Peter Carr’s Final Paper : Stoptions: Representations and Applications Peter was a huge man in the Quantitative world.
An avid researcher with over 50 SSRN papers and nearly 50,000 total downloads. Peter was the ultimate researcher, thinker and teacher.
Peter’s final paper, Stoptions: Representations and Applications introduces a new derivative security called a stoption.
“After paying an upfront premium, the owner of a stoption accrues realized price changes in some underlying security
until the exposure is stopped by the owner. Upon stopping, the reward is the sum of all of the previous price changes. Plus a deterministic amount which can vary with the stopping time. Stoptions are finite-lived. And hence must stop at or before a fixed maturity date.”
Peter Carr’s Final Paper : Stoptions: Representations and Applications
For the last 5 years, Dr. Peter Carr has been the Chair of the Finance and Risk Engineering Department at the NYU Tandon School of Engineering. Prior to that, he headed various quant groups in the financial industry for twenty years. He also presently serves as a director for the Society of Quantitative Analysts (SQA) and 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. 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, included in Institutional Investor’s Tech 50, an annual listing of the 50 most influential people in financial technology.
In the five years, Dr. Carr has been FRE Department Chair, applications for the MS in Financial Engineering program increased from 1,300 per year to 1,979 per year. In addition, for the 2019 class, the quant GRE was 169.2/170 and the GPA was 3.85. Additionally, FRE climbed seven positions over the last four years in QuantNet rankings, an online summer course initiated two summers ago and an on-campus boot camp initiated in the summer of 2018, and six electives on machine learning in finance introduced.