| Year |
Citation |
Score |
| 2019 |
Genaro AD, Avellaneda M. Does the Lending Rate Impact ETF's Prices? Brazilian Review of Econometrics. 38: 287-319. DOI: 10.2139/Ssrn.2044839 |
0.363 |
|
| 2019 |
Avellaneda M, Papanicolaou A. STATISTICS of VIX FUTURES and APPLICATIONS to TRADING VOLATILITY EXCHANGE-TRADED PRODUCTS International Journal of Theoretical and Applied Finance. 22: 1850061. DOI: 10.1142/S0219024918500619 |
0.361 |
|
| 2018 |
Genaro AD, Avellaneda M. Pricing interest rate derivatives under monetary changes International Journal of Theoretical and Applied Finance. 21: 1850037. DOI: 10.1142/S0219024918500371 |
0.323 |
|
| 2012 |
Avellaneda M, Kasyan G, Lipkin MD. Mathematical Models for Stock Pinning near Option Expiration Dates Communications On Pure and Applied Mathematics. 65: 949-974. DOI: 10.1002/Cpa.21404 |
0.362 |
|
| 2011 |
Pollak I, Avellaneda M, Bacry E, Cont R, Kulkarni S. Improving the visibility of financial applications among signal processing researchers Ieee Signal Processing Magazine. 28: 14-15. DOI: 10.1109/Msp.2011.941547 |
0.301 |
|
| 2010 |
Avellaneda M, Lee JH. Statistical arbitrage in the US equities market Quantitative Finance. 10: 761-782. DOI: 10.2139/Ssrn.1153505 |
0.337 |
|
| 2010 |
Avellaneda M, Zhang S. Path-dependence of leveraged ETF returns Siam Journal On Financial Mathematics. 1: 586-603. DOI: 10.1137/090760805 |
0.353 |
|
| 2008 |
Avellaneda M, Stoikov S. High-frequency trading in a limit order book Quantitative Finance. 8: 217-224. DOI: 10.1080/14697680701381228 |
0.345 |
|
| 2004 |
Avellaneda M. A look ahead at options pricing and volatility Quantitative Finance. 4. DOI: 10.1080/14697680400024913 |
0.373 |
|
| 2003 |
Avellaneda M, Lipkin MD. A market-induced mechanism for stock pinning Quantitative Finance. 3: 417-425. DOI: 10.1088/1469-7688/3/6/301 |
0.365 |
|
| 2003 |
Kampen J, Avellaneda M. On parabolic equations with gauge function term and applications to the multidimensional Leland equation Applied Mathematical Finance. 10: 215-228. DOI: 10.1080/1350486032000107361 |
0.301 |
|
| 2003 |
Avellaneda M, Boyer-Olson D, Busca J, Friz P. Application of large deviation methods to the pricing of index options in finance Comptes Rendus Mathematique. 336: 263-266. DOI: 10.1016/S1631-073X(03)00032-3 |
0.374 |
|
| 2002 |
Scherer KP, Avellaneda M. All For One … One For All? A Principal Component Analysis Of Latin American Brady Bond Debt From 1994 To 2000 International Journal of Theoretical and Applied Finance. 5: 79-106. DOI: 10.2139/Ssrn.243077 |
0.305 |
|
| 2001 |
Avellaneda M, Wu L. Credit Contagion: Pricing Cross-Country Risk In Brady Debt Markets International Journal of Theoretical and Applied Finance. 4: 921-938. DOI: 10.1142/S0219024901001309 |
0.363 |
|
| 2001 |
Avellaneda M, Buff R, Friedman CA, Grandechamp N, Kruk L, Newman J. Weighted Monte Carlo: A New Technique For Calibrating Asset-Pricing Models International Journal of Theoretical and Applied Finance. 4: 1-31. DOI: 10.1007/978-94-011-4193-2_1 |
0.375 |
|
| 1999 |
Avellaneda M, Wu L. Pricing Parisian-Style Options With A Lattice Method International Journal of Theoretical and Applied Finance. 2: 1-16. DOI: 10.1142/S0219024999000029 |
0.311 |
|
| 1999 |
Avellaneda M, Buff R. Combinatorial Implications of Nonlinear Uncertain Volatility Models: the Case of Barrier Options Applied Mathematical Finance. 6: 1-18. DOI: 10.1080/135048699334582 |
0.345 |
|
| 1999 |
Ryan R, Avellaneda M. The one-point statistics of viscous Burgers turbulence initialized with Gaussian data Communications in Mathematical Physics. 200: 1-23. DOI: 10.1007/S002200050519 |
0.326 |
|
| 1998 |
Avellaneda M. Minimum-Relative-Entropy Calibration of Asset-Pricing Models International Journal of Theoretical and Applied Finance. 1: 447-472. DOI: 10.1142/S0219024998000242 |
0.353 |
|
| 1998 |
Zhu Y, Avellaneda M. A Risk-Neutral Stochastic Volatility Model International Journal of Theoretical and Applied Finance. 1: 289-310. DOI: 10.1142/S0219024998000163 |
0.327 |
|
| 1997 |
