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Carr, Peter P.

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Author ID: carr.peter-p Recent zbMATH articles by "Carr, Peter P."
Published as: Carr, P.; Carr, Peter; Carr, Peter P.
Documents Indexed: 47 Publications since 1992, including 2 Books

Publications by Year

Citations contained in zbMATH

43 Publications have been cited 1,382 times in 1,116 Documents Cited by Year
The variance gamma process and option pricing. Zbl 0937.91052
Madan, Dilip B.; Carr, Peter P.; Chang, Eric C.
391
1998
Stochastic volatility for Lévy processes. Zbl 1092.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
211
2003
Alternative characterizations of American put options. Zbl 0900.90004
Carr, Peter; Jarrow, Robert; Myneni, Ravi
110
1992
Randomization and the American put. Zbl 1386.91134
Carr, Peter
100
1998
A jump to default extended CEV model: an application of Bessel processes. Zbl 1101.60057
Carr, Peter; Linetsky, Vadim
58
2006
Self-decomposability and option pricing. Zbl 1278.91157
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
51
2007
Pricing options on realized variance. Zbl 1096.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
42
2005
Time-changed Markov processes in unified credit-equity modeling. Zbl 1232.91692
Mendoza-Arriaga, Rafael; Carr, Peter; Linetsky, Vadim
32
2010
Put-call symmetry: extensions and applications. Zbl 1184.91198
Carr, Peter; Lee, Roger
32
2009
A new approach for option pricing under stochastic volatility. Zbl 1140.91353
Carr, Peter; Sun, Jian
32
2007
Bessel processes, the integral of geometric Brownian motion, and Asian options. Zbl 1056.91026
Carr, P.; Schröder, M.
27
2003
Optimal investment in derivative securities. Zbl 0977.60056
Carr, Peter; Jin, Xing; Madan, Dilip B.
23
2001
Variance swaps on time-changed Lévy processes. Zbl 1266.60085
Carr, Peter; Lee, Roger; Wu, Liuren
22
2012
Towards a theory of volatility trading. Zbl 0990.91037
Carr, Peter; Madan, Dilip
22
2001
Hedging variance options on continuous semimartingales. Zbl 1224.91149
Carr, Peter; Lee, Roger
21
2010
On the hedging of options on exploding exchange rates. Zbl 1314.91205
Carr, Peter; Fisher, Travis; Ruf, Johannes
20
2014
Saddlepoint methods for option pricing. Zbl 1178.91192
Carr, Peter; Madan, Dilip
20
2009
Pricing swaps and options on quadratic variation under stochastic time change models – discrete observations case. Zbl 1208.91146
Itkin, Andrey; Carr, Peter
19
2010
The valuation of executive stock options in an intensity-based framework. Zbl 1035.91029
Carr, Peter; Linetsky, Vadim
19
2000
A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options. Zbl 1229.91300
Carr, Peter; Crosby, John
16
2010
Maximum drawdown insurance. Zbl 1233.91115
Carr, Peter; Zhang, Hongzhong; Hadjiliadis, Olympia
14
2011
Optimal positioning in derivative securities. Zbl 1405.91599
Carr, P.; Madan, D.
12
2001
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models. Zbl 1254.91747
Itkin, Andrey; Carr, Peter
11
2012
Why are quadratic normal volatility models analytically tractable? Zbl 1312.91086
Carr, Peter; Fisher, Travis; Ruf, Johannes
9
2013
Local volatility enhanced by a jump to default. Zbl 1197.91183
Carr, Peter; Madan, Dilip B.
9
2010
American options: A comparison of numerical methods. Zbl 0898.90028
AitSahlia, F.; Carr, P.
