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永利国际平台网址多少:【学术报告】School Colloquium——Optionality as a Binary Operation

报告题目:School Colloquium——Optionality as a Binary Operation

报告人及单位:Peter Carr (New York University)

报告时间:2021-10-28 09:00-10:00

报告地点:Online (Zoom Meeting)

Abstract: The owner of a married put has the option to receive either a fixed amount or the future value of a risky asset.  We interpret the premium of a married put as a non-classical "sum"  of the fixed amount and the current value of the risky asset. This "sum" is non-associative in the Black Scholes model so we develop an alternative model for which the "sum" is associative. We also develop a generalization of the married put called a stoption whose premium is a repeated "sum".

Bio: Dr. Peter Carr is the Chair of the Finance and Risk Engineering Department at the NYU Tandon School of Engineering. Prior to his current post as full professor, he headed various quant groups in the financial industry for twenty years. He also presently serves on the board of the National Museum of Mathematics, WorldQuant University, and two startups called MoneySatNav and Life-Navigator. 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 100 publications in academic and industry-oriented journals and serves as an associate editor for 8 journals related to mathematical finance. Professor Carr is widely cited. Google Scholar currently ranks him third in the world in quantitative finance, second in derivatives, and first in volatility. 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.

Zoom Information
ID: 874-6949-8468
Password: 309058
Link: https://zoom.us/j/87469498468?pwd=OXJ5eHFpOXVvY045Q0tMeDUvR0l1UT09

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