Peter Carr Gedenkschrift:Research Advances in Mathematical Finance

Edited by Robert Jarrow () and Dilip B Madan

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: This Gedenkschrift for Peter Carr, our dear friend and colleague who suddenly left us on March 1, 2022, was organized to honor the life and lasting contributions of Peter to Quantitative Finance. A group of Peter's co-authors and professional friends contributed chapters for this Gedenkschrift shortly after his passing. The papers were received by September 15, 2022 and some were presented at the Peter Carr Gedenkschrift Conference held at the Robert H Smith School of Business on November 11, 2022. The contributed papers cover a wide range of topics corresponding to the vast range of Peter's interests. Each paper represents new research results in recognition of Peter's scholarly activities. The book serves as an important marker for the research knowledge existing at the time of the Gedenkschrift's publication on a number of topics within quantitative finance. It reflects the diverse interactions between mathematics and finance and illustrates, for those interested, the breadth and depth of this development. The book also presents a collection of tributes to Peter from family and friends including those made at his Memorial Service on March 19, 2022. The result is hopefully a more complete testament to a personal and professional life well lived, and unexpectedly cut short.

Keywords: Mathematical Finance; Quantitative Finance; Option Pricing; Derivatives; No Arbitrage; Asset Price Bubbles; Asset Pricing; Equilibrium; Volatility; Diffusion Processes; Jump Processes; Stochastic Integration; Trading Strategies; Portfolio Theory; Optimization; Securities; Bonds; Commodities; Futures (search for similar items in EconPapers)
JEL-codes: C02 C6 (search for similar items in EconPapers)
Date: 2023
ISBN: 9789811280290
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https://www.worldscientific.com/worldscibooks/10.1142/13491 (text/html)
Ebook Access is available upon purchase

Chapters in this book:

Ch 3 Backtestability and the Ridge Backtest , pp 61-100

Carlo Acerbi and Balazs Szekely

Ch 4 A Deep Learning Scheme for Solving Fully Nonlinear Partial Differential Equation , pp 101-140

Maxim Bichuch and Ke Chen

Ch 5 Data-Driven Non-Parametric Robust Control under Dependence Uncertainty , pp 141-178

Erhan Bayraktar and Tao Chen

Ch 6 Option Pricing Generators , pp 179-209

Peter Carr and Umberto Cherubini

Ch 7 Representation for Martingales Living after a Random Time with Applications , pp 211-264

Tahir Choulli and Ferdoos Alharbi

Ch 8 Derivatives’ Risks as Costs in a One-Period Network Model , pp 265-310

Dorinel Bastide, Stéphane Crépey, Samuel Drapeau and Mekonnen Tadese

Ch 9 Approximation with Independent Variables , pp 311-327

Freddy Delbaen and Chitro Majumdar

Ch 10 Pricing Autocallables under Local-Stochastic Volatility , pp 329-378

Walter Farkas, Francesco Ferrari and Urban Ulrych

Ch 11 Not All Oil Storage Shocks Are Alike: The Case of WTI during Times of COVID-19 , pp 379-392

Helyette Geman and Yuanye Ma

Ch 12 Total Positivity and Relative Convexity of Option Prices , pp 393-443

Paul Glasserman and Dan Pirjol

Ch 13 Supervised Deep Neural Networks (DNNs) for Pricing/Calibration of Vanilla/Exotic Options Under Various Different Processes , pp 445-474

Tugce Karatas, Amir Oskoui and Ali Hirsa

Ch 14 Asset Price Bubbles, Wealth Preserving, Dominating and Replicating Trading Strategies , pp 475-510

Robert Jarrow and Yuxuan Liu

Ch 15 EMA-Type Trading Strategies Maximize Utility under Partial Information , pp 511-536

Xiaodong Chen and Roger Lee

Ch 16 Option Returns , pp 537-568

Dilip B. Madan, Wim Schoutens and King Wang

Ch 17 Supermartingale Brenier’s Theorem with Full-Marginal Constraint , pp 569-636

Erhan Bayraktar, Shuoqing Deng and Dominykas Norgilas

Ch 18 Forward–Backward Stochastic Neural Networks: Deep Learning of High-Dimensional Partial Differential Equations , pp 637-655

Maziar Raissi

Ch 19 How to Design a Derivatives Market? , pp 657-699

Bastien Baldacci, Paul Jusselin and Mathieu Rosenbaum

Ch 20 A Moment Matching Calibration under the Bilateral Gamma Model and Its Application , pp 701-724

Jingyan Zhang and Wim Schoutens

Ch 21 Exploiting Arbitrage Requires Short Selling , pp 725-752

Eckhard Platen and Stefan Tappe

Ch 22 Power Laws in Market Microstructure , pp 753-819

Umut Çetin and Henri Waelbroeck

Ch 23 An Extension with Illustrations of the Azéma–Yor Algorithm for Solving Skorokhod Embedding Problem , pp 821-841

Yuri Imamura and Ju-Yi Yen

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