7
1997
From local volatility to local Lévy models. Zbl 1405.91600
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
6
2004
Jump without tears: a new splitting technology for barrier options. Zbl 1267.91072
Itkin, Andrey; Carr, Peter
5
2011
Static hedging under time-homogeneous diffusions. Zbl 1247.91182
Carr, Peter; Nadtochiy, Sergey
5
2011
Semi-static hedging of barrier options under Poisson jumps. Zbl 1229.91299
Carr, Peter
5
2011
A PDE approach to jump-diffusions. Zbl 1232.91652
Carr, Peter; Cousot, Laurent
5
2011
Hedging under the Heston model with jump-to-default. Zbl 1153.91469
Carr, Peter; Schoutens, Wim
5
2008
Local variance gamma and explicit calibration to option prices. Zbl 1422.91685
Carr, Peter; Nadtochiy, Sergey
4
2017
Multi-asset stochastic local variance contracts. Zbl 1229.91301
Carr, Peter; Laurence, Peter
4
2011
The forward PDE for European options on stocks with fixed fractional jumps. Zbl 1100.91038
Carr, Peter; Javaheri, Alireza
3
2005
Variation and share-weighted variation swaps on time-changed Lévy processes. Zbl 1275.91129
Carr, Peter; Lee, Roger
2
2013
Generating integrable one dimensional driftless diffusions. Zbl 1109.58034
Carr, Peter; Laurence, Peter; Wang, Tai-Ho
2
2006
Convex duality and financial mathematics. Zbl 1416.91003
Carr, Peter; Zhu, Qiji Jim
1
2018
Hedging insurance books. Zbl 1371.91175
Carr, Peter; Madan, Dilip B.; Melamed, Michael; Schoutens, Wim
1
2016
Explicit constructions of martingales calibrated to given implied volatility smiles. Zbl 1260.60079
Carr, Peter; Cousot, Laurent
1
2012
Options on realized variance and convex orders. Zbl 1277.91164
Carr, Peter; Geman, Helyette; Madan, Dilip B.; Yor, Marc
1
2011
Forward evolution equations for knock-out options. Zbl 1157.91355
Carr, Peter; Hirsa, Ali
1
2007
Simulating Bermudan interest rate derivatives. Zbl 0976.91023
Carr, Peter; Yang, Guang
1
2001
Convex duality and financial mathematics. Zbl 1416.91003
Carr, Peter; Zhu, Qiji Jim
1
2018
Local variance gamma and explicit calibration to option prices. Zbl 1422.91685
Carr, Peter; Nadtochiy, Sergey
4
2017
Hedging insurance books. Zbl 1371.91175
Carr, Peter; Madan, Dilip B.; Melamed, Michael; Schoutens, Wim
1
2016
On the hedging of options on exploding exchange rates. Zbl 1314.91205
Carr, Peter; Fisher, Travis; Ruf, Johannes
20
2014
Why are quadratic normal volatility models analytically tractable? Zbl 1312.91086
Carr, Peter; Fisher, Travis; Ruf, Johannes
9
2013
Variation and share-weighted variation swaps on time-changed Lévy processes. Zbl 1275.91129
Carr, Peter; Lee, Roger
2
2013
Variance swaps on time-changed Lévy processes. Zbl 1266.60085
Carr, Peter; Lee, Roger; Wu, Liuren
22
2012
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models. Zbl 1254.91747
Itkin, Andrey; Carr, Peter
11
2012
Explicit constructions of martingales calibrated to given implied volatility smiles. Zbl 1260.60079
Carr, Peter; Cousot, Laurent
1
2012
Maximum drawdown insurance. Zbl 1233.91115
Carr, Peter; Zhang, Hongzhong; Hadjiliadis, Olympia
14
2011
Jump without tears: a new splitting technology for barrier options. Zbl 1267.91072
Itkin, Andrey; Carr, Peter
5
2011
Static hedging under time-homogeneous diffusions. Zbl 1247.91182
Carr, Peter; Nadtochiy, Sergey
5
2011
Semi-static hedging of barrier options under Poisson jumps. Zbl 1229.91299
Carr, Peter
