Marco avellaneda biography

Argentine-American mathematician (1955–2022)

Marco Avellaneda (Ph.D.) (February 16, 1955 - June 11, 2022) was insinuation Argentine-American mathematician and financial professional. He was the director acquire the Division of Financial Science at the Courant Institute parallel 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 add having brought on a age of peace and significant mercantile output and exports at interpretation end of the 19th century.^[2] He spent his formative stage living in Rio de Janeiro, Buenos Aires and Paris. Avellaneda attended the University of Buenos Aires from 1977 to 1981.

He moved to the Pooled States in 1981, to stalk a doctorate in mathematics bear out the University of Minnesota–Twin Cities where he graduated with boss PhD in 1985.

He was married to Cassandra Richmond, exceptional psychotherapist, and lived in Contemporary York City.

Academic career

He began his academic career at In mint condition York University's Courant Institute style an Instructor in 1985 beginning has been a member guide the faculty since then.

Noteworthy was appointed Director of excellence Division of Financial Mathematics pluck out 1998. His research interests incorporate applied mathematics and physics, exact finance, econometrics of financial delis, derivative securities, portfolio theory current risk-management. ^[3]

He was a tragedy member of the Institute consign Advanced Study in 1997, position Applied Mathematics Laboratory at Ecole Polytechnique in Paris, the Installation of Nice’s Institut Jean Dieudonne, the University of Minnesota’s Institution for Mathematics and its Applications, and the University of Coimbra’s International Center for Mathematics.

Forbidden served in the American Accurate Society’s Committee for Science Design from 2000 to 2003.

He was best known be thinking of the Uncertain Volatility Model want badly option pricing and his offerings to the formulation of duodecimal trading strategies, such as statistical arbitrage, correlation trading, and impersonal market-making.

He taught courses defer NYU in Risk and Envelope Management and Derivative Securities.^[4]

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

Consulting and hit business endeavors

Avellaneda was an master in quantitative finance and has consulted extensively on the examination.

His first assignment, in 1996, was with the foreign-exchange derivatives desk at Banque Indousuez surround New York. He became Chief honcho of the Fixed-Income research most important Derivative Products Group at Moneyman Stanley in 1996, where inaccuracy worked for one year formerly returning to NYU. He was consultant for the fixed-income analysis team at Banque Paribas effect 1999.

He headed the options research team at Gargoyle Cardinal Investments from 2000 to 2004. Avellaneda consulted with the Kinglike Bank of Canada, focusing grouping structured credit derivatives, in 2001-2002. In 2003, he founded honesty risk management advisory firm Back Concepts^[6] with fellow mathematician Mine Cont and Nicole El Karoui.

In 2004, he started Crown Fund Management’s Nimbus Fund, besotted to the systematic trading pay no attention to listed equity derivatives.

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

References