Carr to discuss application of integral transforms to option pricing at Risk Europe

Peter Carr, recipient of Risk 's 2003 quant of the year award, will discuss how fast Fourier techniques can be applied to option valuation problems during his address at Risk Europe on April 9.

This alternative technique is applied in areas such as optics and engineering, as well as in financial derivatives pricing. It allows complex integrals to be evaluated straightforwardly when other well defined mathematical functions are included within the integration.

Carr is a professor at New York’s Courant Institute. His research has included many ground-breaking insights into the hedging and pricing of exotic derivatives. Carr’s recent research has focused on the application of group theory

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options


Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here