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Author ID: carr.peter-p Recent zbMATH articles by "Carr, Peter P."
Published as: Carr, Peter; Carr, P.; Carr, Peter P.
Documents Indexed: 51 Publications since 1992, including 1 Book
1 Contribution as Editor
Biographic References: 1 Publication
Co-Authors: 34 Co-Authors with 43 Joint Publications
725 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

44 Publications have been cited 1,531 times in 1,238 Documents Cited by Year
The variance gamma process and option pricing. Zbl 0937.91052
Madan, Dilip B.; Carr, Peter P.; Chang, Eric C.
432
1998
Stochastic volatility for Lévy processes. Zbl 1092.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
231
2003
Alternative characterizations of American put options. Zbl 0900.90004
Carr, Peter; Jarrow, Robert; Myneni, Ravi
125
1992
Randomization and the American put. Zbl 1386.91134
Carr, Peter
105
1998
A jump to default extended CEV model: an application of Bessel processes. Zbl 1101.60057
Carr, Peter; Linetsky, Vadim
63
2006
Self-decomposability and option pricing. Zbl 1278.91157
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
59
2007
Pricing options on realized variance. Zbl 1096.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
45
2005
Time-changed Markov processes in unified credit-equity modeling. Zbl 1232.91692
Mendoza-Arriaga, Rafael; Carr, Peter; Linetsky, Vadim
37
2010
Put-call symmetry: extensions and applications. Zbl 1184.91198
Carr, Peter; Lee, Roger
37
2009
A new approach for option pricing under stochastic volatility. Zbl 1140.91353
Carr, Peter; Sun, Jian
33
2007
Bessel processes, the integral of geometric Brownian motion, and Asian options. Zbl 1056.91026
Carr, P.; Schröder, M.
27
2003
Towards a theory of volatility trading. Zbl 0990.91037
Carr, Peter; Madan, Dilip
26
2001
Variance swaps on time-changed Lévy processes. Zbl 1266.60085
Carr, Peter; Lee, Roger; Wu, Liuren
25
2012
Hedging variance options on continuous semimartingales. Zbl 1224.91149
Carr, Peter; Lee, Roger
24
2010
Pricing swaps and options on quadratic variation under stochastic time change models – discrete observations case. Zbl 1208.91146
Itkin, Andrey; Carr, Peter
23
2010
Saddlepoint methods for option pricing. Zbl 1178.91192
Carr, Peter; Madan, Dilip
23
2009
On the hedging of options on exploding exchange rates. Zbl 1314.91205
Carr, Peter; Fisher, Travis; Ruf, Johannes
22
2014
Optimal positioning in derivative securities. Zbl 1405.91599
Carr, P.; Madan, D.
22
2001
The valuation of executive stock options in an intensity-based framework. Zbl 1035.91029
Carr, Peter; Linetsky, Vadim
19
2000
Optimal investment in derivative securities. Zbl 0977.60056
Carr, Peter; Jin, Xing; Madan, Dilip B.
18
2001
A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options. Zbl 1229.91300
Carr, Peter; Crosby, John
17
2010
Maximum drawdown insurance. Zbl 1233.91115
Carr, Peter; Zhang, Hongzhong; Hadjiliadis, Olympia
15
2011
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models. Zbl 1254.91747
Itkin, Andrey; Carr, Peter
14
2012
American options: A comparison of numerical methods. Zbl 0898.90028
AitSahlia, F.; Carr, P.
10
1997
Jump without tears: a new splitting technology for barrier options. Zbl 1267.91072
Itkin, Andrey; Carr, Peter
9
2011
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
Static hedging under time-homogeneous diffusions. Zbl 1247.91182
Carr, Peter; Nadtochiy, Sergey
7
2011
From local volatility to local Lévy models. Zbl 1405.91600
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
7
2004
A PDE approach to jump-diffusions. Zbl 1232.91652
Carr, Peter; Cousot, Laurent
5
2011
Semi-static hedging of barrier options under Poisson jumps. Zbl 1229.91299
Carr, Peter
4
2011
Hedging under the Heston model with jump-to-default. Zbl 1153.91469
Carr, Peter; Schoutens, Wim
4
2008
Multi-asset stochastic local variance contracts. Zbl 1229.91301
Carr, Peter; Laurence, Peter
4
2011
Variation and share-weighted variation swaps on time-changed Lévy processes. Zbl 1275.91129
Carr, Peter; Lee, Roger
3
2013
The forward PDE for European options on stocks with fixed fractional jumps. Zbl 1100.91038
Carr, Peter; Javaheri, Alireza
