1 citations · 2 across the 5 of their papers we have counts for
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Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions
Peter Carr, Roger Lee, Matthew Lorig
We price and replicate a variety of claims written on the log price and quadratic variation of a risky asset, modeled as a positive semimartingale, subject to stochastic…
Using Machine Learning to Predict Realized Variance
Peter Carr, Liuren Wu, Zhibai Zhang
In this paper we formulate a regression problem to predict realized volatility by using option price data and enhance VIX-styled volatility indices' predictability and liquidity. W…
A lognormal type stochastic volatility model with quadratic drift
Peter Carr, Sander Willems
This paper presents a novel one-factor stochastic volatility model where the instantaneous volatility of the asset log-return is a diffusion with a quadratic drift and a linear dis…
ADOL - Markovian approximation of rough lognormal model
Peter Carr, Andrey Itkin
In this paper we apply Markovian approximation of the fractional Brownian motion (BM), known as the Dobric-Ojeda (DO) process, to the fractional stochastic volatility model where t…
Generalizing Geometric Brownian Motion
Peter Carr, Zhibai Zhang
To convert standard Brownian motion into a positive process, Geometric Brownian motion (GBM) is widely used. We generalize this positive process by introducing…
Pricing Variance Swaps on Time-Changed Markov Processes
Peter Carr, Roger Lee, Matthew Lorig
We prove that the variance swap rate (fair strike) equals the price of a co-terminal European-style contract when the underlying is an exponential Markov process, time-changed by a…