AVELLANEDA, MARCO: search on Z-Library

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1

High-frequency trading in a limit order book

Avellaneda, Marco, Stoikov, Sasha

Journal:

Quantitative Finance

Year:

2008

Language:

english

File:

PDF, 432 KB

english, 2008

2

Statistical arbitrage in the US equities market

Avellaneda, Marco, Lee, Jeong-Hyun

Journal:

Quantitative Finance

Year:

2010

Language:

english

File:

PDF, 2.95 MB

english, 2010

3

Compactness methods in the theory of homogenization

Marco Avellaneda, Fang-Hua Lin

Journal:

Communications on Pure and Applied Mathematics

Year:

1987

Language:

english

File:

PDF, 1.12 MB

english, 1987

4

WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS

AVELLANEDA, MARCO, BUFF, ROBERT, FRIEDMAN, CRAIG, GRANDECHAMP, NICOLAS, KRUK, LUKASZ, NEWMAN, JOSHUA

Journal:

International Journal of Theoretical and Applied Finance

Year:

2001

Language:

english

File:

PDF, 2.34 MB

english, 2001

5

Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model

Avellaneda, Marco, ParÁS, Antonio

Journal:

Applied Mathematical Finance

Year:

1996

Language:

english

File:

PDF, 1.64 MB

english, 1996

6

Rose volatile compounds allow the design of new control strategies for the western flower thrips (Frankliniella occidentalis)

Avellaneda, Jhon, Díaz, Marco, Coy-Barrera, Ericsson, Rodríguez, Daniel, Osorio, Coralia

Journal:

Journal of Pest Science

Year:

2019

Language:

english

File:

PDF, 1.52 MB

english, 2019

7

Dynamic hedging portfolios for derivative securities in the presence of large transaction costs

Marco, Avellaneda, Antonio, ParáS

Journal:

Applied Mathematical Finance

Year:

1994

Language:

english

File:

PDF, 1.39 MB

english, 1994

8

Mathematical Models for Stock Pinning near Option Expiration Dates

Marco Avellaneda, Gennady Kasyan, Michael D. Lipkin

Journal:

Communications on Pure and Applied Mathematics

Year:

2012

Language:

english

File:

PDF, 946 KB

english, 2012

9

On Woltjer’s variational principle for force‐free fields

Laurence, Peter, Avellaneda, Marco

Journal:

Journal of Mathematical Physics

Year:

1991

Language:

english

File:

PDF, 1.63 MB

english, 1991

10

PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD

AVELLANEDA, MARCO, WU, LIXIN

Journal:

International Journal of Theoretical and Applied Finance

Year:

1999

Language:

english

File:

PDF, 343 KB

english, 1999

11

PRICING INTEREST RATE DERIVATIVES UNDER MONETARY CHANGES

DE GENARO, ALAN, AVELLANEDA, MARCO

Journal:

International Journal of Theoretical and Applied Finance

Year:

2018

Language:

english

File:

PDF, 1.06 MB

english, 2018

12

An introduction to option pricing and the mathematical theory of risk

Marco Avellaneda

Journal:

Milan Journal of Mathematics

Year:

1997

Language:

english

File:

PDF, 1.34 MB

english, 1997

13

Calibrating volatility surfaces via relative-entropy minimization

Avellaneda, Marco, Friedman, Craig, Holmes, Richard, Samperi, Dominick

Journal:

Applied Mathematical Finance

Year:

1997

Language:

english

File:

PDF, 1.42 MB

english, 1997

14

Compactness methods in the theory of homogenization II: Equations in non-divergence form

Marco Avellaneda, Fang-Hua Lin

Journal:

Communications on Pure and Applied Mathematics

Year:

1989

Language:

english

File:

PDF, 951 KB

english, 1989

15

Calculating the performance of 1–3 piezoelectric composites for hydrophone applications: An effective medium approach

Avellaneda, Marco, Swart, Pieter J.

Journal:

The Journal of the Acoustical Society of America

Year:

1998

Language:

english

File:

PDF, 399 KB

english, 1998

16

CREDIT CONTAGION: PRICING CROSS-COUNTRY RISK IN BRADY DEBT MARKETS

AVELLANEDA, MARCO, WU, LIXIN

Journal:

International Journal of Theoretical and Applied Finance

Year:

2001

Language:

english

File:

PDF, 291 KB

english, 2001

17

A market-induced mechanism for stock pinning

Avellaneda, Marco, Lipkin, Michael D

Journal:

Quantitative Finance

Year:

2003

Language:

english

File:

PDF, 420 KB

english, 2003

18

Minimum-Relative-Entropy Calibration of Asset-Pricing Models

Avellaneda, Marco

Journal:

