RIP Peter Carr

[MRoss]

It is with indescribable sadness that we share the passing of Peter Carr, the beloved chair of Tandon’s Department of Finance and Risk Engineering. It would be impossible to overstate the esteem in which Peter was held, both at our school and in the broader financial world.

For the past 5 years, Dr. Peter Carr has been chair of the Department of Finance and Risk Engineering at NYU Tandon School of Engineering. Previously, he led several quantitative teams in the financial industry for two decades. He is also currently Director of the Society of Quantitative Analysts (SQA) and a Trustee of the National Museum of Mathematics and WorldQuant University. Before entering the financial industry, Dr. Carr was a professor of finance at Cornell University for 8 years after earning his Ph.D. Graduated from UCLA in 1989. He has published more than 85 articles in academic and industry journals and is an associate editor of 8 financial mathematics related journals. He was named Risk Magazine’s Quantitative Analyst of the Year in 2003 and IAQF/Sungard’s 2010 Financial Engineer of the Year. From 2011 to 2014, Ph.D. Carr is named to the Institutional Investor Tech 50, an annual list of the 50 most influential people in fintech.

During these five years, Dr. Carr is chair of the FRE division, and applications to the Master of Financial Engineering program have grown from 1,300 to 1,979 a year. For the class of 2019, the quantitative GRE was 169.2/170 and the GPA was 3.85. Additionally, FRE has moved up 7 positions in the QuantNet rankings over the past four years, launched an online summer program two summers ago, launched an on-campus boot camp in summer 2018, and introduced six machines in finance Take electives.

Source: NYU Tandon, Finance & Risk Engineering Department on LinkedIn: It is with indescribable sadness that we share the passing of Peter | 76 comments

 

[Andy Nguyen]

This is shocking and extremely sad news. I had the privilege of knowing him on a personal level since 2006. I interact with him quite often over the years during his tenure at Bloomberg, NYU Courant and later Tandon MFE.
He will be missed. Rest in peace, Peter.

 

[PepeQuant]

He is a poineer quant. His papers are neat, clean and right on point. Top qualities.

His works in equity derivatives have helped me a lot back at school and even now at work. And I deeply believe these works will continue helping other aspiring quants for a very long long time.

He will be greatly missed.

 

[dstefan]

Peter touched the lives of so many - colleagues in academia and industry, and so many students. He was a great quant with highly consequential work. Peter was a dear friend and is sorely missed.

 

[chintanpatel]

Rest in Peace Dr. Carr

 

[Michsund]

I was so sad to hear this as it was so sudden. Rest in paradise.

 

[Ken Abbott]

I worked with him at B of A and at Morgan Stanley. A real quality guy. He will be missed.

 

[ExSan]

RIP

 

[John]

RIP Dr. Carr, had a chance to interact with him picking up some materials for the school. You will surely be missed.

 

[Daniel Duffy]

I once attended a talk by Dr. Carr at Broad Street in 2001 on using Operator Calculus (continuous semigroups) on computing greeks. It is very insightful approach

https://www.researchgate.net/publication/3847827_Deriving_Derivatives_of_Derivative_Securities

Basically, each greek (a kind of quantoed derivative) satisfies a PDE, so we are in PDE territory.

A few years later I realised that this approach has a big ovelap with PDE models (Cauchy-Kowaleski, C_0 continuous semigroups, Operator Splitting etc.)

I discuss all these methods in my new book "Numerical Methods in Computational Finance" which is on the market March 11 2022.

I think the Carr method should work for 2 factors as well.

 

[Yihao Luo]

OMG that news was shocking
R.I.P. Dr.Carr

 

[statquant]

R.I.P.
I saw Dr. Carr at two conferences. One was back in 2007/2008, another one was in 2019. He always wore warm smiles and truly enjoyed talking about derivative pricing. His talk was always very intriguing. He was rather quiet but funny. This is sad news. I hope everyone here stays healthy.

 

[ExSan]

https://twitter.com/x/status/1535297248086700032