The Department of Finance and Risk Engineering at NYU Tandon welcomes Peter Carr, NYU Tandon, FRE Department Chair, to the BQE Lecture Series on Thursday, October 29th at 6 p.m. on Zoom.
Meeting ID:996 5148 5212
Password: BQEPC
Title
Simple Bermudan Option Pricing
Abstract
Many option contracts allow exercise at two or more future times. While numerical methods handle Bermudan optionality in stride, analytic approaches have historically been cumbersome. We present a particular Bermudan option and a particular valuation model for which Bermudan option pricing uses high school mathematics.
Bio
Peter Carr is the current Chair of the Finance and Risk Engineering Department at NYU Tandon School of Engineering. Prior to joining NYU, he headed various quant groups in the financial industry for twenty years. He has won numerous awards and has many publications in both academic and industry journals. He is currently ranked second in the world by Google Scholar for citations on derivatives and third in the world for citations on quantitative finance.
Dr. Peter Carr has been chair of the finance and risk engineering department at NYU Tandon School of Engineering for the last four years. He also presently serves as a trustee for the National Museum of Mathematics and WorldQuant University. Previously, he had a 20-year career heading quant groups in finance. Prior to joining the financial industry, Dr. Carr was a finance professor at Cornell University, after obtaining his Ph.D. from UCLA in 1989. He has more than 90 publications in academic and industry-oriented journals and serves as an associate editor for eight 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.