International Journal of Theoretical and Applied Finance

Year:

1998

Language:

english

File:

PDF, 466 KB

english, 1998

19

Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options

Avellaneda, Marco, Buff, Robert

Journal:

Applied Mathematical Finance

Year:

1999

Language:

english

File:

PDF, 255 KB

english, 1999

20

Woltjer's variational principle, II: The case of unbounded domains

Laurence, Peter, Avellaneda, Marco

Journal:

Geophysical & Astrophysical Fluid Dynamics

Year:

1993

Language:

english

File:

PDF, 1.25 MB

english, 1993

21

Optimal Bounds on the Effective Bulk Modulus of Polycrystals

Avellaneda, Marco, Milton, Graeme W.

Journal:

SIAM Journal on Applied Mathematics

Year:

1989

Language:

english

File:

PDF, 1.23 MB

english, 1989

22

Quantitative Analysis in Financial Markets (Collected Papers of the New York University Mathematical Finance Seminar) || MULTIVARIATE BINOMIAL APPROXIMATIONS FOR ASSET PRICES WITH NONSTATIONARY VARIANCE AND COVARIANCE CHARACTERISTICS

Avellaneda, Marco

Year:

1999

Language:

english

File:

PDF, 3.41 MB

english, 1999

23

A Market-Induced Mechanism for Stock Pinning

Avellaneda, Marco, Lipkin, Michael D.

Journal:

SSRN Electronic Journal

Year:

2003

Language:

english

File:

PDF, 1.05 MB

english, 2003

24

Quantitative Analysis in Financial Markets (Collected Papers of the New York University Mathematical Finance Seminar) || MODELS FOR ESTIMATING THE STRUCTURE OF INTEREST RATES FROM OBSERVATIONS OF YIELD CURVES

Avellaneda, Marco

Year:

1999

Language:

english

File:

PDF, 4.40 MB

english, 1999

25

An E-ARCH model for the term structure of implied volatility of FX options

Zhu, Yingzi, Avellaneda, Marco

Journal:

Applied Mathematical Finance

Year:

1997

Language:

english

File:

PDF, 850 KB

english, 1997

26

Homogenization of elliptic problems withLpboundary data

Marco Avellaneda, Fang-Hua Lin

Journal:

Applied Mathematics & Optimization

Year:

1987

Language:

english

File:

PDF, 568 KB

english, 1987

27

Counterexamples related to high-frequency oscillation of Poisson's kernel

Marco Avellaneda, Fang-Hua Lin

Journal:

Applied Mathematics & Optimization

Year:

1987

Language:

english

File:

PDF, 381 KB

english, 1987

28

Statistical properties of shocks in Burgers turbulence, II: Tail probabilities for velocities, shock-strengths and rarefaction intervals

Marco Avellaneda

Journal:

Communications in Mathematical Physics

Year:

1995

Language:

english

File:

PDF, 631 KB

english, 1995

29

Quantitative Analysis in Financial Markets (Collected Papers of the New York University Mathematical Finance Seminar) || ASIAN OPTIONS, THE SUM OF LOGNORMALS, AND THE RECIPROCAL GAMMA DISTRIBUTION

Avellaneda, Marco

Year:

1999

Language:

english

File:

PDF, 1.28 MB

english, 1999

30

Statistical Arbitrage in the U.S. Equities Market

Avellaneda, Marco, Lee, Jeong-Hyun

Journal:

SSRN Electronic Journal

Year:

2008

Language:

english

File:

PDF, 2.59 MB

english, 2008

31

Statistical properties of shocks in Burgers turbulence

Marco Avellaneda, E Weinan

Journal:

Communications in Mathematical Physics

Year:

1995

Language:

english

File:

PDF, 1.13 MB

english, 1995

32

Quantitative Analysis in Financial Markets (Collected Papers of the New York University Mathematical Finance Seminar) || FUNCTION ESTIMATION USING DATA-ADAPTIVE KERNEL SMOOTHERS — HOW MUCH SMOOTHING?

