Peter P. Carr : Citation Profile


Deceased: 2022-03-01

26

H index

42

i10 index

3446

Citations

RESEARCH PRODUCTION:

64

Articles

33

Papers

6

Chapters

RESEARCH ACTIVITY:

   35 years (1987 - 2022). See details.
   Cites by year: 98
   Journals where Peter P. Carr has often published
   Relations with other researchers
   Recent citing documents: 258.    Total self citations: 36 (1.03 %)

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   Permalink: http://citec.repec.org/pca1563
   Updated: 2022-10-01    RAS profile:    
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Relations with other researchers


Works with:

Itkin, Andrey (7)

Authors registered in RePEc who have co-authored more than one work in the last five years with Peter P. Carr.

Is cited by:

Christoffersen, Peter (39)

Itkin, Andrey (31)

Cartea, Álvaro (27)

Wu, Liuren (25)

Fajardo, José (24)

Ait-Sahalia, Yacine (24)

Boyarchenko, Svetlana (24)

Leung, Tim (23)

Andersen, Torben (20)

Li, Minqiang (20)

Alexander, Carol (20)

Cites to:

Wu, Liuren (30)

merton, robert (20)

Campbell, John (18)

Itkin, Andrey (16)

Chen, Zhiwu (14)

Scholes, Myron (13)

Bollerslev, Tim (12)

Cao, Charles (12)

Andersen, Torben (9)

Jarrow, Robert (9)

Svensson, Lars (9)

Main data


Where Peter P. Carr has published?


Journals with more than one article published# docs
Finance and Stochastics8
Quantitative Finance7
Journal of Financial Economics5
Review of Financial Studies5
Mathematical Finance5
International Journal of Theoretical and Applied Finance (IJTAF)4
Journal of Finance4
Finance Research Letters3
The Journal of Financial Econometrics3
Computational Economics2
Review of Derivatives Research2
Review of Finance2
Applied Mathematical Finance2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org22
Finance / University Library of Munich, Germany8

Recent works citing Peter P. Carr (2022 and 2021)


YearTitle of citing document
2021A machine learning approach to volatility forecasting. (2021). Veliyev, Bezirgen ; Christensen, Kim ; Siggaard, Mathias. In: CREATES Research Papers. RePEc:aah:create:2021-03.

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2022Long memory self-exciting jump diffusion for asset prices modeling. (2022). Hainaut, Donatien ; Njike, Charles G. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022003.

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2022Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274.

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2022Consistent Inter-Model Specification for Time-Homogeneous SPX Stochastic Volatility and VIX Market Models. (2018). Papanicolaou, Andrew. In: Papers. RePEc:arx:papers:1812.05859.

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2022Additive normal tempered stable processes for equity derivatives and power law scaling. (2019). Baviera, Roberto ; Azzone, Michele. In: Papers. RePEc:arx:papers:1909.07139.

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2021Dynamics of symmetric SSVI smiles and implied volatility bubbles. (2019). Martini, Claude ; Jacquier, Antoine ; el Amrani, Mehdi. In: Papers. RePEc:arx:papers:1909.10272.

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2021Stochastic leverage effect in high-frequency data: a Fourier based analysis. (2019). Sanfelici, Simona ; Curato, Imma Valentina. In: Papers. RePEc:arx:papers:1910.06660.

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2021The value of power-related options under spectrally negative L\evy processes. (2019). Aguilar, Jean-Philippe. In: Papers. RePEc:arx:papers:1910.07971.

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2022Inference of Binary Regime Models with Jump Discontinuities. (2019). Rajani, Sharan ; Goswami, Anindya ; Das, Milan Kumar. In: Papers. RePEc:arx:papers:1910.10606.

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2021Closed form optimal exercise boundary of the American put option. (2019). Kitapbayev, Yerkin. In: Papers. RePEc:arx:papers:1912.05438.

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2021Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps. (2020). Vasiljevi, Nikola ; Mathys, Ludovic ; Farkas, Walter. In: Papers. RePEc:arx:papers:2002.04675.

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2021Detection of arbitrage opportunities in multi-asset derivatives markets. (2020). Sarmiento, Paulo Yanez ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:2002.06227.

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2021First exit-time analysis for an approximate Barndorff-Nielsen and Shephard model with stationary self-decomposable variance process. (2020). Sengupta, Indranil ; Awasthi, Shantanu. In: Papers. RePEc:arx:papers:2006.07167.

