Peter Carr
New York University(US)
Publications by Year
Research Areas
Stochastic processes and financial applications, Financial Risk and Volatility Modeling, Financial Markets and Investment Strategies, Capital Investment and Risk Analysis, Credit Risk and Financial Regulations
Most-Cited Works
- → Option valuation using the fast Fourier transform(1999)2,262 cited
- → The Variance Gamma Process and Option Pricing(1998)1,888 cited
- → The Fine Structure of Asset Returns: An Empirical Investigation(2002)1,813 cited
- → Variance Risk Premiums(2008)1,381 cited
- → Stochastic Volatility for Lévy Processes(2003)903 cited
- → Time-changed Lévy processes and option pricing(2003)716 cited
- → Towards a Theory of Volatility Trading(2010)612 cited