AMMCS-2013 Plenary Talk

Models, Mathematics, and Markets - Is the Intersection an Empy Set?

Peter Carr

Abstract: Did Albert Einstein ever write that compound interest is the most powerful force in the universe? I have my doubts, but the financial crisis of 2007-8 has left little doubt that mathematical models matter for markets. In this high-level talk, I will provide a historical overview of how mathematics has been used to model markets.

Dr. Peter Carr is a Managing Director at Morgan Stanley with over 15 years of experience in the financial industry. He is currently the Global Head of Market Modeling, overseeing several quantitative teams spread over three continents. He also presently serves as the the Executive Director of the Math Finance program at NYU's Courant Institute, the Treasurer of the Bachelier Finance Society, and a trustee for the Museum of Mathematics in New York. Prior to joining the financial industry, Dr. Carr was a finance professor for 8 years at Cornell University, after obtaining his PhD from UCLA in 1989. He has over 75 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 IAFE/Sungard in 2010. For the last two years, Dr. Carr has served on the CFTC's Technology Advisory Committee and was listed in Institutional Investor's Tech 50, an annual listing of the 50 most influential people in financial technology.