Avellaneda, Marco

Year:

1999

Language:

english

File:

PDF, 4.85 MB

english, 1999

33

Path-Dependence of Leveraged ETF Returns

Avellaneda, Marco, Zhang, Stanley

Journal:

SIAM Journal on Financial Mathematics

Year:

2010

Language:

english

File:

PDF, 321 KB

english, 2010

34

Optimal Bounds on the Effective Bulk Modulus of Polycrystals

Marco Avellaneda and Graeme W. Milton

Journal:

SIAM Journal on Applied Mathematics

Year:

1989

Language:

english

File:

PDF, 954 KB

english, 1989

35

A look ahead at options pricing and volatility

Avellaneda, Marco

Journal:

Quantitative Finance

Year:

2004

Language:

english

File:

PDF, 98 KB

english, 2004

36

A Risk-Neutral Stochastic Volatility Model

Zhu, Yingzi, Avellaneda, Marco

Journal:

International Journal of Theoretical and Applied Finance

Year:

1998

Language:

english

File:

PDF, 424 KB

english, 1998

37

On parabolic equations with gauge function term and applications to the multidimensional Leland equation

Kampen, Jörg, Avellaneda, Marco

Journal:

Applied Mathematical Finance

Year:

2003

Language:

english

File:

PDF, 220 KB

english, 2003

38

Statistics of VIX Futures and Applications to Trading Volatility Exchange-Traded Products

Avellaneda, Marco, Papanicolaou, Andrew

Journal:

SSRN Electronic Journal

Year:

2018

Language:

english

File:

PDF, 3.67 MB

english, 2018

39

PREFACE

Avellaneda, Marco, Dupire, Bruno, Zubelli, Jorge P.

Journal:

International Journal of Theoretical and Applied Finance

Year:

2018

Language:

english

File:

PDF, 1.18 MB

english, 2018

40

ALL FOR ONE … ONE FOR ALL? A PRINCIPAL COMPONENT ANALYSIS OF LATIN AMERICAN BRADY BOND DEBT FROM 1994 TO 2000

SCHERER, KEVIN PAUL, AVELLANEDA, MARCO

Journal:

International Journal of Theoretical and Applied Finance

Year:

2002

Language:

english

File:

PDF, 827 KB

english, 2002

41

[IEEE ICASSP 2011 - 2011 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP) - Prague, Czech Republic (2011.05.22-2011.05.27)] 2011 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP) - Risk management for trading in multiple frequencies

Torun, Mustafa U., Akansu, Ali N., Avellaneda, Marco

Year:

2011

Language:

english

File:

PDF, 206 KB

english, 2011

42

Enhanced diffusivity and intercell transition layers in 2‐D models of passive advection

Avellaneda, Marco

Journal:

Journal of Mathematical Physics

Year:

1991

Language:

english

File:

PDF, 618 KB

english, 1991

43

Renormalization theory for eddy diffusivity in turbulent transport

Avellaneda, Marco, Majda, Andrew J.

Journal:

Physical Review Letters

Year:

1992

Language:

english

File:

PDF, 672 KB

english, 1992

44

PREFACE

Avellaneda, Marco, Dupire, Bruno, Zubelli, Jorge P.

Journal:

International Journal of Theoretical and Applied Finance

Year:

2019

Language:

english

File:

PDF, 3.60 MB

english, 2019

45

All For One... One For All? A Principal Component Analysis of the Latin American Brady Bond Debt from 1994 to 2000

Scherer, Kevin Paul, Avellaneda, Marco

Journal:

SSRN Electronic Journal

Year:

2000

File:

PDF, 776 KB

2000

46

Mathematical models with exact renormalization for turbulent transport, II: Fractal interfaces, non-Gaussian statistics and the sweeping effect

Marco Avellaneda, Andrew Majda

Journal:

Communications in Mathematical Physics

Year:

1992

Language:

english

File:

PDF, 2.85 MB

english, 1992

47

Quantitative Analysis in Financial Markets (Collected Papers of the New York University Mathematical Finance Seminar) || DERIVING CLOSED-FORM SOLUTIONS FOR GAUSSIAN PRICING MODELS: A SYSTEMATIC TIME-DOMAIN APPROACH

Avellaneda, Marco

Year:

1999

Language:

english

File:

PDF, 2.25 MB

english, 1999

48

A Rare Case of Hepatitis C-Associated Cryoglobulinemic Duodenal Vasculitis

Berera, Shivali R., Gomez, Alexandra, Dholaria, Kevin, Arosemena, Leopoldo R., Ladino-Avellaneda, Marco A., Barisoni, Laura, Bhamidimarri, Kalyan R.

Journal:

ACG Case Reports Journal

Year:

2016

Language:

english

File:

PDF, 2.12 MB

english, 2016

49

Application of large deviation methods to the pricing of index options in finance

Marco Avellaneda, Dash Boyer-Olson, Jérôme Busca, Peter Friz

Journal:

Comptes Rendus Mathematique

Year:

2003

Language:

english

File:

PDF, 84 KB

english, 2003

50

Quantitative Analysis in Financial Markets (Collected Papers of the New York University Mathematical Finance Seminar) || CALIBRATING VOLATILITY SURFACES VIA RELATIVE-ENTROPY MINIMIZATION

Avellaneda, Marco

Year:

1999

Language:

english

File:

PDF, 2.46 MB

english, 1999

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