Marco Avellaneda
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Argentine mathematician and academic
Marco Avellaneda 's AcademicInfluence.com Rankings
Marco Avellaneda mathematics Degrees
Mathematics
#6060
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#8459
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Probability Theory
#137
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#166
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Applied Mathematics
#294
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#319
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Measure Theory
#2533
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#3041
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Mathematics
Marco Avellaneda 's Degrees
- PhD Mathematics University of Buenos Aires
Why Is Marco Avellaneda Influential?
(Suggest an Edit or Addition)According to Wikipedia, Marco Avellaneda was an American mathematician and financial consultant. He was the director of the Division of Financial Mathematics at the Courant Institute at New York University. Early life Avellaneda was born on February 16, 1955, in Miramar, Argentina. His great-grandfather Nicolas Avellaneda was Argentina’s youngest President and was credited with having brought on a period of peace and significant economic output and exports at the end of the 19th century. He spent his formative years living in Rio de Janeiro, Buenos Aires and Paris. Avellaneda attended the University of Buenos Aires from 1977 to 1981. He moved to the United States in 1981, to pursue a doctorate in mathematics at the University of Minnesota–Twin Cities where he graduated with a PhD in 1985.
Marco Avellaneda 's Published Works
Number of citations in a given year to any of this author's works
Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author
Published Works
- Adaptive greedy approximations (1997) (1189)
- Pricing and hedging derivative securities in markets with uncertain volatilities (1995) (687)
- High-frequency trading in a limit order book (2008) (416)
- Compactness methods in the theory of homogenization (1987) (362)
- Magnetoelectric Effect in Piezoelectric/Magnetostrictive Multilayer (2-2) Composites (1994) (362)
- Calibrating Volatility Surfaces Via Relative-Entropy Minimization (1996) (286)
- Statistical arbitrage in the US equities market (2010) (224)
- Rigorous link between fluid permeability, electrical conductivity, and relaxation times for transport in porous media (1991) (205)
- Mathematical models with exact renormalization for turbulent transport (1990) (187)
- Optimal bounds and microgeometries for elastic two-phase composites (1987) (186)
- Path-Dependence of Leveraged ETF Returns (2009) (153)
- Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model (1996) (148)
- Iterated homogenization, differential effective medium theory and applications (1987) (141)
- Lp bounds on singular integrals in homogenization (1991) (140)
- An integral representation and bounds on the effective diffusivity in passive advection by laminar and turbulent flows (1991) (138)
- WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS (2001) (120)
- On the effective conductivity of polycrystals and a three‐dimensional phase‐interchange inequality (1988) (115)
- Minimum-Relative-Entropy Calibration of Asset-Pricing Models (1998) (114)
- Diffusion and reaction in heterogeneous media: Pore size distribution, relaxation times, and mean survival time (1991) (104)
- Calculating the performance of 1–3 piezoelectric composites for hydrophone applications: An effective medium approach (1998) (99)
- Statistical properties of shocks in Burgers turbulence (1995) (87)
- Compactness methods in the theory of homogenization II: Equations in non‐divergence form (1989) (84)
- Statistical Arbitrage in the U.S. Equities Market (2008) (82)
- Darcy's law for slow viscous flow past a stationary array of bubbles (1990) (80)
- Quantitative Modeling of Derivative Securities: From Theory To Practice (1999) (79)
- Optimal bounds on the effective bulk modulus of polycrystals (1989) (74)
- Mathematical models with exact renormalization for turbulent transport, II: Fractal interfaces, non-Gaussian statistics and the sweeping effect (1992) (72)
- Homogenization of elliptic problems withLp boundary data (1987) (68)
- Effective dielectric and elastic constants of piezoelectric polycrystals (1992) (62)
- PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD (1999) (61)
- Un théorème de Liouville pour des équations elliptiques à coefficients périodiques (1989) (59)
- A market-induced mechanism for stock pinning (2003) (58)
- Simple examples with features of renormalization for turbulent transport (1994) (57)