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2022Simplified stochastic calculus via semimartingale representations. (2020). Černý, Aleš ; Vcern, Alevs ; Ruf, Johannes. In: Papers. RePEc:arx:papers:2006.11914.

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2021From the Black-Karasinski to the Verhulst model to accommodate the unconventional Feds policy. (2020). Lipton, A ; Itkin, A ; Muravey, D. In: Papers. RePEc:arx:papers:2006.11976.

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2022A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312.

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2021Perpetual American options with asset-dependent discounting. (2020). Palmowski, Zbigniew ; Al-Hadad, Jonas. In: Papers. RePEc:arx:papers:2007.09419.

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2022Uniqueness in Cauchy problems for diffusive real-valued strict local martingales. (2020). Larsen, Kasper ; Cetin, Umut. In: Papers. RePEc:arx:papers:2007.15041.

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2021Hybrid quantum-classical optimization for financial index tracking. (2020). Jos, Juan ; Porras, Diego ; Fern, Samuel. In: Papers. RePEc:arx:papers:2008.12050.

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2021Explicit solution simulation method for the 3/2 model. (2020). MacKay, Anne ; Kouritzin, Michael A ; Ren, Iro. In: Papers. RePEc:arx:papers:2009.09058.

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2021On the Continuity of the Root Barrier. (2020). Bayraktar, Erhan ; Bernhardt, Thomas. In: Papers. RePEc:arx:papers:2010.14695.

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2021Estimating real-world probabilities: A forward-looking behavioral framework. (2020). Crisóstomo, Ricardo. In: Papers. RePEc:arx:papers:2012.09041.

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2021Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options. (2021). Papanicolaou, Andrew. In: Papers. RePEc:arx:papers:2101.00299.

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2022Estimation of Tempered Stable L\{e}vy Models of Infinite Variation. (2021). Han, Yuchen ; Gong, Ruoting ; Jos'e E. Figueroa-L'opez, . In: Papers. RePEc:arx:papers:2101.00565.

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2021Dynamic industry uncertainty networks and the business cycle. (2021). Baruník, Jozef ; Faff, Robert ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:2101.06957.

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2021The Log Moment formula for implied volatility. (2021). Raval, Vimal ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2101.08145.

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2021Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing. (2021). Kim, Young Shin. In: Papers. RePEc:arx:papers:2101.11001.

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2021Super-replication with transaction costs under model uncertainty for continuous processes. (2021). Rasonyi, Miklos ; Chau, Huy N ; Fukasawa, Masaaki. In: Papers. RePEc:arx:papers:2102.02298.

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2021Group Quantization of Quadratic Hamiltonians in Finance. (2021). Garcia, Santiago . In: Papers. RePEc:arx:papers:2102.05338.

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2021Multilayer heat equations: application to finance. (2021). Muravey, D ; Lipton, A ; Itkin, A. In: Papers. RePEc:arx:papers:2102.08338.

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2021Deep Equal Risk Pricing of Financial Derivatives with Multiple Hedging Instruments. (2021). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2102.12694.

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2021State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data. (2021). Kim, Donggyu ; Chun, Dohyun. In: Papers. RePEc:arx:papers:2102.13404.

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2021Pricing Energy Derivatives in Markets Driven by Tempered Stable and CGMY Processes of Ornstein-Uhlenbeck Type. (2021). Sabino, Piergiacomo. In: Papers. RePEc:arx:papers:2103.13252.

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2021Analytic formula for option margin with liquidity costs under dynamic delta hedging. (2021). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:2103.15302.

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2021Monte Carlo algorithm for the extrema of tempered stable processes. (2021). Mijatovi, Aleksandar ; Gonz, Jorge Ignacio. In: Papers. RePEc:arx:papers:2103.15310.

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2021Influence of risk tolerance on long-term investments: A Malliavin calculus approach. (2021). Park, Hyungbin. In: Papers. RePEc:arx:papers:2104.00911.

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2021Functional quantization of rough volatility and applications to the VIX. (2021). Jacquier, Antoine ; Callegaro, Giorgia ; Bonesini, Ofelia. In: Papers. RePEc:arx:papers:2104.04233.

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2021The American put with finite-time maturity and stochastic interest rate. (2021). Cai, Cheng ; Palczewski, Jan ; de Angelis, Tiziano. In: Papers. RePEc:arx:papers:2104.08502.

