Marco Avellaneda - Publications

New York University, New York, NY, United States 
Mathematics, Statistics

40 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

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
Show low-probability matches.