- A Risk-Neutral Stochastic Volatility Model (1998) (56)
- Scalar transport in compressible flow (1996) (54)
- Forecasting Prices from Level-I Quotes in the Presence of Hidden Liquidity (2011) (50)
- An E-Arch Model for the Term Structure of Implied Volatility of FX Options (1997) (46)
- Bounds on the effective elasticity tensor of composites based on two-point correlations (1988) (45)
- A complete characterization of the possible bulk and shear moduli of planar polycrystals (1996) (45)
- Portfolio Risk in Multiple Frequencies (2011) (45)
- On the existence of eigenvalues of a divergence-form operator A+λB in a gap of σ(A) (1994) (44)
- Approximate and exact renormalization theories for a model for turbulent transport (1992) (44)
- On Woltjer’s variational principle for force‐free fields (1991) (42)
- Influence of pore roughness and pore-size dispersion in estimating the permeability of a porous medium from electrical measurements (1992) (37)
- Application of large deviation methods to the pricing of index options in finance (2003) (36)
- A Dynamic Model for Hard-to-Borrow Stocks (2009) (33)
- Statistical properties of shocks in Burgers turbulence, II: Tail probabilities for velocities, shock-strengths and rarefaction intervals (1995) (33)
- Homogenization of Poisson's kernal and applications to boundary control (1989) (30)
- The minimum-entropy algorithm and related methods for calibrating asset-pricing models (1998) (29)
- Superdiffusion in nearly stratified flows (1992) (29)
- Reducing variance in the numerical solution of BSDEs (2013) (28)
- All for One... One for All? A Principal Component Analysis of the Latin American Brady Bond Debt from 1994 to 2000 (2000) (28)
- CREDIT CONTAGION: PRICING CROSS-COUNTRY RISK IN BRADY DEBT MARKETS (2001) (28)
- Combinatorial Implications of Nonlinear Uncertain Volatility Models: the Case of Barrier Options (1999) (27)
- Finite difference approximations for partial differential equations with rapidly oscillating coefficients (1991) (26)
- Quantitative Modeling of Derivative Securities (1999) (21)
- Contrôllabilité exacte, homogénéisation et localisation d'ondes dans un milieu non-homogène (1992) (21)
- Un theoreme de Liouville pour des equation elliptiques a coefficient periodiques (French): [A Liouville theorem for elliptic equations with peridic coefficients] (1989) (21)
- Reconstruction of Volatility: Pricing Index Options by the Steepest Descent Approximation (2002) (21)
- PDFs for velocity and velocity gradients in Burgers' turbulence (1995) (20)
- Trapping, percolation, and anomalous diffusion of particles in a two-dimensional random field (1993) (20)
- Effective conductivity and average polarizability of random polycrystals (1990) (19)
- Homogenization and Renormalization of Multiple-Scattering Expansions for Green Functions in Turbulent Transport (1991) (19)
- Quantitative Analysis in Financial Markets: Collected Papers of the New York University Mathematical Finance Seminar (2002) (18)
- Transparency in Credit Default Swap Markets (2010) (18)
- CONQUERING THE GREEKS IN MONTE CARLO: EFFICIENT CALCULATION OF THE MARKET SENSITIVITIES AND HEDGE-RATIOS OF FINANCIAL ASSETS BY DIRECT NUMERICAL SIMULATION (2002) (18)
- A Market-Induced Mechanism for Stock Pinning (2003) (18)
- Homogenization and renormalization: The mathematics of multiscale random media and turbulent diffusion (1996) (16)
- Mathematical Models for Stock Pinning near Option Expiration Dates (2012) (14)
- Structural Slippage of Leveraged ETFs (2012) (13)
- Close-Out Risk Evaluation (CORE): A New Risk Management Approach for Central Counterparties (2013) (12)
- A Bayesian approach for constructing implied volatility surfaces through neural networks (2000) (11)
- Hierarchical PCA and Applications to Portfolio Management (2019) (10)
- Frequency-Dependent Acoustics of Composites with Interfaces (2000) (10)
- Pricing Interest Rate Contingent Claims in Markets with Uncertain Volatility (1998) (10)
- Woltjer's variational principle, II: The case of unbounded domains (1993) (10)
- The One-Point Statistics of Viscous Burgers Turbulence Initialized with Gaussian Data (1999) (9)
- Diffusion and geometric effects in passive advection by random arrays of vortices (1991) (9)
- A Moffatt-Arnold formula for the mutual helicity of linked flux tubes (1993) (9)
- Weighted Monte Carlo (2010) (9)
- Positive interest rates and non-linear term structure models (1998) (7)
- Counterexamples related to high-frequency oscillation of Poisson's kernel (1987) (6)
- An introduction to option pricing and the mathematical theory of risk (1997) (6)
- Statistics of VIX Futures and Their Applications to Trading Volatility Exchange-Traded Products (2018) (6)
