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In memoriam: Marco Avellaneda (1955–2022)

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  • Rama Cont

Abstract

Marco Avellaneda (1955–2022) was a leading figure in the development of mathematical modeling in finance and its dissemination among market practitioners. We provide a sketch of his trajectory and outline some of his main research contributions to mathematical finance.

Suggested Citation

  • Rama Cont, 2023. "In memoriam: Marco Avellaneda (1955–2022)," Mathematical Finance, Wiley Blackwell, vol. 33(1), pages 3-15, January.
    • Handle: RePEc:bla:mathfi:v:33:y:2023:i:1:p:3-15
    DOI: 10.1111/mafi.12375
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    References listed on IDEAS

    as
    1. Marco Avellaneda & Lixin Wu, 2001. "Credit Contagion: Pricing Cross-Country Risk In Brady Debt Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 4(06), pages 921-938.
    2. J. Michael Harrison & Stanley R. Pliska, 1981. "Martingales and Stochastic Integrals in the Theory of Continous Trading," Discussion Papers 454, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    3. Marco Avellaneda & Thomas Nanfeng Li & Andrew Papanicolaou & Gaozhan Wang, 2021. "Trading Signals in VIX Futures," Applied Mathematical Finance, Taylor & Francis Journals, vol. 28(3), pages 275-298, May.
    4. Marco Avellaneda & Michael Lipkin, 2003. "A market-induced mechanism for stock pinning," Quantitative Finance, Taylor & Francis Journals, vol. 3(6), pages 417-425.
    5. Ho, Thomas & Stoll, Hans R., 1981. "Optimal dealer pricing under transactions and return uncertainty," Journal of Financial Economics, Elsevier, vol. 9(1), pages 47-73, March.
    6. Marco Avellaneda, 2020. "Hierarchical PCA and Applications to Portfolio Management," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 15(1), pages 1-16, Enero - M.
    7. Marco Avellaneda & Brian Healy & Andrew Papanicolaou & George Papanicolaou, 2020. "PCA for Implied Volatility Surfaces," Papers 2002.00085, arXiv.org.
    8. M. Avellaneda & T. N. Li & A. Papanicolaou & G. Wang, 2021. "Trading Signals In VIX Futures," Papers 2103.02016, arXiv.org, revised Nov 2021.
    9. M. Avellaneda & A. Levy & A. ParAS, 1995. "Pricing and hedging derivative securities in markets with uncertain volatilities," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(2), pages 73-88.
    10. M. Avellaneda & A. Papanicolaou, 2019. "Statistics Of Vix Futures And Applications To Trading Volatility Exchange-Traded Products," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(01), pages 1-30, February.
    11. 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.
    12. Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
    13. Marco Avellaneda, 2004. "A look ahead at options pricing and volatility," Quantitative Finance, Taylor & Francis Journals, vol. 4(5), pages 51-54.
    14. Paul Glasserman & Bin Yu, 2005. "Large Sample Properties of Weighted Monte Carlo Estimators," Operations Research, INFORMS, vol. 53(2), pages 298-312, April.
    15. Alan De Genaro & Marco Avellaneda, 2018. "Pricing Interest Rate Derivatives Under Monetary Changes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(06), pages 1-28, September.
    16. 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.
    17. 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..
    18. Rama Cont & Marco Avellaneda, 2002. "Introduction to the special issue on volatility modelling," Quantitative Finance, Taylor & Francis Journals, vol. 2(1), pages 6-7.
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