22 citations · 22 across the 3 of their papers we have counts for
3 papers
q-fin.PM2014
Determining Optimal Trading Rules without Backtesting
Peter P. Carr, Marcos Lopez de Prado
Calibrating a trading rule using a historical simulation (also called backtest) contributes to backtest overfitting, which in turn leads to underperformance. In this paper we propo…
q-fin.PR2012★ 22 cited
Why are quadratic normal volatility models analytically tractable?
Peter Carr, Travis Fisher, Johannes Ruf
We discuss the class of "Quadratic Normal Volatility" models, which have drawn much attention in the financial industry due to their analytic tractability and flexibility. We chara…
q-fin.CP2010
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
Andrey Itkin, Peter Carr
In mathematical finance a popular approach for pricing options under some Levy model is to consider underlying that follows a Poisson jump diffusion process. As it is well known th…