5
2011
A PDE approach to jump-diffusions. Zbl 1232.91652
Carr, Peter; Cousot, Laurent
5
2011
Multi-asset stochastic local variance contracts. Zbl 1229.91301
Carr, Peter; Laurence, Peter
4
2011
Options on realized variance and convex orders. Zbl 1277.91164
Carr, Peter; Geman, Helyette; Madan, Dilip B.; Yor, Marc
1
2011
Time-changed Markov processes in unified credit-equity modeling. Zbl 1232.91692
Mendoza-Arriaga, Rafael; Carr, Peter; Linetsky, Vadim
32
2010
Hedging variance options on continuous semimartingales. Zbl 1224.91149
Carr, Peter; Lee, Roger
21
2010
Pricing swaps and options on quadratic variation under stochastic time change models – discrete observations case. Zbl 1208.91146
Itkin, Andrey; Carr, Peter
19
2010
A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options. Zbl 1229.91300
Carr, Peter; Crosby, John
16
2010
Local volatility enhanced by a jump to default. Zbl 1197.91183
Carr, Peter; Madan, Dilip B.
9
2010
Put-call symmetry: extensions and applications. Zbl 1184.91198
Carr, Peter; Lee, Roger
32
2009
Saddlepoint methods for option pricing. Zbl 1178.91192
Carr, Peter; Madan, Dilip
20
2009
Hedging under the Heston model with jump-to-default. Zbl 1153.91469
Carr, Peter; Schoutens, Wim
5
2008
Self-decomposability and option pricing. Zbl 1278.91157
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
51
2007
A new approach for option pricing under stochastic volatility. Zbl 1140.91353
Carr, Peter; Sun, Jian
32
2007
Forward evolution equations for knock-out options. Zbl 1157.91355
Carr, Peter; Hirsa, Ali
1
2007
A jump to default extended CEV model: an application of Bessel processes. Zbl 1101.60057
Carr, Peter; Linetsky, Vadim
58
2006
Generating integrable one dimensional driftless diffusions. Zbl 1109.58034
Carr, Peter; Laurence, Peter; Wang, Tai-Ho
2
2006
Pricing options on realized variance. Zbl 1096.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
42
2005
The forward PDE for European options on stocks with fixed fractional jumps. Zbl 1100.91038
Carr, Peter; Javaheri, Alireza
3
2005
From local volatility to local Lévy models. Zbl 1405.91600
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
6
2004
Stochastic volatility for Lévy processes. Zbl 1092.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
211
2003
Bessel processes, the integral of geometric Brownian motion, and Asian options. Zbl 1056.91026
Carr, P.; Schröder, M.
27
2003
Optimal investment in derivative securities. Zbl 0977.60056
Carr, Peter; Jin, Xing; Madan, Dilip B.
23
2001
Towards a theory of volatility trading. Zbl 0990.91037
Carr, Peter; Madan, Dilip
22
2001
Optimal positioning in derivative securities. Zbl 1405.91599
Carr, P.; Madan, D.
12
2001
Simulating Bermudan interest rate derivatives. Zbl 0976.91023
Carr, Peter; Yang, Guang
1
2001
The valuation of executive stock options in an intensity-based framework. Zbl 1035.91029
Carr, Peter; Linetsky, Vadim
19
2000
The variance gamma process and option pricing. Zbl 0937.91052
Madan, Dilip B.; Carr, Peter P.; Chang, Eric C.
391
1998
Randomization and the American put. Zbl 1386.91134
Carr, Peter
100
1998
American options: A comparison of numerical methods. Zbl 0898.90028
AitSahlia, F.; Carr, P.
7
1997
Alternative characterizations of American put options. Zbl 0900.90004
Carr, Peter; Jarrow, Robert; Myneni, Ravi
110
1992
all top 5

