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Marco Avellaneda: Mathematician and trader

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  • Jim Gatheral

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  • Jim Gatheral, 2023. "Marco Avellaneda: Mathematician and trader," Mathematical Finance, Wiley Blackwell, vol. 33(1), pages 16-18, January.
    • Handle: RePEc:bla:mathfi:v:33:y:2023:i:1:p:16-18
    DOI: 10.1111/mafi.12372
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    References listed on IDEAS

    as
    1. Marco Avellaneda & Robert Buff & Craig Friedman & Nicolas Grandechamp & Lukasz Kruk & Joshua Newman, 2001. "Weighted Monte Carlo: A New Technique For Calibrating Asset-Pricing Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 91-119.
    2. Marco Avellaneda & Jeong-Hyun Lee, 2010. "Statistical arbitrage in the US equities market," Quantitative Finance, Taylor & Francis Journals, vol. 10(7), pages 761-782.
    3. Marco Avellaneda & Antonio ParAS, 1996. "Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 3(1), pages 21-52.
    4. Marco Avellaneda & Robert Buff & Craig Friedman & Nicolas Grandechamp & Lukasz Kruk & Joshua Newman, 2001. "Weighted Monte Carlo: A New Technique For Calibrating Asset-Pricing Models," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 9, pages 239-265, World Scientific Publishing Co. Pte. Ltd..
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