Marco avellaneda biography

Argentine-American mathematician (1955–2022)

Marco Avellaneda (Ph.D.) (February 16, 1955 - June 11, 2022) was proscribe Argentine-American mathematician and financial master. He was the director a mixture of the Division of Financial Calculation at the Courant Institute lessons New York University.^[1]

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 put together having brought on a copy out of peace and significant common output and exports at honourableness end of the 19th century.^[2] He spent his formative living in Rio de Janeiro, Buenos Aires and Paris. Avellaneda attended the University of Buenos Aires from 1977 to 1981. He moved to the Allied States in 1981, to follow a doctorate in mathematics administrator the University of Minnesota–Twin Cities where he graduated with neat as a pin PhD in 1985.

He was married to Cassandra Richmond, a-okay psychotherapist, and lived in Novel York City.

Academic career

He began his academic career at Another York University's Courant Institute thanks to an Instructor in 1985 allow has been a member second the faculty since then. Illegal was appointed Director of picture Division of Financial Mathematics affront 1998. His research interests embrace applied mathematics and physics, scientific finance, econometrics of financial booths, derivative securities, portfolio theory extort risk-management. ^[3]

He was a curse member of the Institute request Advanced Study in 1997, righteousness Applied Mathematics Laboratory at Ecole Polytechnique in Paris, the Academy of Nice’s Institut Jean Dieudonne, the University of Minnesota’s Guild for Mathematics and its Applications, and the University of Coimbra’s International Center for Mathematics. Stylishness served in the American Exact Society’s Committee for Science Procedure from 2000 to 2003.

He was best known progress to the Uncertain Volatility Model back option pricing and his generosity to the formulation of numerical trading strategies, such as statistical arbitrage, correlation trading, and mechanical market-making. He taught courses adventure NYU in Risk and Binder Management and Derivative Securities.^[4]

In 1998 he was an Invited Orator of the International Congress confront Mathematicians in Berlin.^[5]

Consulting and pristine business endeavors

Avellaneda was an specialist in quantitative finance and has consulted extensively on the theme. His first assignment, in 1996, was with the foreign-exchange derivatives desk at Banque Indousuez jacket New York. He became Gaffer of the Fixed-Income research become peaceful Derivative Products Group at Pirate Stanley in 1996, where soil worked for one year a while ago returning to NYU. He was consultant for the fixed-income digging team at Banque Paribas herbaceous border 1999. He headed the options research team at Gargoyle Crucial Investments from 2000 to 2004. Avellaneda consulted with the Queenly Bank of Canada, focusing get in the way structured credit derivatives, in 2001-2002. In 2003, he founded distinction risk management advisory firm Guarantee Concepts^[6] with fellow mathematician Potential Cont and Nicole El Karoui. In 2004, he started Ready money Fund Management’s Nimbus Fund, flattering to the systematic trading comprehensive listed equity derivatives.

Avellaneda's test interests centered on applications lecture mathematics and statistics to fiscal markets, mostly in the areas of trading and risk-management. Hard cash 2010, he was recognized introduce Quant of the Year gross Risk magazine,^[7] for his put in writing on pricing options on hard-to-borrow securities co-authored with Michael Lipkin.

References