The Peter Carr Memorial Conference

In-Person Registration Deadline is Friday, May 20th

The Peter Carr Memorial Conference

Date: Thursday, June 2 – Saturday, June 4

Times:

• Thursday, June 2: 5:00 pm - 8:00 pm
• Friday, June 3: 9:00 am - 8:00 pm
• Saturday, June 4: 8:20am - 6:00 pm

Day One: June 2nd, 2022 - 370 Jay Street:

4:30 - 5:30pm: Clive Davis Guided Tour (optional) 

Location: 1st Floor

5:30-7:30pm: The Peter Carr Memorial Welcome Reception 

Location: Room 1201

• Presenters: 
• Dean Jelena Kovacevic, NYU Tandon School of Engineering 
• Barry Blecherman, NYU Tandon School of Engineering 
• Dilip Madan, University of Maryland 
• Bruno Dupire, Bloomberg (via Zoom)

Day Two: June 3rd, 2022 - 5 Metrotech Center, Pfizer Auditorium - Dibner Building 

9:00 - 9:30am: Breakfast and Registration 

9:30 - 9:45am: Opening Remarks

• Speaker: Dean Jelena Kovacevic 

9:45 - 10:30am: Plenary Session, The No-arbitrage Pricing of Non-Traded Assets

• Speaker: Robert Jarrow (via Zoom), Cornell University  

10:30 - 11:00am: Instantaneous and Averaged Volatility in Two-Sided Filtration Model of Financial Asset Pricing 

• Speaker: Pavel Levin, St. John's University

11:00 - 11:30am: Elementary Compound Derivatives

• Speaker: Federico Maglione, Scuola Normale Superiore 

11:30 - 12:00pm: Simplified Option Price Derivations

• Speaker: David Shimko, NYU Tandon School of Engineering

12:00 - 1:00pm: Lunch

1:00 - 1:45pm: Plenary Session, Option Pricing Bottom Up and Top Down

• Speaker: Liuren Wu (via Zoom), Baruch College

1:45 - 2:15pm: Deriving Better Derivatives 

• Speaker: Roza Galeeva, NYU Tandon School of Engineering

2:15 - 2:45pm: W-Shaped Implied Volatility Curves and the Gaussian Mixture Model

• Speaker: Dan Pirjol, Stevens Institute of Technology 

2:45 - 3:15pm: Generalized Power Gaussian Copula & CMS Speard Option Smiles

• Speaker: Prithvi Ramesh, UBS Investment Bank

3:15 - 3:45pm: Break

3:45 - 4:30pm: Plenary Session, How we came up with the CGMY model

• Speaker: Helyette Geman, John Hopkins University 

4:30 - 5:00pm: Volatility is (Mostly) Path Dependent

• Speaker: Julien Guyon, Bloomberg LP.

5:00 - 5:30pm: Financial Interpretation of Feller's Factorization 

• Speaker: Claudio Tebaldi, Bocconi University 

5:30 - 6:00pm: Pseudo Sums, Contingent Claims and a Generalized Memoryless Property

• Speaker: Pasquale Cirillo, ZHAW School of Management and Law, Switzerland

6:00 - 8:00pm: Reception

Day 3: June 4th, 2022 - 5 Metrotech Center, Pfizer Auditorium - Dibner Building

8:20 - 8:50am: Breakfast and Registration

8:50 - 9:45am: Recorded Presentation

• Speaker: Bruno Dupire, Bloomberg

9:45 - 10:30am: Plenary Session, Peter Carr and the Variance Contract 

• Speaker: Jim Gatheral, Baruch College 

10:30 - 11:00am: Convolution - FFT for Option Pricing in the Heston Model

• Speaker: Cody Hyndman, Concordia University 

11:00 - 11:30am: Maximum Drawdown Derivatives at a Hitting Time 

• Speaker: Kevin Atteson, NYU Tandon School of Engineering 

11:30 - 12:00pm: Semi-Analytical Pricing of Barrier Options in the Time-Dependent Heston Model

• Speaker: Andrey Itkin, NYU Tandon School of Engineering

12:00 - 1:00pm: Lunch 

1:00 - 1:45pm: Plenary Session, Title TBA

• Speaker: Roger Lee, University of Chicago 

1:45 - 2:15pm: When to Sell an Asset? - A Distribution Builder Approach 

• Speaker: Stephan Sturm, Worcester Polytechnic Institute 

2:15 - 2:45pm: Optionality as a Binary Operation

• Speaker: Douglas Costa (via Zoom)

2:45 - 3:15pm: Generalization of Carr-Madan Formula for Option Decomposition

• Speaker: Sebastien Bossu, WPI Business School and NYU Courant

3:15 - 3:45pm: Break

3:45 - 4:15pm: Evolution of Forcasting to Tackle Business Problems: From Standard Textbook Time Series Models to State of the Art Algorithms, Ensembling and Interpretability

• Speaker: Segolene Dessertine-Panhard, Amazon Web Services
• Speaker: Yash Shah, ML Solutions Lab

4:15 - 4:45pm: Tradable Carbon Permit Auctions Under Regulation and Competition

• Speaker: Bruno Kamdem, NYU Tandon School of Engineering

4:45 - 5:15pm: Generalizing Compounding and Growth Optimal Portfolios: Reconcilling Kelly and Samuelson

• Speaker: Umberto Cherubini, University of Bologna 

5:15 - 6:00pm: Plenary Session, Title TBA & Closing Remarks

• Speaker: Nassim Nicholas Taleb, NYU Tandon School of Engineering

Location: NYU Tandon School of Engineering (Brooklyn Campus), 5 MetroTech Center, Brooklyn, NY 11201

Cost:

• In-Person Attendee: $90.00
• Virtual Attendee: FREE

To make a donation in Peter's memory, please visit the Museum of Mathematics.

The Peter Carr Memorial Conference will honor the life and career of Peter Carr, our beloved teacher, scholar, and colleague. 

Through the sharing of research that spans various domains and disciplines of finance, this conference aims to memorialize Peter, his contributions to financial engineering, and the legacy he’s left behind for generations of professionals and academics to extend and follow. 

This conference will be co-hosted at NYU's Brooklyn Campus by the Tandon School of Engineering and the Society of Quantitative Analysis (SQA), where Peter served as chair and director, respectively.

Call for Presentations/Papers: The FRE Department will be soliciting abstracts from academics and practitioners for financial engineering papers to be presented at the conference. Also, the Journal of Derivatives will publish selected papers from the conference in a dedicated future issue. For more information, please see the call for papers.

Public Health Policies:

• Please note that at present, all NYU community members, including visitors, are required to be up to date on their vaccinations against COVID-19 and to receive a COVID-19 booster (if eligible based on CDC criteria). NYU currently accepts FDA-authorized or WHO-listed vaccines.  Individuals who cannot show appropriate proof of documentation if requested will not be permitted in NYU buildings.                                                                                                                                            
  • Conference guests must also meet NYU’s minimum age requirement (12 years old) for on-campus visitors.

                   All NYU vaccination policies and requirements are subject to change due to local transmission rates and University guidance.                               

The conference organizers reserve the right to shift in-person registrants to virtual as needed, based on changes to COVID-19 guidance and event space availability. If this occurs, registrants will receive refunds for the amount to which they are entitled.

Notice of Filming and Photography 

When you attend The Peter Carr Memorial Conference at the NYU Tandon School of Engineering in Brooklyn, NY, you enter an area where photography, audio, and video recording will occur. By entering the event premises, you consent to such recording and distribution of these materials for promotional purposes.   

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To become a member of the SQA, please click here. 

For NYU Tandon events, please click here.