3
2005
Local variance gamma and explicit calibration to option prices. Zbl 1422.91685
Carr, Peter; Nadtochiy, Sergey
3
2017
Generating integrable one dimensional driftless diffusions. Zbl 1109.58034
Carr, Peter; Laurence, Peter; Wang, Tai-Ho
2
2006
Forward evolution equations for knock-out options. Zbl 1157.91355
Carr, Peter; Hirsa, Ali
2
2007
Hedging insurance books. Zbl 1371.91175
Carr, Peter; Madan, Dilip B.; Melamed, Michael; Schoutens, Wim
2
2016
Convex duality and financial mathematics. Zbl 1416.91003
Carr, Peter; Zhu, Qiji Jim
2
2018
Options on realized variance and convex orders. Zbl 1277.91164
Carr, Peter; Geman, Helyette; Madan, Dilip B.; Yor, Marc
1
2011
Explicit constructions of martingales calibrated to given implied volatility smiles. Zbl 1260.60079
Carr, Peter; Cousot, Laurent
1
2012
Two extensions to barrier option valuation. Zbl 1466.91328
Carr, P.
1
1995
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
2
2018
Local variance gamma and explicit calibration to option prices. Zbl 1422.91685
Carr, Peter; Nadtochiy, Sergey
3
2017
Hedging insurance books. Zbl 1371.91175
Carr, Peter; Madan, Dilip B.; Melamed, Michael; Schoutens, Wim
2
2016
On the hedging of options on exploding exchange rates. Zbl 1314.91205
Carr, Peter; Fisher, Travis; Ruf, Johannes
22
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
3
2013
Variance swaps on time-changed Lévy processes. Zbl 1266.60085
Carr, Peter; Lee, Roger; Wu, Liuren
25
2012
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models. Zbl 1254.91747
Itkin, Andrey; Carr, Peter
14
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
15
2011
Jump without tears: a new splitting technology for barrier options. Zbl 1267.91072
Itkin, Andrey; Carr, Peter
9
2011
Static hedging under time-homogeneous diffusions. Zbl 1247.91182
Carr, Peter; Nadtochiy, Sergey
7
2011
A PDE approach to jump-diffusions. Zbl 1232.91652
Carr, Peter; Cousot, Laurent
5
2011
Semi-static hedging of barrier options under Poisson jumps. Zbl 1229.91299
Carr, Peter
4
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
37
2010
Hedging variance options on continuous semimartingales. Zbl 1224.91149
Carr, Peter; Lee, Roger
24
2010
Pricing swaps and options on quadratic variation under stochastic time change models – discrete observations case. Zbl 1208.91146
Itkin, Andrey; Carr, Peter
23
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
17
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
37
2009
Saddlepoint methods for option pricing. Zbl 1178.91192
Carr, Peter; Madan, Dilip
23
2009
Hedging under the Heston model with jump-to-default. Zbl 1153.91469
Carr, Peter; Schoutens, Wim
4
2008
Self-decomposability and option pricing. Zbl 1278.91157
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
59
2007
A new approach for option pricing under stochastic volatility. Zbl 1140.91353
Carr, Peter; Sun, Jian
33
2007
Forward evolution equations for knock-out options. Zbl 1157.91355
Carr, Peter; Hirsa, Ali
2
2007
A jump to default extended CEV model: an application of Bessel processes. Zbl 1101.60057
Carr, Peter; Linetsky, Vadim
63
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
45
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
7
2004
Stochastic volatility for Lévy processes. Zbl 1092.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
231
2003
Bessel processes, the integral of geometric Brownian motion, and Asian options. Zbl 1056.91026
Carr, P.; Schröder, M.
27
2003
Towards a theory of volatility trading. Zbl 0990.91037
Carr, Peter; Madan, Dilip
26
2001
Optimal positioning in derivative securities. Zbl 1405.91599
Carr, P.; Madan, D.
22
2001
Optimal investment in derivative securities. Zbl 0977.60056
Carr, Peter; Jin, Xing; Madan, Dilip B.
18
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.
432
1998
Randomization and the American put. Zbl 1386.91134
Carr, Peter
105
1998
American options: A comparison of numerical methods. Zbl 0898.90028
AitSahlia, F.; Carr, P.
10
1997
Two extensions to barrier option valuation. Zbl 1466.91328
Carr, P.
1
1995
Alternative characterizations of American put options. Zbl 0900.90004
Carr, Peter; Jarrow, Robert; Myneni, Ravi
125
1992
all top 5