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2021Hermite Polynomial-based Valuation of American Options with General Jump-Diffusion Processes. (2021). Chen, LI ; Zhang, Guang. In: Papers. RePEc:arx:papers:2104.11870.

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2021Multivariate tempered stable additive subordination for financial models. (2021). Semeraro, Patrizia. In: Papers. RePEc:arx:papers:2105.00844.

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2021Global Index on Financial Losses due to Crime in the United States. (2021). Mahanama, Thilini ; Rachev, Svetlozar ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2105.03514.

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2021Revisiting the Implied Remaining Variance framework of Carr and Sun (2014): Locally consistent dynamics and sandwiched martingales. (2021). Martini, Claude ; Raffaelli, Iacopo. In: Papers. RePEc:arx:papers:2105.06390.

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2021Arbitrage-free neural-SDE market models. (2021). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2105.11053.

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2021Multidimensional linear and nonlinear partial integro-differential equation in Bessel potential spaces with applications in option pricing. (2021). Udeani, Cyril Izuchukwu ; Sevcovic, Daniel. In: Papers. RePEc:arx:papers:2106.10498.

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2021The Variance Gamma++ Process and Applications to Energy Markets. (2021). E, ; P., ; M., . In: Papers. RePEc:arx:papers:2106.15452.

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2022Markov-modulated Affine Processes. (2021). Frey, Rudiger ; Kurt, Kevin. In: Papers. RePEc:arx:papers:2106.16240.

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2021Feasible Implied Correlation Matrices from Factor Structures. (2021). Schadner, Wolfgang. In: Papers. RePEc:arx:papers:2107.00427.

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2021A General Approach for Parisian Stopping Times under Markov Processes. (2021). Li, Lingfei ; Zhang, Gongqiu. In: Papers. RePEc:arx:papers:2107.06605.

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2021Short-time implied volatility of additive normal tempered stable processes. (2021). Baviera, Roberto ; Azzone, Michele. In: Papers. RePEc:arx:papers:2108.02447.

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2022Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders. (2021). Bergeron, Maxime ; Zhang, Xiaorong ; Jaimungal, Sebastian ; Ning, Brian. In: Papers. RePEc:arx:papers:2108.04941.

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2022Precise option pricing by the COS method -- How to choose the truncation interval. (2021). Pankrashkin, Konstantin ; Junike, Gero. In: Papers. RePEc:arx:papers:2109.01030.

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2021Semi-analytical pricing of barrier options in the time-dependent $\lambda$-SABR model. (2021). Itkin, Andrey ; Muravey, Dmitry. In: Papers. RePEc:arx:papers:2109.02134.

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2021On certain representations of pricing functionals. (2021). Marinelli, Carlo. In: Papers. RePEc:arx:papers:2109.05564.

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2021SINH-acceleration for B-spline projection with Option Pricing Applications. (2021). Levendorskiui, Sergei ; Boyarchenko, Svetlana ; Cui, Zhenyu ; Kirkby, Lars J. In: Papers. RePEc:arx:papers:2109.08738.

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2021Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes. (2021). Rachev, Svetlozar T ; Lindquist, Brent W ; Mittnik, Stefan ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2109.15051.

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2021Liquidity-free implied volatilities: an approach using conic finance. (2021). Spreij, Peter ; Khedher, Asma ; Michielon, Matteo. In: Papers. RePEc:arx:papers:2110.11718.

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2021Pricing S&P 500 Index Options with L\evy Jumps. (2021). Liang, Nan ; Xie, Bin. In: Papers. RePEc:arx:papers:2111.10033.

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2021A General Approach for Lookback Option Pricing under Markov Models. (2021). Li, Lingfei ; Zhang, Gongqiu. In: Papers. RePEc:arx:papers:2112.00439.

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2022CBI-time-changed L\evy processes for multi-currency modeling. (2021). Szulda, Guillaume ; Gnoatto, Alessandro ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2112.02440.

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2021A Bayesian take on option pricing with Gaussian processes. (2021). Roberts, Stephen ; Tegner, Martin. In: Papers. RePEc:arx:papers:2112.03718.

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2021Realized GARCH, CBOE VIX, and the Volatility Risk Premium. (2021). Huang, Zhuo ; Wang, Tianyi ; Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2112.05302.