- A New Approach for Pricing Derivative Securities in Markets with Uncertain Volatilities: A 'Case Study' on the Trinomial Tree (1998) (6)
- Effective Medium Theories and Effective Electromechanical Coupling Factors for Piezoelectric Composites (1993) (6)
- STATISTICS OF VIX FUTURES AND APPLICATIONS TO TRADING VOLATILITY EXCHANGE-TRADED PRODUCTS (2019) (6)
- Statistical Arbitrage in the U (2008) (6)
- Enhanced diffusivity and intercell transition layers in 2-D models of passive advection (1991) (5)
- PCA for Implied Volatility Surfaces (2020) (5)
- Principal Eigenportfolios for U.S. Equities (2020) (5)
- Electroosmotic Coupling: Incorporating Larger Surface Effects with a New Length Scale (1997) (5)
- Does the Lending Rate Impact ETF's Prices? (2019) (4)
- Following the Bayes path to option pricing (1998) (4)
- A turbulent transport model: Streamline results for a class of random velocity fields in the plane (1997) (4)
- PRICING INTEREST RATE DERIVATIVES UNDER MONETARY CHANGES (2018) (4)
- Fonctions quasi affines et minimisation de ⌈⌈∇μlp (French): [Null-Lagrangians and the minimization of ⌈⌈∇μlp] (1988) (4)
- Introduction to the Issue on Signal Processing Methods in Finance and Electronic Trading (2012) (4)
- Trade Transparency in OTC Equity Derivatives Markets (2010) (4)
- Hierarchical PCA and Modeling Asset Correlations (2020) (4)
- Application of an approximate R-N-G theory to a model for turbulent transport with exact renormalization (1993) (3)
- Transparency in OTC Equity Derivatives Markets : a Quantitative Study (2011) (3)
- Forecasting Prices in the Presence of Hidden Liquidity (2010) (3)
- A look ahead at options pricing and volatility (2004) (3)
- Neural Networks in Finance: Design and Performance (2019) (3)
- Risk management for trading in multiple frequencies (2011) (3)
- Pricing Interest Rate Derivatives Under Monetary Policy Changes (2012) (3)
- On parabolic equations with gauge function term and applications to the multidimensional Leland equation (2003) (3)
- Pricing Interest Rate Contingent Claims in Marketswith Uncertain (1996) (3)
- Dissertation: Large deviation estimates and the homological behavior of Brownian motion on manifolds (1985) (3)
- On the conductivity of polycrystals and a phase-interchange inequality (1989) (2)
- Improving the Visibility of Financial Applications Among Signal Processing Researchers[From the Guest Editors] (2011) (2)
- Effective moduli and electro-acoustic performance of epoxy-ceramic 1-3 piezocomposites (1994) (2)
- Methodes de compacite en homogeneisation (French): [Compactness methods in the theory of homogenization] (1987) (2)
- Trading Signals in VIX Futures (2021) (2)
- Role of matrix porosity and poisson's ratio in the design of high-sensitivity piezocomposite transducers (1994) (2)
- Iterated homogenization and the effective properties of polycrystals (1989) (1)
- Introduction to the special issue on volatility modelling (2002) (1)
- Modeling Volatility Risk in Equity Options Market: A Statistical Approach (2014) (1)
- Trois applications des mathématiques (1998) (1)
- E-Arch Model For Implied Volatility Term Structure Of Fx Options (1999) (1)
- Conquering the Greeks in Monte Carlo: Efficient calculation of the market sensitivities and hedge-ratios of financial asset via Monte Carlo simulation (2001) (1)
- A Risk-Neutral Stochastic Volatility (1998) (1)
- REMARKS ON THE HOMOGENIZATION AND BOUNDARY CONTROL OF DISTRIBUTED SYSTEMS (1989) (0)
- Stock Price Pinning near Option Expiration Dates (2011) (0)
- Equity derivatives l Cutting edge Reconstructing volatility (0)
- On Parabolic Equations with Gauge functionterm and Applications to the multidimensionalLeland Equation March 11 , 2002 (2002) (0)
- Cross-property relations for transport in porous media. Rigorous link between fluid permeability, conductivity and relaxation times (1991) (0)
- Mathematical Problems in Micromechanics and Composite Materials (1998) (0)
- Variance swap volatility and option strategies (2000) (0)
- Permeability of a porous medium: Electrical and diffusional estimators (1992) (0)
- PREFACE (2018) (0)
- PREFACE (2019) (0)
- Preface: Special Issue on the IMPA Research in Options Meetings, Rio de Janeiro 2006-2017, Part 2 (2018) (0)
- THE TREATMENT OF SEVERE TETANUS (1957) (0)
- Quant investing in cluster portfolios (2021) (0)
- Effective moduli of granular and layered composites with piezoelectric constituents (1993) (0)
- Distance to defualt (2001) (0)
- Quantitative Analysis in Financial Markets: Collected papers of New York Univ., Mathematical Finance Seminar: MATHEMATICAL PSEUDO-COMPLETION OF THE BGM MODEL (2002) (0)
- Book Review: An introduction to $\Gamma $-convergence (1994) (0)
- Strap ? l Cutting edge Distance to default (0)
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