Cited by 1,546 Authors

54 Madan, Dilip B.
24 Schoutens, Wim
20 Carr, Peter P.
19 Levendorskiĭ, Sergeĭ Zakharovich
18 Pistorius, Martijn R.
17 Cui, Zhenyu
15 Linetsky, Vadim
15 Zhu, Songping
13 Figueroa-López, José E.
13 Todorov, Viktor
13 Yor, Marc
11 Li, Lingfei
11 Lorig, Matthew J.
10 Eberlein, Ernst W.
10 Ivanov, Roman V.
10 Kallsen, Jan
10 Kwok, Yue-Kuen
10 Leung, Tim
10 Mendoza-Arriaga, Rafael
9 Kyprianou, Andreas E.
9 Pascucci, Andrea
9 Ruf, Johannes
8 Boyarchenko, Svetlana I.
8 Elliott, Robert James
8 Itkin, Andrey
8 Jacquier, Antoine
8 Leonenko, Nikolai N.
8 Muhle-Karbe, Johannes
8 Yamazaki, Akira
8 Zhang, Hongzhong
7 Dias, José Carlos
7 Li, Shenghong
7 Meerschaert, Mark Marvin
7 Mijatović, Aleksandar
7 Tankov, Peter
6 Chen, Wenting
6 Guillaume, Florence
6 Jeon, Junkee
6 Kawai, Reiichiro
6 Kudryavtsev, Oleg
6 Nicolato, Elisa
6 Oosterlee, Cornelis Willebrordus
6 Seneta, Eugene
6 Wang, King-Hang
5 Baldeaux, Jan
5 Ballotta, Laura
5 Bo, Lijun
5 Cox, Alexander Matthew Gordon
5 Detemple, Jerome B.
5 Ding, Deng
5 Fabozzi, Frank J.
5 Forde, Martin
5 Fusai, Gianluca
5 Geman, Hélyette
5 He, Xinjiang
5 Hobson, David Graham
5 Landriault, David
5 Larsson, Martin
5 Lei, Siulong
5 Lian, Guanghua
5 Linders, Daniël
5 Lipton, Alexander
5 Nadtochiy, Sergey
5 Nunes, João Pedro Vidal
5 Platen, Eckhard
5 Privault, Nicolas
5 Schmutz, Michael
5 Siu, Tak Kuen
5 Wang, Yongjin
5 Zhang, Jin E.
5 Zheng, Wendong
5 Zhu, Lingjiong
4 Aït-Sahalia, Yacine
4 Albanese, Claudio
4 Andersen, Torben G.
4 Barndorff-Nielsen, Ole Eiler
4 Bayraktar, Erhan
4 Bernard, Carole L.
4 Boyarchenko, Mitya
4 Buckley, Winston S.
4 Cai, Ning
4 Capponi, Agostino
4 Chen, Xu
4 Cheung, Eric C. K.
4 Cheung, Ka Chun
4 Chiarella, Carl
4 Company, Rafael
4 Fajardo, José
4 Gerhold, Stefan
4 Goard, Joanna M.
4 Grasselli, Martino
4 Guasoni, Paolo
4 Hughston, Lane P.
4 Imamura, Yuri
4 Jódar Sanchez, Lucas Antonio
4 Keller-Ressel, Martin
4 Kijima, Masaaki
4 Kimura, Toshikazu
4 Koo, Hyeng Keun
4 Korolev, Viktor Yur’evich
...and 1,446 more Authors
all top 5

