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Peter P. Carr

Institution: Unknown

Primary Field: Finance (weighted toward more recent publications)

Homepage: https://engineering.nyu.edu/faculty/peter-carr

First Publication: 1987

Most Recent: 2023

RePEc ID: pca1563 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.02: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total Percentile
Last 5 Years 0.00 0.00 1.01 0.00 1.01 35%
Last 10 Years 0.00 4.04 2.02 0.00 6.05 76%
All Time 0.00 41.04 4.71 0.00 45.75 98%

Publication Statistics

Raw Publications 21
Coauthorship-Adjusted Count 25.23

Publications (21)

Year Article Journal Tier Authors
2023 Decomposing Long Bond Returns: A Decentralized Theory* Review of Finance B 2
2020 Option Profit and Loss Attribution and Pricing: A New Framework Journal of Finance A 2
2017 Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions Journal of Financial and Quantitative Analysis B 2
2016 Analyzing volatility risk and risk premium in option contracts: A new theory Journal of Financial Economics A 2
2011 A Simple Robust Link Between American Puts and Credit Protection The Review of Financial Studies A 2
2009 Variance Risk Premiums The Review of Financial Studies A 2
2008 Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies Journal of Financial Economics A 3
2007 Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options Journal of Banking & Finance B 2
2007 Stochastic skew in currency options Journal of Financial Economics A 2
2004 Time-changed Levy processes and option pricing Journal of Financial Economics A 2
2003 The Finite Moment Log Stable Process and Option Pricing Journal of Finance A 2
2003 The Finite Moment Log Stable Process and Option Pricing Journal of Finance A 1
2003 What Type of Process Underlies Options? A Simple Robust Test Journal of Finance A 2
2001 Pricing and hedging in incomplete markets Journal of Financial Economics A 3
2000 The Valuation of Executive Stock Options in an Intensity-Based Framework Review of Finance B 2
1998 Static Hedging of Exotic Options Journal of Finance A 1
1998 Randomization and the American Put. The Review of Financial Studies A 1
1998 The Variance Gamma Process and Option Pricing Review of Finance B 3
1990 The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value. The Review of Financial Studies A 2
1988 The Valuation of Sequential Exchange Opportunities Journal of Finance A 1
1987 A Note on the Pricing of Commodity-Linked Bonds. Journal of Finance A 1