Cited by 1,449 Authors

49 Madan, Dilip B.
23 Schoutens, Wim
18 Pistorius, Martijn R.
17 Carr, Peter P.
16 Levendorskiĭ, Sergei
15 Linetsky, Vadim
15 Zhu, Songping
13 Cui, Zhenyu
13 Figueroa-López, José E.
13 Yor, Marc
11 Todorov, Viktor
10 Eberlein, Ernst W.
10 Kallsen, Jan
10 Li, Lingfei
10 Lorig, Matthew J.
9 Ivanov, Roman V.
9 Kwok, Yue-Kuen
9 Kyprianou, Andreas E.
9 Leung, Tim
9 Mendoza-Arriaga, Rafael
8 Itkin, Andrey
8 Jacquier, Antoine
8 Leonenko, Nikolai N.
8 Muhle-Karbe, Johannes
7 Dias, José Carlos
7 Elliott, Robert James
7 Li, Shenghong
7 Meerschaert, Mark M.
7 Mijatović, Aleksandar
7 Pascucci, Andrea
7 Ruf, Johannes
7 Tankov, Peter
7 Yamazaki, Akira
7 Zhang, Hongzhong
6 Boyarchenko, Svetlana I.
6 Chen, Wenting
6 Guillaume, Florence
6 Kawai, Reiichiro
6 Nguyen, Duy Van
6 Nicolato, Elisa
6 Oosterlee, Cornelis Willebrordus
6 Platen, Eckhard
5 Baldeaux, Jan
5 Bo, Lijun
5 Detemple, Jerome B.
5 Fusai, Gianluca
5 Geman, Hélyette
5 He, Xinjiang
5 Hobson, David G.
5 Kudryavtsev, Oleg
5 Landriault, David
5 Lian, Guanghua
5 Linders, Daniël
5 Nadtochiy, Sergey
5 Nunes, João Pedro Vidal
5 Privault, Nicolas
5 Schmutz, Michael
5 Seneta, Eugene
5 Wang, Yongjin
5 Zhang, Jin E.
5 Zheng, Wendong
5 Zhu, Lingjiong
4 Albanese, Claudio
4 Ballotta, Laura
4 Barndorff-Nielsen, Ole Eiler
4 Bayraktar, Erhan
4 Bernard, Carole
4 Boyarchenko, Mitya
4 Buckley, Winston S.
4 Capponi, Agostino
4 Chan, Leunglung
4 Cheung, Eric C. K.
4 Cheung, Ka Chun
4 Chiarella, Carl
4 Company, Rafael
4 Cox, Alexander Matthew Gordon
4 Ding, Deng
4 Fabozzi, Frank J.
4 Fajardo, José
4 Forde, Martin
4 Gerhold, Stefan
4 Grasselli, Martino
4 Guasoni, Paolo
4 Jódar Sanchez, Lucas Antonio
4 Keller-Ressel, Martin
4 Kimura, Toshikazu
4 Korolev, Viktor Yur’evich
4 Kozubowski, Tomasz J.
4 Kruse, Thomas
4 Kuznetsov, Alexey
4 Kyriakou, Ioannis
4 Lars Kirkby, J.
4 Larsson, Martin
4 Lee, Roger W.
4 Lei, Siulong
4 Lipton, Alexander
4 Marazzina, Daniele
4 Mayer, Philipp A.
4 Obloj, Jan K.
4 Pagliarani, Stefano
...and 1,349 more Authors
all top 5

