Spring 2017

Wednesday, March 15th 2017

4.00-4.50 pm

303 Transportation Building

Speaker: Peter Carr , (NYU Tandon School of Engineering)

Title: "Variable Volatility and Financial Failure"


Structural models of corporate default (eg. Merton's model) typically impose a rigid parametric specification on the volatility of the firm's assets. This approach fails to recognize that management can exert some limited control on the level of the assets' risk at every possible level of their firm's default probability. In this paper, we assume that management chooses the assets' volatility level as a non-parametric function of the firms' risk-neutral default probability (RNDP). We develop closed form formulas which relate RNDP and equity value to this asset volatility function and to asset price.

Speaker Bio:

Dr. Peter Carr is the Chair of the Finance and Risk Engineering Department at NYU Tandon School of Engineering. He has headed various quant groups in the financial industry for the last twenty years. He also presently serves as 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 85 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 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.

Previous Talks

Tuesday, March 7th 2017

Jose E. Figueroa - Lopez , (Washington University in St. Louis)

"Title: Optimum Thresholding for Semimartingales using mean and conditional mean square error"

Tuesday, September 13th 2016

Matt Lorig, (University of Washington)

"Semi-parametric pricing and hedging of claims on price and volatility"

Monday, May 9th 2016

Erhan Bayraktar, (Michigan University)

"On the Market Viability under Proportional Transaction Costs"

Monday, March 28th 2016

Agostino Capponi, (Columbia University)

"Systemic risk: the dynamics under central clearing"

Tuesday, March 15th 2016

Eric Ulm, (Georgia State University)

"Analytic Solution for Ratchet Guaranteed Minimum Death Benefit Options Under a Variety of Mortality Laws"

Monday, December 2nd 2015

Speaker: Konstantinos Spiliopoulos, (Boston University)

"The pricing of contingent claims and optimal positions in asymptotically complete markets"

Monday, November 2nd 2015

Speaker: Daniel Bauer, (Georgia State University)

"The Marginal Cost of Risk and Capital Allocation in a Multi-Period Model"

Monday, September 14th 2015

Speaker: Jean-Pierre Fouque (UCSB)

Title: "A Unified Approach to Systemic Risk Measures via Acceptance Sets"