Marco Avellaneda

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Fanghua LinProfessor of Mathematics, Courant Institute, New York UniversityE-mail confirmado em nyu.edu
Sasha StoikovSenior Research Associate, Cornell UniversityE-mail confirmado em cornell.edu
Graeme MiltonProfessor of Mathematics, The University of UtahE-mail confirmado em math.utah.edu
Mike Lipkinkatama trading, nyu tandonE-mail confirmado em nyu.edu
Salvatore TorquatoLewis Bernard Professor of Natural Sciences, Department of Chemistry, Physics and Materials ScienceE-mail confirmado em princeton.edu
Peter LaurenceProfessor of Applied Mathematics, Universita di Roma 1 and Courant Institute, NYUE-mail confirmado em courant.nyu.edu
Geoff DavisGoogleE-mail confirmado em geoffdavis.net
Stephane MallatProfesseur de Mathématiques Appliquées et Informatique, École Normale SupérieureE-mail confirmado em ens.fr
Andrej CherkaevProfessor of Mathematics, University of UtahE-mail confirmado em math.utah.edu
Richard HolmesLos Alamos National LaboratoryE-mail confirmado em lanl.gov
Ali N. AkansuProfessor of Electrical & Computer Engineering, NJIT, Newark NJ, USAE-mail confirmado em njit.edu
Rama CONTUniversity of Oxford. 牛津大学数学系 دانشگاه آکسفورد ऑक्सफ़ोर्डE-mail confirmado em math.cnrs.fr
Pieter J. SwartLos Alamos National LaboratoryE-mail confirmado em lanl.gov
KA LurieProfessor of Mathematical Sciences, Worcester Polytechnic InstituteE-mail confirmado em wpi.edu
Peter K. FrizProfessor of Mathematics, TU and WIAS BerlinE-mail confirmado em math.tu-berlin.de
Leonid GibianskyQuantPharm, LLCE-mail confirmado em quantpharm.com
Robert LiptonLouisiana State UniversityE-mail confirmado em lsu.edu
percy deiftnyuE-mail confirmado em cims.nyu.edu
Yue Kuen KwokHong Kong University of Science and TechnologyE-mail confirmado em ust.hk

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Marco Avellaneda

New York University

E-mail confirmado em cims.nyu.edu - Página inicial


Título Ordenar por citações Ordenar por ano Ordenar por título	Citado por Citado por	Ano
Adaptive greedy approximations G Davis, S Mallat, M Avellaneda Constructive approximation 13, 57-98, 1997	1368	1997
Mathematics of financial markets RJ Elliott, PE Kopp Springer Science & Business Media, 2005	904	2005
Pricing and hedging derivative securities in markets with uncertain volatilities M Avellaneda, A Levy∗, A Parás Applied Mathematical Finance 2 (2), 73-88, 1995	899	1995
High-frequency trading in a limit order book M Avellaneda, S Stoikov Quantitative Finance 8 (3), 217-224, 2008	632	2008
Statistical arbitrage in the US equities market M Avellaneda, JH Lee Quantitative Finance 10 (7), 761-782, 2010	484	2010
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	468	1994
Compactness methods in the theory of homogenization M Avellaneda, FH Lin Communications on Pure and Applied Mathematics 40 (6), 803-847, 1987	431	1987
Calibrating volatility surfaces via relative-entropy minimization M Avellaneda, C Friedman, R Holmes, D Samperi Applied Mathematical Finance 4 (1), 37-64, 1997	418	1997
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	275	1991
Mathematical models with exact renormalization for turbulent transport M Avellaneda, AJ Majda Communications in mathematical physics 131 (2), 381-429, 1990	265	1990
Path-dependence of leveraged ETF returns M Avellaneda, S Zhang SIAM Journal on Financial Mathematics 1 (1), 586-603, 2010	253	2010
Optimal bounds and microgeometries for elastic two-phase composites M Avellaneda SIAM Journal on Applied Mathematics 47 (6), 1216-1228, 1987	240	1987
Minimum-relative-entropy calibration of asset-pricing models M Avellaneda International Journal of theoretical and applied finance 1 (04), 447-472, 1998	219	1998
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	205	1996
Quantitative modeling of derivative securities: from theory to practice P Laurence Routledge, 2017	202	2017
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	187	1991
Iterated homogenization, differential effective medium theory and applications M Avellaneda Communications on Pure and Applied Mathematics 40 (5), 527-554, 1987	185	1987
L^p bounds on singular integrals in homogenization M Avellaneda, FH Lin Communications on pure and applied mathematics 44 (8‐9), 897-910, 1991	166	1991
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	154	2001
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	148	1998

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