Cited in 173 Serials

127 Quantitative Finance
85 International Journal of Theoretical and Applied Finance
53 Finance and Stochastics
47 Mathematical Finance
42 Applied Mathematical Finance
36 Review of Derivatives Research
34 Stochastic Processes and their Applications
31 Insurance Mathematics & Economics
30 European Journal of Operational Research
29 Journal of Economic Dynamics & Control
27 Journal of Econometrics
25 Journal of Computational and Applied Mathematics
24 SIAM Journal on Financial Mathematics
23 The Annals of Applied Probability
18 Methodology and Computing in Applied Probability
16 Statistics & Probability Letters
16 Annals of Finance
15 Advances in Applied Probability
14 Applied Mathematics and Computation
13 Journal of Mathematical Analysis and Applications
13 Journal of Applied Probability
13 Stochastics
11 Computers & Mathematics with Applications
11 Asia-Pacific Financial Markets
11 Mathematics and Financial Economics
8 Bernoulli
7 Operations Research Letters
7 Journal of Scientific Computing
7 Annals of Operations Research
7 Scandinavian Actuarial Journal
7 Decisions in Economics and Finance
6 Physica A
6 The Annals of Statistics
6 Stochastic Analysis and Applications
6 International Journal of Computer Mathematics
5 Applied Mathematics and Optimization
5 Journal of Statistical Planning and Inference
5 Mathematics of Operations Research
5 Applied Mathematics Letters
5 Applied Mathematics. Series B (English Edition)
4 Journal of Multivariate Analysis
4 Operations Research
4 Probability Theory and Related Fields
4 Mathematical and Computer Modelling
4 Japan Journal of Industrial and Applied Mathematics
4 Computational Statistics and Data Analysis
4 SIAM Journal on Scientific Computing
4 The ANZIAM Journal
3 Scandinavian Journal of Statistics
3 Chaos, Solitons and Fractals
3 Journal of Economic Theory
3 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
3 Numerische Mathematik
3 SIAM Journal on Control and Optimization
3 Applied Numerical Mathematics
3 Journal of Applied Mathematics and Stochastic Analysis
3 Journal of Statistical Computation and Simulation
3 Journal of Mathematical Sciences (New York)
3 Abstract and Applied Analysis
3 Fractional Calculus & Applied Analysis
3 Proceedings of the Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences
3 Discrete Dynamics in Nature and Society
3 Communications in Nonlinear Science and Numerical Simulation
3 Probability in the Engineering and Informational Sciences
3 Journal of Applied Mathematics
3 Comptes Rendus. Mathématique. Académie des Sciences, Paris
3 ASTIN Bulletin
3 North American Actuarial Journal
3 Advances in Difference Equations
3 Journal of Industrial and Management Optimization
3 International Journal of Stochastic Analysis
3 Probability, Uncertainty and Quantitative Risk
2 Journal of Mathematical Physics
2 The Annals of Probability
2 Journal of Mathematical Economics
2 Publications of the Research Institute for Mathematical Sciences, Kyoto University
2 Statistics
2 Optimization
2 Journal of Theoretical Probability
2 Applied Mathematical Modelling
2 Automation and Remote Control
2 Communications in Statistics. Simulation and Computation
2 Communications in Statistics. Theory and Methods
2 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
2 Computational Economics
2 Computational and Applied Mathematics
2 Monte Carlo Methods and Applications
2 Mathematical Problems in Engineering
2 Mathematical Methods of Operations Research
2 Journal of Applied Mathematics and Decision Sciences
2 Statistical Inference for Stochastic Processes
2 Econometric Theory
2 Applied Stochastic Models in Business and Industry
2 Journal of Systems Science and Complexity
2 Stochastic Models
2 Computational Management Science
2 Statistical Methods and Applications
2 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis
2 Electronic Journal of Statistics
2 Science China. Mathematics
...and 73 more Serials
all top 5

Cited in 36 Fields

930 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
621 Probability theory and stochastic processes (60-XX)
188 Statistics (62-XX)
178 Numerical analysis (65-XX)
91 Partial differential equations (35-XX)
29 Systems theory; control (93-XX)
24 Operations research, mathematical programming (90-XX)
19 Integral transforms, operational calculus (44-XX)
19 Integral equations (45-XX)
13 Real functions (26-XX)
11 Approximations and expansions (41-XX)
11 Harmonic analysis on Euclidean spaces (42-XX)
11 Calculus of variations and optimal control; optimization (49-XX)
10 Ordinary differential equations (34-XX)
10 Operator theory (47-XX)
7 Special functions (33-XX)
4 Statistical mechanics, structure of matter (82-XX)
3 Measure and integration (28-XX)
3 Computer science (68-XX)
3 Quantum theory (81-XX)
2 Functional analysis (46-XX)
2 Geophysics (86-XX)
1 Mathematical logic and foundations (03-XX)
1 Number theory (11-XX)
1 Linear and multilinear algebra; matrix theory (15-XX)
1 Topological groups, Lie groups (22-XX)
1 Functions of a complex variable (30-XX)
1 Potential theory (31-XX)
1 Dynamical systems and ergodic theory (37-XX)
1 Difference and functional equations (39-XX)
1 Sequences, series, summability (40-XX)
1 Abstract harmonic analysis (43-XX)
1 Convex and discrete geometry (52-XX)
1 Global analysis, analysis on manifolds (58-XX)
1 Relativity and gravitational theory (83-XX)
1 Information and communication theory, circuits (94-XX)

Citations by Year