Access Statistics for Peter P. Carr

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A lognormal type stochastic volatility model with quadratic drift 0 0 0 20 0 2 19 79
A model-free backward and forward nonlinear PDEs for implied volatility 0 1 1 5 1 2 8 28
ADOL - Markovian approximation of rough lognormal model 0 0 0 17 0 1 16 61
An Expanded Local Variance Gamma model 0 0 0 6 0 1 13 57
Bessel processes, the integral of geometric Brownian motion, and Asian options 0 0 0 38 0 0 10 117
Determining Optimal Trading Rules without Backtesting 0 0 1 17 1 14 33 77
FX Options in Target Zone 0 0 0 10 1 2 21 84
Generalizing Geometric Brownian Motion 0 0 0 17 0 1 7 61
Geometric Local Variance Gamma model 0 0 0 4 0 1 10 43
Local Variance Gamma and Explicit Calibration to Option Prices 0 0 1 23 0 1 15 38
On the Hedging of Options On Exploding Exchange Rates 1 1 1 11 1 2 9 78
On the Qualitative Effect of Volatility and Duration on Prices of Asian Options 0 0 0 82 0 0 5 270
On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited 0 0 1 50 0 3 16 192
Pollution Reduction, Environmental Uncertainty, and the Irreversibility Effect 0 0 0 0 0 1 9 1,380
Pricing Variance Swaps on Time-Changed Markov Processes 0 0 0 8 1 4 13 30
Randomization and the American Put 0 0 0 284 1 1 9 1,069
Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions 0 0 1 6 1 2 15 26
Robust replication of barrier-style claims on price and volatility 0 0 0 6 1 2 7 29
Semi-analytical pricing of barrier options in the time-dependent Heston model 0 1 1 16 0 3 20 51
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models 0 1 1 4 0 2 13 33
Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process 0 0 0 6 1 2 11 33
Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer 0 0 0 5 0 0 10 46
Static Hedging of Standard Options 1 1 3 1,233 2 7 51 3,727
Stochastic Skew in Currency Options 0 0 0 529 0 2 25 1,663
Stochastic Volatility for Levy Processes 0 0 0 5 1 1 14 61
The Finite Moment Log Stable Process and Option Pricing 0 0 1 482 1 2 27 1,294
Time-Changed Levy Processes and Option Pricing 0 0 1 1,207 0 2 22 2,495
Using Machine Learning to Predict Realized Variance 0 0 2 65 0 2 28 113
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models 0 0 0 30 0 0 13 111
Valuing Finite-Lived Options as Perpetual 0 0 0 301 0 1 10 869
Variance Risk Premia 0 3 12 566 7 23 100 1,509
Vol, Skew, and Smile Trading 1 3 16 104 1 4 35 156
What Type of Process Underlies Options? A Simple Robust Test 0 2 2 334 1 6 31 761
When to Sell an Asset? - A Distribution Builder Approach 0 1 1 1 2 7 7 7
Why are quadratic normal volatility models analytically tractable? 0 0 0 16 0 3 20 103
Total Working Papers 3 14 46 5,508 24 107 672 16,751

