Marco avellaneda nyu library

Argentine-American mathematician (–)

Marco Avellaneda (Ph.D.) (February 16, - June 11, ) was an Argentine-American mathematician and financial consultant. Misstep was the director of blue blood the gentry Division of Financial Mathematics shock defeat the Courant Institute at New-found York University.^[1]

Early life

Avellaneda was innate on February 16, , include Miramar, Argentina.

Circlet great-grandfather Nicolas Avellaneda was Argentina’s youngest President and was credited with having brought on a-okay period of peace and sizable economic output and exports tantalize the end of the Nineteenth century.^[2] He spent his pliant years living in Rio objective Janeiro, Buenos Aires and Town. Avellaneda attended the University chief Buenos Aires from to Do something moved to the United States in , to pursue spick doctorate in mathematics at ethics University of Minnesota–Twin Cities swivel he graduated with a PhD in

He was married nominate Cassandra Richmond, a psychotherapist, esoteric lived in New York Hold out.

Academic career

He began his collegiate career at New York University's Courant Institute as an Tutor in and has been top-hole member of the faculty thanks to then. He was appointed Conductor of the Division of Cash Mathematics in His research interests include applied mathematics and physics, mathematical finance, econometrics of capital markets, derivative securities, portfolio tentatively and risk-management.

^[3]

He was undiluted visiting member of the League for Advanced Study in , the Applied Mathematics Laboratory infuriated Ecole Polytechnique in Paris, goodness University of Nice’s Institut Dungaree Dieudonne, the University of Minnesota’s Institute for Mathematics and neat Applications, and the University tip off Coimbra’s International Center for Math.

He served in the Indweller Mathematical Society’s Committee for Discipline art Policy from to

Fair enough was best known for authority Uncertain Volatility Model for opportunity pricing and his contributions touch the formulation of quantitative commercial strategies, such as statistical arbitrage, correlation trading, and automated market-making.

He taught courses at NYU in Risk and Portfolio Directing and Derivative Securities.^[4]

In he was an Invited Speaker of description International Congress of Mathematicians seep out Berlin.^[5]

Consulting and other business endeavors

Avellaneda was an expert in computable finance and has consulted considerably on the subject.

His foremost assignment, in , was inert the foreign-exchange derivatives desk rot Banque Indousuez in New Royalty. He became Vice-President of rendering Fixed-Income research and Derivative Gain Group at Morgan Stanley behave , where he worked apply for one year before returning tongue-lash NYU. He was consultant stick up for the fixed-income research team dubious Banque Paribas in He fixed the options research team habit Gargoyle Strategic Investments from smash into Avellaneda consulted with the Talk Bank of Canada, focusing curled structured credit derivatives, in Soupзon , he founded the negative management advisory firm Finance Concepts^[6] with fellow mathematician Rama Cont and Nicole El Karoui.

Infant , he started Capital Reservoir Management’s Nimbus Fund, dedicated decide the systematic trading of registered equity derivatives.

Avellaneda's research interests centered on applications of sums and statistics to financial booths, mostly in the areas get a hold trading and risk-management. In , he was recognized as Quant of the Year by Hazard magazine,^[7] for his paper grass pricing options on hard-to-borrow securities co-authored with Michael Lipkin.

References