Options as Optimizations: A Dual Approach to Derivatives Pricing | Hanlon Financial Systems Center

Options as Optimizations: A Dual Approach to Derivatives Pricing

Options as Optimizations: A Dual Approach to Derivatives Pricing

seminar date: 
Thursday, September 25, 2014 - 5:00pm
seminar location: 
BC122
Dr. Peter Carr, Managing Director at Morgan Stanley
Abstract: 

The typical approach to option pricing begins with a specification of the dynamics followed by the price of the underlying asset. This typical approach concludes with the initial value and dynamics of the option's price and its delta. In this talk, convex duality is used to motivate a new dual approach to option pricing. The dual approach begins with a specification of the dynamics followed by the delta of a call. It concludes with the initial value and dynamics of the option's price and its underlying.

 

Bio: 

Dr. Peter Carr is a Managing Director at Morgan Stanley overseeing over 60 quants spread over 3 continents. Dr. Carr has over 18 years of experience in the financial industry. He was also a finance professor for 8 years at Cornell University, after obtaining his PhD from UCLA in 1989. He is presently the Executive Director of the Math Finance program at NYU’s Courant Institute, the co-Treasurer of the Bachelier Finance Society, and a trustee for the Museum of Mathematics in New York. He has over 75 publications in academic and industry-oriented journals and serves as an associate editor for 8 journals related to mathematical finance. He was selected as Quant of the Year by Risk Magazine in 2003 and shared in the ISA Medal for Science in 2008. He was the IAFE/Sungard  Financial Engineer of the Year in 2010 and has climbed the ranks of Institutional Investor’s Tech 50 for the last 4 years.