investment in derivative securities. - Peter Carr 002; Xing Jin; Dilip B. Madan (Finance Stochastics, 2001)

Pricing options on realized variance. - Peter Carr 002; Hélyette Geman; Dilip B. Madan; Marc Yor (Finance Stochastics, 2005)

A jump to default extended CEV model: an application of Bessel processes. - Peter Carr 002; Vadim Linetsky (Finance Stochastics, 2006)

Hedging variance options on continuous semimartingales. - Peter Carr 002; Roger Lee (Finance Stochastics, 2010)

Local Volatility Enhanced by a Jump to Default. - Peter Carr 002; Dilip B. Madan (SIAM J. Financial Math., 2010)

Static Hedging under Time-Homogeneous Diffusions. - Peter Carr 002; Sergey Nadtochiy (SIAM J. Financial Math., 2011)

Variance swaps on time-changed Lévy processes. - Peter Carr 002; Roger Lee; Liuren Wu (Finance Stochastics, 2012)

Explicit Constructions of Martingales Calibrated to Given Implied Volatility Smiles. - Peter Carr 002; Laurent Cousot (SIAM J. Financial Math., 2012)

Variation and share-weighted variation swaps on time-changed Lévy processes. - Peter Carr 002; Roger Lee (Finance Stochastics, 2013)

Why Are Quadratic Normal Volatility Models Analytically Tractable? - Peter Carr 002; Travis Fisher; Johannes Ruf (SIAM J. Financial Math., 2013)

On the hedging of options on exploding exchange rates. - Peter Carr 002; Travis Fisher; Johannes Ruf (Finance Stochastics, 2014)

Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer. - Gili Rosenberg; Poya Haghnegahdar; Phil Goddard; Peter Carr 002; Kesheng Wu; Marcos López de Prado (IEEE J. Sel. Top. Signal Process., 2016)