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Prof. Peter Carr from New York University: Analogies between Term Structure of Interest Rates and Strike Structure of Implied Variance Rates

2019年10月18日 14:13  点击:[]

Time: 10:30am-12:00am, July 30th Monday

Addr: IFS Conference Room 202

Topic: Analogies between Term Structure of Interest Rates and Strike Structure of Implied Variance Rates

Speaker: Prof. Peter Carr from New York University

About the speaker:
Dr. Peter Carr is the Chair of the Finance and Risk Engineering Department at NYU Tandon School of Engineering. He has headed various quant groups in the financial industry for the last twenty years. He also presently serves as a trustee for the National Museum of Mathematics and WorldQuant University. Prior to joining the financial industry, Dr. Carr was a finance professor for 8 years at Cornell University, after obtaining his Ph.D. from UCLA in 1989. He has over 85 publications in academic and industry-oriented journals and serves as an associate editor for 8 journals related to mathematical finance. He was selected as Quant of the Year by Risk Magazine in 2003 and Financial Engineer of the Year by IAQF/Sungard in 2010. From 2011 to 2014, Dr. Carr was included in Institutional Investor's Tech 50, an annual listing of the 50 most influential people in financial technology.
For the bio and publication of Prof. Peter Carr, please see his homepage at:
https://engineering.nyu.edu/faculty/peter-carr#0

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