Cited in 189 Serials

140 Quantitative Finance
94 International Journal of Theoretical and Applied Finance
55 Finance and Stochastics
49 Applied Mathematical Finance
47 Mathematical Finance
37 Review of Derivatives Research
35 European Journal of Operational Research
34 Stochastic Processes and their Applications
32 Insurance Mathematics & Economics
30 Journal of Economic Dynamics & Control
29 Journal of Computational and Applied Mathematics
26 Journal of Econometrics
26 SIAM Journal on Financial Mathematics
23 The Annals of Applied Probability
18 Statistics & Probability Letters
18 Methodology and Computing in Applied Probability
17 Advances in Applied Probability
17 Applied Mathematics and Computation
16 Annals of Finance
14 Computers & Mathematics with Applications
14 Journal of Mathematical Analysis and Applications
14 Mathematics and Financial Economics
13 Journal of Applied Probability
13 Stochastics
11 Asia-Pacific Financial Markets
9 Annals of Operations Research
9 International Journal of Computer Mathematics
8 Physica A
8 Bernoulli
7 Stochastic Analysis and Applications
7 Journal of Scientific Computing
7 Scandinavian Actuarial Journal
7 Decisions in Economics and Finance
6 The Annals of Statistics
6 Applied Mathematics and Optimization
6 Japan Journal of Industrial and Applied Mathematics
6 Discrete Dynamics in Nature and Society
6 Communications in Nonlinear Science and Numerical Simulation
6 The ANZIAM Journal
5 Journal of Statistical Planning and Inference
5 Mathematics of Operations Research
5 Operations Research
5 Operations Research Letters
5 Applied Mathematics Letters
5 Communications in Statistics. Theory and Methods
5 SIAM Journal on Scientific Computing
5 Applied Mathematics. Series B (English Edition)
5 North American Actuarial Journal
4 Chaos, Solitons and Fractals
4 Journal of Multivariate Analysis
4 Mathematics and Computers in Simulation
4 Probability Theory and Related Fields
4 Journal of Theoretical Probability
4 Mathematical and Computer Modelling
4 Computational Statistics and Data Analysis
4 East Asian Journal on Applied Mathematics
4 Probability, Uncertainty and Quantitative Risk
3 Scandinavian Journal of Statistics
3 The Annals of Probability
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 Mathematical Problems in Engineering
3 Abstract and Applied Analysis
3 Mathematical Methods of Operations Research
3 Fractional Calculus & Applied Analysis
3 Proceedings of the Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences
3 Probability in the Engineering and Informational Sciences
3 Econometric Theory
3 Journal of Systems Science and Complexity
3 Journal of Applied Mathematics
3 Comptes Rendus. Mathématique. Académie des Sciences, Paris
3 ASTIN Bulletin
3 Computational Management Science
3 Advances in Difference Equations
3 Journal of Industrial and Management Optimization
3 International Journal of Stochastic Analysis
3 European Actuarial Journal
2 Journal of Mathematical Physics
2 Lithuanian Mathematical Journal
2 Journal of Functional Analysis
2 Journal of Mathematical Economics
2 Publications of the Research Institute for Mathematical Sciences, Kyoto University
2 Statistics
2 Optimization
2 European Journal of Applied Mathematics
2 Numerical Algorithms
2 Applied Mathematical Modelling
2 Automation and Remote Control
2 Communications in Statistics. Simulation and Computation
2 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
2 Computational Economics
2 Computational and Applied Mathematics
2 Fractals
2 Monte Carlo Methods and Applications
...and 89 more Serials
all top 5

Cited in 36 Fields

1,027 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
680 Probability theory and stochastic processes (60-XX)
208 Statistics (62-XX)
202 Numerical analysis (65-XX)
110 Partial differential equations (35-XX)
33 Operations research, mathematical programming (90-XX)
29 Systems theory; control (93-XX)
26 Integral equations (45-XX)
22 Integral transforms, operational calculus (44-XX)
13 Real functions (26-XX)
13 Calculus of variations and optimal control; optimization (49-XX)
12 Approximations and expansions (41-XX)
12 Harmonic analysis on Euclidean spaces (42-XX)
11 Special functions (33-XX)
11 Ordinary differential equations (34-XX)
11 Operator theory (47-XX)
6 Statistical mechanics, structure of matter (82-XX)
5 Computer science (68-XX)
3 Linear and multilinear algebra; matrix theory (15-XX)
3 Measure and integration (28-XX)
3 Functional analysis (46-XX)
3 Quantum theory (81-XX)
2 Geophysics (86-XX)
1 Mathematical logic and foundations (03-XX)
1 Number theory (11-XX)
1 Topological groups, Lie groups (22-XX)
1 Functions of a complex variable (30-XX)
1 Potential theory (31-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 Fluid mechanics (76-XX)
1 Relativity and gravitational theory (83-XX)
1 Information and communication theory, circuits (94-XX)
1 Mathematics education (97-XX)

Citations by Year