Avellaneda M, Friedman CA, Holmes R, Samperi DJ. Calibrating volatility surfaces via relative-entropy minimization Applied Mathematical Finance. 4: 37-64. DOI: 10.2139/Ssrn.648 |
0.373 |
|
| 1997 |
Vergassola M, Avellaneda M. Scalar transport in compressible flow Physica D: Nonlinear Phenomena. 106: 148-166. DOI: 10.1016/S0167-2789(97)00022-5 |
0.307 |
|
| 1997 |
Avellaneda M. An introduction to option pricing and the mathematical theory of risk Rendiconti Del Seminario Matematico E Fisico Di Milano. 67: 225-250. DOI: 10.1007/Bf02930502 |
0.308 |
|
| 1996 |
Avellaneda M, Paras A. Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model Applied Mathematical Finance. 3: 21-52. DOI: 10.1080/13504869600000002 |
0.354 |
|
| 1995 |
Avellaneda M, Parás A, Levy A. Pricing and hedging derivative securities in markets with uncertain volatilities Applied Mathematical Finance. 2: 73-88. DOI: 10.1080/13504869500000005 |
0.362 |
|
| 1995 |
Avellaneda M, E W. Statistical properties of shocks in Burgers turbulence Communications in Mathematical Physics. 172: 13-38. DOI: 10.1007/Bf02104509 |
0.318 |
|
| 1995 |
Avellaneda M. Statistical properties of shocks in Burgers turbulence, II: Tail probabilities for velocities, shock-strengths and rarefaction intervals Communications in Mathematical Physics. 169: 45-59. DOI: 10.1007/Bf02101596 |
0.314 |
|
| 1994 |
Avellaneda M, Majda AJ. Simple examples with features of renormalization for turbulent transport Philosophical Transactions of the Royal Society A. 346: 205-233. DOI: 10.1098/Rsta.1994.0019 |
0.377 |
|
| 1993 |
Avellaneda M, Elliott F, Apelian C. Trapping, percolation, and anomalous diffusion of particles in a two-dimensional random field Journal of Statistical Physics. 72: 1227-1304. DOI: 10.1007/Bf01048187 |
0.318 |
|
| 1992 |
Avellaneda M, Majda AJ. Renormalization theory for eddy diffusivity in turbulent transport. Physical Review Letters. 68: 3028-3031. PMID 10045589 DOI: 10.1103/Physrevlett.68.3028 |
0.337 |
|
| 1992 |
Avellaneda M, Majda AJ. Approximate and exact renormalization theories for a model for turbulent transport Physics of Fluids. 4: 41-57. DOI: 10.1063/1.858499 |
0.354 |
|
| 1992 |
Avellaneda M, Majda A. Mathematical models with exact renormalization for turbulent transport, II: Fractal interfaces, non-Gaussian statistics and the sweeping effect Communications in Mathematical Physics. 146: 139-204. DOI: 10.1007/Bf02099212 |
0.359 |
|
| 1992 |
Avellaneda M, Majda AJ. Superdiffusion in nearly stratified flows Journal of Statistical Physics. 69: 689-729. DOI: 10.1007/Bf01050431 |
0.317 |
|
| 1991 |
Avellaneda M, Torquato S, Kim IC. Diffusion and geometric effects in passive advection by random arrays of vortices Physics of Fluids a: Fluid Dynamics. 3: 1880-1891. DOI: 10.1063/1.857917 |
0.333 |
|
| 1991 |
Avellaneda M. Enhanced diffusivity and intercell transition layers in 2-D models of passive advection Journal of Mathematical Physics. 32: 3209-3212. DOI: 10.1063/1.529480 |
0.319 |
|
| 1991 |
Torquato S, Avellaneda M. Diffusion and reaction in heterogeneous media: Pore size distribution, relaxation times, and mean survival time The Journal of Chemical Physics. 95: 6477-6489. DOI: 10.1063/1.461519 |
0.301 |
|
| 1991 |
Avellaneda M, Majda AJ. An integral representation and bounds on the effective diffusivity in passive advection by laminar and turbulent flows Communications in Mathematical Physics. 138: 339-391. DOI: 10.1007/Bf02099496 |
0.352 |
|
| 1990 |
Avellaneda M, Majda AJ. Mathematical models with exact renormalization for turbulent transport Communications in Mathematical Physics. 131: 381-429. DOI: 10.1007/Bf02161420 |
0.386 |
|
| 1989 |
Avellaneda M, Majda AJ. Stieltjes integral representation and effective diffusivity bounds for turbulent transport. Physical Review Letters. 62: 753-755. PMID 10040324 DOI: 10.1103/Physrevlett.62.753 |
0.326 |
|
| 1989 |
Avellaneda M, Lin F‐. Compactness methods in the theory of homogenization II: Equations in non‐divergence form Communications On Pure and Applied Mathematics. 42: 139-172. DOI: 10.1002/Cpa.3160420203 |
0.31 |
|
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