Chinese
Sign up to our newsletter for the latest news,updates and offers

Events

Academic Lecture: Algebraic Approach to Early Exercise

Topic: Algebraic Approach to Early Exercise

Speaker:Professor Peter Carr, New York University

Moderator:Prof. XU Liang, School of Business Administration

Time:November 24, 2021 (Wednesday) 10:00-11:00

Virtual Platform:ZOOM Meeting 982 9064 4180

Organizers:School of Business Administration, Office of International Exchange and Cooperation, Research Office



Speaker’s Profile:

For the last 5 years, Dr. Peter Carr has been the Chair of the Finance and Risk Engineering Department at the NYU Tandon School of Engineering. Prior to that, he headed various quant groups in the financial industry for twenty years. He also presently serves as a director for the Society of Quantitative Analysts (SQA) and a trustee for the National Museum of Mathematics, and WorldQuant University. 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.

Google Scholar currently ranks Professor Carr third in citations 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.



Lecture Preview:

We treat the valuation of a European option as the result of applying a binary operation to the strike price and the underlying asset price.

We then introduce a new type of option which allows early exercise.

We show that the value of this option arises as the result of repeatedly applying the same binary operation.

We develop realistic alternatives to classical valuation models by demanding that the binary operation be associative.



close

date:2021/11/22

SWUFE News