Peter Carr

14 papers Journal 13Unranked 1
YearRankTypeTitle / Venue / Authors
2016 J jnl
Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer.
IEEE J. Sel. Top. Signal Process.
Gili Rosenberg, Poya Haghnegahdar, Phil Goddard, Peter Carr, Kesheng Wu, Marcos López de Prado
2015 J jnl
Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer.
CoRR
Gili Rosenberg, Poya Haghnegahdar, Phil Goddard, Peter Carr, Kesheng Wu, Marcos López de Prado
2015 — conf
Solving the optimal trading trajectory problem using a quantum annealer.
WHPCF@SC
Gili Rosenberg, Poya Haghnegahdar, Phil Goddard, Peter Carr, Kesheng Wu, Marcos López de Prado
2014 J jnl
On the hedging of options on exploding exchange rates.
Finance Stochastics
Peter Carr, Travis Fisher, Johannes Ruf
2013 J jnl
Variation and share-weighted variation swaps on time-changed Lévy processes.
Finance Stochastics
Peter Carr, Roger Lee
2013 J jnl
Why Are Quadratic Normal Volatility Models Analytically Tractable?
SIAM J. Financial Math.
Peter Carr, Travis Fisher, Johannes Ruf
2012 J jnl
Explicit Constructions of Martingales Calibrated to Given Implied Volatility Smiles.
SIAM J. Financial Math.
Peter Carr, Laurent Cousot
2012 J jnl
Variance swaps on time-changed Lévy processes.
Finance Stochastics
Peter Carr, Roger Lee, Liuren Wu
2011 J jnl
Static Hedging under Time-Homogeneous Diffusions.
SIAM J. Financial Math.
Peter Carr, Sergey Nadtochiy
2010 J jnl
Hedging variance options on continuous semimartingales.
Finance Stochastics
Peter Carr, Roger Lee
2010 J jnl
Local Volatility Enhanced by a Jump to Default.
SIAM J. Financial Math.
Peter Carr, Dilip B. Madan
2006 J jnl
A jump to default extended CEV model: an application of Bessel processes.
Finance Stochastics
Peter Carr, Vadim Linetsky
2005 J jnl
Pricing options on realized variance.
Finance Stochastics
Peter Carr, Hélyette Geman, Dilip B. Madan, Marc Yor
2001 J jnl
Optimal investment in derivative securities.
Finance Stochastics
Peter Carr, Xing Jin, Dilip B. Madan