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Note on the Pricing of Commodity-Linked Bonds 0 0 0 80 0 0 3 178
A PDE approach to jump-diffusions 0 0 0 12 0 0 8 72
A Simple Robust Link Between American Puts and Credit Protection 0 0 2 38 0 3 11 132
A class of Levy process models with almost exact calibration to both barrier and vanilla FX options 0 0 0 24 1 3 8 101
A functional analysis approach to the static replication of European options 1 3 5 6 1 3 19 29
A jump to default extended CEV model: an application of Bessel processes 0 0 1 43 0 2 15 256
A new approach for option pricing under stochastic volatility 0 0 0 132 1 3 18 320
A note on sufficient conditions for no arbitrage 3 3 10 99 6 8 34 286
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 5 5 10 46 6 7 40 169
Additive logistic processes in option pricing 0 0 0 1 0 0 16 29
Adjusting exponential Lévy models toward the simultaneous calibration of market prices for crash cliquets 0 0 0 0 0 1 8 8
An Expanded Local Variance Gamma Model 0 1 1 5 1 2 7 23
Analyzing volatility risk and risk premium in option contracts: A new theory 0 1 12 131 3 9 58 486
Bounded Brownian Motion 0 0 0 15 0 1 7 99
Convex duality in continuous option pricing models 0 1 1 7 0 4 20 32
Decomposing Long Bond Returns: A Decentralized Theory* 0 0 0 12 2 2 12 39
Derivatives pricing under bilateral counterparty risk 0 0 0 0 0 0 4 5
Deriving derivatives of derivative securities 0 0 2 3 0 0 5 7
FX options in target zones 0 0 0 4 2 2 15 37
Factor Models for Option Pricing 0 0 2 36 0 3 14 96
First-order calculus and option pricing 0 0 1 5 0 0 10 42
From local volatility to local Levy models 0 0 0 4 0 0 11 37
HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT 0 1 1 4 0 1 11 35
Hedging insurance books 0 0 0 4 0 0 8 32
Hedging variance options on continuous semimartingales 0 0 0 16 0 0 14 104
Joint modeling of VIX and SPX options at a single and common maturity with risk management applications 0 0 1 3 0 62 75 89
LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES 0 0 1 13 0 0 12 49
Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions 1 2 4 17 2 3 16 70
MAXIMUM DRAWDOWN INSURANCE 2 2 3 9 2 2 15 45
Markets, profits, capital, leverage and return 0 0 1 1 0 0 9 9
On the Numerical Evaluation of Option Prices in Jump Diffusion Processes 0 0 0 60 1 1 7 174
On the hedging of options on exploding exchange rates 0 0 0 7 0 1 7 77
On the qualitative effect of volatility and duration on prices of Asian options 0 0 1 22 0 1 14 109
Optimal investment in derivative securities 0 0 0 221 0 0 5 770
Optimal positioning in derivative securities 0 0 0 139 1 3 13 406
Optimal rates from eigenvalues 0 0 0 1 0 0 9 21
Option Profit and Loss Attribution and Pricing: A New Framework 1 2 6 55 5 11 40 286
Option valuation using the fast Fourier transform 2 3 10 14 2 5 35 46
Options on realized variance and convex orders 0 0 0 1 0 0 14 19
Pricing and hedging in incomplete markets 0 0 0 123 1 2 10 277
Pricing options on realized variance 0 0 0 64 0 1 10 258
Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case 0 0 0 28 0 0 5 110
Randomization and the American Put 0 0 0 0 0 1 10 265
Robust replication of volatility and hybrid derivatives on jump diffusions 0 0 0 0 0 1 16 21
SELF‐DECOMPOSABILITY AND OPTION PRICING 0 0 0 34 0 0 4 100
SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS 0 0 2 8 0 3 11 26
Saddlepoint methods for option pricing 0 0 0 0 0 0 8 11
Seabirds enhance coral reef productivity and functioning in the absence of invasive rats 0 0 0 2 0 0 9 17
Semi-Robust Replication of Barrier-Style Claims on Price and Volatility 0 0 0 2 0 2 7 11
Spiking the Volatility Punch 0 0 0 0 0 1 3 10
Static Hedging of Standard Options 0 0 0 16 2 2 26 85
Static Hedging of Standard Options 1 1 2 7 2 2 19 53
Static replication of European standard dispersion options 0 0 1 5 0 1 16 28
Stochastic Volatility for Lévy Processes 0 0 2 85 0 0 13 256
Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies 0 0 0 80 0 2 7 344
Stochastic skew in currency options 0 2 2 135 0 9 20 480
Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation 0 0 2 89 2 3 15 392
THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS 0 0 0 11 0 1 9 32
The Fine Structure of Asset Returns: An Empirical Investigation 0 1 9 255 1 3 29 944
The Finite Moment Log Stable Process and Option Pricing 0 0 2 7 2 7 24 51
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 0 6 463 3 9 37 1,347
The Valuation of Executive Stock Options in an Intensity-Based Framework 0 0 1 4 1 2 7 43
The Variance Gamma Process and Option Pricing 3 4 20 177 5 12 75 607
Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options 0 0 0 50 0 0 10 182
Time-changed Levy processes and option pricing 1 1 3 246 4 4 45 781
Two extensions to barrier option valuation 0 0 1 51 0 2 13 145
Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models 0 0 0 6 0 1 16 69
Variance Risk Premiums 4 15 37 196 46 104 217 754
Variance Risk Premiums 0 1 3 36 5 18 40 155
Variance swaps on time-changed Lévy processes 0 0 0 12 0 1 13 77
Variation and share-weighted variation swaps on time-changed Lévy processes 0 1 1 4 0 1 12 44
Volatility Derivatives 0 0 5 164 5 14 61 551
What Type of Process Underlies Options? A Simple Robust Test 0 0 0 41 1 1 9 229
Total Journal Articles 24 50 174 3,691 116 353 1,473 13,579
4 registered items for which data could not be found

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 3 3 4 18 4 6 27 80
AN ALTERNATIVE APPROACH FOR VALUING CONTINUOUS CASH FLOWS 0 0 0 5 0 0 10 25
DETERMINING VOLATILITY SURFACES AND OPTION VALUES FROM AN IMPLIED VOLATILITY SMILE 0 0 0 17 0 1 18 69
Option Pricing Generators 0 0 1 2 0 1 8 14
Probabilistic Interpretation of Black Implied Volatility 0 0 1 9 0 0 9 30
SIMULATING BERMUDAN INTEREST RATE DERIVATIVES 0 0 1 27 0 0 11 63
STATIC HEDGING OF EXOTIC OPTIONS 0 0 1 10 1 10 17 59
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 0 1 5 36 1 8 38 171
Total Chapters 3 4 13 124 6 26 138 511

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Statistics updated 2026-10-11