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2021Hedging Cryptocurrency Options. (2021). Hardle, Wolfgang Karl ; Packham, Natalie ; Matic, Jovanka Lili. In: Papers. RePEc:arx:papers:2112.06807.

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2021A fast Monte Carlo scheme for additive processes and option pricing. (2021). Baviera, Roberto ; Azzone, Michele. In: Papers. RePEc:arx:papers:2112.08291.

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2021Rough multifactor volatility for SPX and VIX options. (2021). Pannier, Alexandre ; Muguruza, Aitor ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2112.14310.

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2021Stochastic measure distortions induced by quantile processes for risk quantification and valuation. (2021). Peters, Gareth W ; Macrina, Andrea ; Brannelly, Holly. In: Papers. RePEc:arx:papers:2201.02045.

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2022A Survey of Quantum Computing for Finance. (2022). Liu, Xiao Yuan ; Googin, Cody ; Herman, Dylan ; Alexeev, Yuri ; Pistoia, Marco ; Sun, Yue ; Safro, Ilya ; Galda, Alexey. In: Papers. RePEc:arx:papers:2201.02773.

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2022New volatility evolution model after extreme events. (2022). Li, Sai-Ping ; Chen, Zhang-Hangjian ; Cai, Mei-Ling ; Ren, Fei ; Yang, Ming-Yuan ; Zhang, Wei ; Xiong, Xiong. In: Papers. RePEc:arx:papers:2201.03213.

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2022Pricing European Options under Stochastic Volatility Models: Case of five-Parameter Gamma-Variance Process. (2022). Nzokem, A H. In: Papers. RePEc:arx:papers:2201.03378.

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2022Stochastic Local Volatility models and the Wei-Norman factorization method. (2022). Orlando, Giuseppe ; Guerrero, Julio. In: Papers. RePEc:arx:papers:2201.11241.

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2022Efficient Volatility Estimation for L\evy Processes with Jumps of Unbounded Variation. (2022). Han, Yuchen ; Jos'e E. Figueroa-L'opez, ; Boniece, Cooper B. In: Papers. RePEc:arx:papers:2202.00877.

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2022A discussion of stochastic dominance and mean-CVaR optimal portfolio problems based on mean-variance-mixture models. (2022). Sayit, Hasanjan. In: Papers. RePEc:arx:papers:2202.02488.

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2022Toward an efficient hybrid method for pricing barrier options on assets with stochastic volatility. (2022). Lipton, Alexander ; Sepp, Artur. In: Papers. RePEc:arx:papers:2202.07849.

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2022Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in L\evy Models. (2022). Bayer, Christian ; Tempone, Ra'Ul ; Samet, Michael ; Papapantoleon, Antonis ; ben Hammouda, Chiheb. In: Papers. RePEc:arx:papers:2203.08196.

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2022The Variable Volatility Elasticity Model from Commodity Markets. (2022). Gong, Fuzhou ; Wang, Ting. In: Papers. RePEc:arx:papers:2203.09177.

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2022Supervised machine learning classification for short straddles on the S&P500. (2022). Larcher, Gerhard ; Kofler, Johannes ; Desmettre, Sascha ; Seidl, Philipp ; Brunhuemer, Alexander. In: Papers. RePEc:arx:papers:2204.13587.

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2022Hedging option books using neural-SDE market models. (2022). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2205.15991.

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2022Static Hedging of Freight Risk under Model Uncertainty. (2022). Papayiannis, Georgios I. In: Papers. RePEc:arx:papers:2207.00862.

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2022L\evy models amenable to efficient calculations. (2022). Levendorskiui, Sergei ; Boyarchenko, Svetlana. In: Papers. RePEc:arx:papers:2207.02359.

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2022Cost-efficient Payoffs under Model Ambiguity. (2022). Vanduffel, Steven ; Lux, Thibaut ; Junike, Gero ; Bernard, Carole. In: Papers. RePEc:arx:papers:2207.02948.

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2022Linear and Nonlinear Partial Integro-Differential Equations arising from Finance. (2022). Udeani, Cyril Izuchukwu ; Sevcovic, Daniel ; Grossinho, Maria ; Cruz, Jose. In: Papers. RePEc:arx:papers:2207.11568.

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2022Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation. (2022). Vachon, Marie-Claude ; MacKay, Anne ; Cui, Zhenyu. In: Papers. RePEc:arx:papers:2207.14793.

