Derivatives Models on Models

Peter Carr, The Wall Street Wizard of Option Symmetry and Volatility

Peter Carr is head of the Bloomberg quantitative financial research team in New York. Aside from Peter Carr, the team consists of quant stars like Bruno Dupire (one of the founders of local volatility surface models) and Bjørn Flesaker (best known for his work in fixed income research). In addition, they have several other PhDs in physics, computer science and math. There is no quant finance problem that this team cannot solve, and the number of innovative as well as practical implementations emerging from this team is just astonishing. What else would one expect from such a quant dream team? Peter Carr is the Director of the Masters in Math Finance program at the world famous Courant Institute at New York University. He has been involved for many years in the industry, through working or consulting, for firms like Bank of Tokyo, Mitsubishi, Susquehanna, Morgan Stanley, Bank of America, etc. Peter Carr has received many awards, among them “quant of the year” from Risk Magazine and the Wilmott award for Cutting Edge Research.

I first met Peter Carr at a derivatives conference many years ago. He was presenting some of his work on static hedging of barrier options. I was at that time involved in trading barrier options and was shortly thereafter applying successfully several of Peter Carr's ideas to the market.

Since that first meeting, we have met every now and then for lunch or dinner. Some quants in this business ...