主题：【海外名家讲堂】Algebraic Approach to Early Exercise
主讲人：纽约大学Peter Carr教授
主持人：英国威廉希尔公司徐亮教授
时间：2021年11月24日（周三）10:00-11:00
举办地点：Zoom会议ID: 982 9064 4180
主办单位：英国威廉希尔公司国际交流与合作处科研处
主讲人简介：
For the last 5 years, Dr. Peter Carr has been the Chair of the Finance and Risk Engineering Department at the NYU Tandon School of Engineering. Prior to that, he headed various quant groups in the financial industry for twenty years. He also presently serves as a director for the Society of Quantitative Analysts (SQA) and 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 100 publications in academic and industry-oriented journals and serves as an associate editor for 8 journals related to mathematical finance.
Google Scholar currently ranks Professor Carr third in citations in Quantitative Finance, second in Derivatives, and first in Volatility. 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.
在过去5年中，Peter Carr博士一直担任纽约大学坦顿工程学院金融和风险工程系主任。在此之前，他一直是金融行业量化团队的领军人物。他目前还担任定量分析学会（SQA）的理事，以及国家数学博物馆和WorldQuant大学的受托人。在加入金融业之前，卡尔博士在获得博士学位后在康奈尔大学担任了8年的金融学教授。1989年从加州大学洛杉矶分校毕业。他在学术和行业期刊上发表了100多篇论文，并担任8种与数学金融相关的期刊的副主编。
谷歌学者（Google Scholar）目前将卡尔教授的数量金融引文排名第三，衍生品排名第二，波动性排名第一。他于2003年被《风险》杂志评为年度最佳Quant，2010年被IAQF/Sungard评为年度最佳金融工程师。2011年至2014年，卡尔博士入选机构投资者科技50强，这是一个年度金融科技领域最具影响力的50人名单。
内容简介：
We treat the valuation of a European option as the result of applying a binary operation to the strike price and the underlying asset price.
We then introduce a new type of option which allows early exercise.
We show that the value of this option arises as the result of repeatedly applying the same binary operation.
We develop realistic alternatives to classical valuation models by demanding that the binary operation be associative.
我们将欧洲期权的估值视为对执行价格和标的资产价格进行二元运算的结果。然后，我们引入了一种新的允许提前执行的期权。该期权的值是重复应用相同的二元运算的结果。我们开发了经典估值模型的现实替代方案。