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2022Short-time expansion of characteristic functions in a rough volatility setting with applications. (2022). Todorov, Viktor ; Chong, Carsten. In: Papers. RePEc:arx:papers:2208.00830.

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2022Estimation of Historical volatility and Allocation strategies using Variance Swaps. (2022). Fiorin, Lucio. In: Papers. RePEc:arx:papers:2208.03164.

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2022Automated Market Making and Loss-Versus-Rebalancing. (2022). Zhang, Anthony Lee ; Roughgarden, Tim ; Moallemi, Ciamac C ; Milionis, Jason. In: Papers. RePEc:arx:papers:2208.06046.

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2022Exponential utility maximization in small/large financial markets. (2022). Sayit, Hasanjan. In: Papers. RePEc:arx:papers:2208.06549.

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2022Do Investors Hedge Against Green Swans? Option-Implied Risk Aversion to Wildfires. (2022). Ouazad, Amine. In: Papers. RePEc:arx:papers:2208.06930.

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2022Quasi-Logconvex Measures of Risk. (2022). Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela . In: Papers. RePEc:arx:papers:2208.07694.

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2022On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500. (2022). Grzelak, Lech A. In: Papers. RePEc:arx:papers:2208.12518.

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2022Regime-based Implied Stochastic Volatility Model for Crypto Option Pricing. (2022). Aste, Tomaso ; Wang, Yuanrong ; Saef, Danial. In: Papers. RePEc:arx:papers:2208.12614.

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2021Firm-specific risk-neutral distributions with options and CDS. (2021). Jahan-Parvar, Mohammad ; Aramonte, Sirio ; Schindler, John W ; Rosen, Samuel. In: BIS Working Papers. RePEc:bis:biswps:921.

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2021Passive funds affect prices: evidence from the most ETF-dominated asset classes. (2021). Todorov, Karamfil. In: BIS Working Papers. RePEc:bis:biswps:952.

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2021Implied volatility smirk in the Australian dollar market. (2021). Ruan, Xinfeng ; Zhang, Jin E ; Gehricke, Sebastian A. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:4573-4599.

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2021New Zealand whole milk powder options. (2021). Zhang, Jin E ; Aschakulporn, Pakorn. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:s1:p:2201-2246.

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2021Relevance of the disposition effect on the options market: New evidence. (2021). Chou, Robin K ; Chiu, Hsinyu ; Chiang, Mihsiu. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:1:p:75-106.

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2021Is aggregate volatility a priced risk factor?. (2021). Peterburgsky, Stanley. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:3:p:843-864.

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2021Model?Free International Stochastic Discount Factors. (2021). Vedolin, Andrea ; Trojani, Fabio ; Sandulescu, Mirela. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:2:p:935-976.

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2021Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment. (2021). Martin, Ian ; Gao, Can. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:6:p:3211-3254.

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2021Double continuation regions for American options under Poisson exercise opportunities. (2021). Perez, Jose Luis ; Palmowski, Zbigniew ; Yamazaki, Kazutoshi. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:2:p:722-771.

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2021Intra?Horizon expected shortfall and risk structure in models with jumps. (2021). Vasiljevi, Nikola ; Mathys, Ludovic ; Farkas, Walter. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:2:p:772-823.

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2022Protecting pegged currency markets from speculative investors. (2022). Schied, Alexander ; Neuman, Eyal. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:1:p:405-420.

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2022Affine term structure models: A time?change approach with perfect fit to market curves. (2022). Vrins, Frederic ; Mbaye, Cheikh. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:2:p:678-724.

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More than 100 citations found, this list is not complete...

Works by Peter P. Carr:


YearTitleTypeCited
2009Volatility Derivatives In: Annual Review of Financial Economics.
[Full Text][Citation analysis]
article70
2010Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models In: Papers.
[Full Text][Citation analysis]
paper8
2012Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models.(2012) In: Computational Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
article
2013Why are quadratic normal volatility models analytically tractable? In: Papers.
[Full Text][Citation analysis]
paper12
2013On the Hedging of Options On Exploding Exchange Rates In: Papers.
[Full Text][Citation analysis]
paper32
2014On the hedging of options on exploding exchange rates.(2014) In: Finance and Stochastics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32
article
2014Local Variance Gamma and Explicit Calibration to Option Prices In: Papers.
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paper8
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