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Marco Avellaneda
Marco Avellaneda
New York University
Bestätigte E-Mail-Adresse bei cims.nyu.edu - Startseite
Titel
Zitiert von
Zitiert von
Jahr
Adaptive greedy approximations
G Davis, S Mallat, M Avellaneda
Constructive approximation 13, 57-98, 1997
13531997
Mathematics of financial markets
RJ Elliott, PE Kopp
Springer Science & Business Media, 2005
8922005
Pricing and hedging derivative securities in markets with uncertain volatilities
M Avellaneda, A Levy∗, A Parás
Applied Mathematical Finance 2 (2), 73-88, 1995
8851995
High-frequency trading in a limit order book
M Avellaneda, S Stoikov
Quantitative Finance 8 (3), 217-224, 2008
5722008
Statistical arbitrage in the US equities market
M Avellaneda, JH Lee
Quantitative Finance 10 (7), 761-782, 2010
4692010
Magnetoelectric effect in piezoelectric/magnetostrictive multilayer (2-2) composites
M Avellaneda, G Harshé
Journal of Intelligent Material Systems and Structures 5 (4), 501-513, 1994
4651994
Compactness methods in the theory of homogenization
M Avellaneda, FH Lin
Communications on Pure and Applied Mathematics 40 (6), 803-847, 1987
4241987
Calibrating volatility surfaces via relative-entropy minimization
M Avellaneda, C Friedman, R Holmes, D Samperi
Applied Mathematical Finance 4 (1), 37-64, 1997
4111997
Rigorous link between fluid permeability, electrical conductivity, and relaxation times for transport in porous media
M Avellaneda, S Torquato
Physics of Fluids A: Fluid Dynamics 3 (11), 2529-2540, 1991
2661991
Mathematical models with exact renormalization for turbulent transport
M Avellaneda, AJ Majda
Communications in mathematical physics 131 (2), 381-429, 1990
2641990
Optimal bounds and microgeometries for elastic two-phase composites
M Avellaneda
SIAM Journal on Applied Mathematics 47 (6), 1216-1228, 1987
2421987
Path-dependence of leveraged ETF returns
M Avellaneda, S Zhang
SIAM Journal on Financial Mathematics 1 (1), 586-603, 2010
2412010
Minimum-relative-entropy calibration of asset-pricing models
M Avellaneda
International Journal of theoretical and applied finance 1 (04), 447-472, 1998
2181998
Quantitative modeling of derivative securities: from theory to practice
P Laurence
Routledge, 2017
2052017
Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
M Avellaneda, A Paras
Applied Mathematical Finance 3 (1), 21-52, 1996
2011996
An integral representation and bounds on the effective diffusivity in passive advection by laminar and turbulent flows
M Avellaneda, AJ Majda
Communications in Mathematical Physics 138 (2), 339-391, 1991
1851991
Iterated homogenization, differential effective medium theory and applications
M Avellaneda
Communications on Pure and Applied Mathematics 40 (5), 527-554, 1987
1841987
Lp bounds on singular integrals in homogenization
M Avellaneda, FH Lin
Communications on pure and applied mathematics 44 (8‐9), 897-910, 1991
1661991
Weighted Monte Carlo: a new technique for calibrating asset-pricing models
M Avellaneda, R Buff, C Friedman, N Grandechamp, L Kruk, J Newman
International Journal of Theoretical and Applied Finance 4 (01), 91-119, 2001
1502001
Calculating the performance of 1–3 piezoelectric composites for hydrophone applications: an effective medium approach
M Avellaneda, PJ Swart
The Journal of the Acoustical Society of America 103 (3), 1449-1467, 1998
1471998
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