Peter Carr

Publication Activity (10 Years)

Years Active: 2001-2016
Publications (10 Years): 1

Top Topics

Financial Time Series

Minimum Variance

Trading Strategies

Top Venues

Finance Stochastics

SIAM J. Financial Math.

IEEE J. Sel. Top. Signal Process.

Publications

Gili Rosenberg, Poya Haghnegahdar, Phil Goddard, Peter Carr, Kesheng Wu, Marcos López de Prado
Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer. IEEE J. Sel. Top. Signal Process. 10 (6) (2016)
Gili Rosenberg, Poya Haghnegahdar, Phil Goddard, Peter Carr, Kesheng Wu, Marcos López de Prado
Solving the optimal trading trajectory problem using a quantum annealer. WHPCF@SC (2015)
Gili Rosenberg, Poya Haghnegahdar, Phil Goddard, Peter Carr, Kesheng Wu, Marcos López de Prado
Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer. CoRR (2015)
Peter Carr, Travis Fisher, Johannes Ruf
On the hedging of options on exploding exchange rates. Finance Stochastics 18 (1) (2014)
Peter Carr, Travis Fisher, Johannes Ruf
Why Are Quadratic Normal Volatility Models Analytically Tractable? SIAM J. Financial Math. 4 (1) (2013)
Peter Carr, Roger Lee
Variation and share-weighted variation swaps on time-changed Lévy processes. Finance Stochastics 17 (4) (2013)
Peter Carr, Laurent Cousot
Explicit Constructions of Martingales Calibrated to Given Implied Volatility Smiles. SIAM J. Financial Math. 3 (1) (2012)
Peter Carr, Roger Lee, Liuren Wu
Variance swaps on time-changed Lévy processes. Finance Stochastics 16 (2) (2012)
Peter Carr, Sergey Nadtochiy
Static Hedging under Time-Homogeneous Diffusions. SIAM J. Financial Math. 2 (1) (2011)
Peter Carr, Dilip B. Madan
Local Volatility Enhanced by a Jump to Default. SIAM J. Financial Math. 1 (1) (2010)
Peter Carr, Roger Lee
Hedging variance options on continuous semimartingales. Finance Stochastics 14 (2) (2010)
Peter Carr, Vadim Linetsky
A jump to default extended CEV model: an application of Bessel processes. Finance Stochastics 10 (3) (2006)
Peter Carr, Hélyette Geman, Dilip B. Madan, Marc Yor
Pricing options on realized variance. Finance Stochastics 9 (4) (2005)
Peter Carr, Xing Jin, Dilip B. Madan
Optimal investment in derivative securities. Finance Stochastics 5 (1) (2001)