Peter Carr

Peter Carr was one of the most prolific and influential quantitative finance researchers of his generation. He received his PhD from UCLA and spent years at Morgan Stanley before joining the NYU Tandon School of Engineering as Chair of the Finance and Risk Engineering department. Carr is perhaps best known for co-developing, with Dilip Madan, the model-free replication framework for variance swaps — a methodology showing that a variance swap can be replicated by a log-contract, itself replicable from vanilla options. This framework became the basis of the CBOE's revised VIX calculation methodology, introduced in 2003, making variance rather than at-the-money implied volatility the measure of expected market variance. The VIX is now one of the most widely quoted financial indicators globally. Carr also co-developed the CGMY model (with Peter Geman, Dilip Madan, and Marc Yor) for modelling asset prices with jumps and infinite-activity Lévy processes; contributed to the theory of robust hedging and model-independent bounds on derivative prices; and worked extensively on the local-stochastic volatility framework. He was awarded the Quant of the Year prize by Risk magazine three times. Peter Carr passed away in March 2022, leaving an extraordinarily prolific body of research that continues to influence both academics and practitioners.