In memoriam: Marco Avellaneda (1955–2022) (Q6054441)

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scientific article; zbMATH DE number 7743093

Language	Label	Description	Also known as
English	In memoriam: Marco Avellaneda (1955–2022)	scientific article; zbMATH DE number 7743093

Statements

scholarly article

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In memoriam: Marco Avellaneda (1955–2022) (English)

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Mathematical Finance

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publication date

28 September 2023

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MaRDI profile type

MaRDI publication profile

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Reducing variance in the numerical solution of BSDEs

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A turbulent transport model: Streamline results for a class of random velocity fields in the plane

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Iterated homogenization, differential effective medium theory and applications

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Optimal Bounds and Microgeometries for Elastic Two-Phase Composites

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

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

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The minimum-entropy algorithm and related methods for calibrating asset-pricing models

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Minimum-Relative-Entropy Calibration of Asset-Pricing Models

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Frequency-Dependent Acoustics of Composites with Interfaces

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

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Effective conductivity and average polarizability of random polycrystals

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

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Introduction to the special issue on volatility modelling

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Statistical properties of shocks in Burgers turbulence

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Trapping, percolation, and anomalous diffusion of particles in a two-dimensional random field

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Calibrating volatility surfaces via relative-entropy minimization

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Principal Eigenportfolios for U.S. Equities

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Finite difference approximations for partial differential equations with rapidly oscillating coefficients

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Mathematical Models for Stock Pinning near Option Expiration Dates

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Statistical arbitrage in the US equities market

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Pricing and hedging derivative securities in markets with uncertain volatilities

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Trading Signals in VIX Futures

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Compactness methods in the theory of homogenization

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

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Homogenization of elliptic problems with \(L^p\) boundary data

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

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Homogenization of Poisson's kernel and applications to boundary control

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<i>L</i><sup><i>p</i></sup> bounds on singular integrals in homogenization

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A market-induced mechanism for stock pinning

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

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Mathematical models with exact renormalization for turbulent transport

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An integral representation and bounds on the effective diffusivity in passive advection by laminar and turbulent flows

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Approximate and exact renormalization theories for a model for turbulent transport

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Superdiffusion in nearly stratified flows

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Simple examples with features of renormalization for turbulent transport

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Optimal Bounds on the Effective Bulk Modulus of Polycrystals

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STATISTICS OF VIX FUTURES AND APPLICATIONS TO TRADING VOLATILITY EXCHANGE-TRADED PRODUCTS

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

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

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PDFs for velocity and velocity gradients in Burgers’ turbulence

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High-frequency trading in a limit order book

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Rigorous link between fluid permeability, electrical conductivity, and relaxation times for transport in porous media

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

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Path-Dependence of Leveraged ETF Returns

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Adaptive greedy approximations

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PRICING INTEREST RATE DERIVATIVES UNDER MONETARY CHANGES

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A theoretical framework for the pricing of contingent claims in the presence of model uncertainty

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Large Sample Properties of Weighted Monte Carlo Estimators

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Nonlinear diffusion limit for a system with nearest neighbor interactions

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Martingales and stochastic integrals in the theory of continuous trading

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On Woltjer’s variational principle for force-free fields

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Darcy's law for slow viscous flow past a stationary array of bubbles

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Uncertain volatility and the risk-free synthesis of derivatives

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Nonlinear Expectations and Stochastic Calculus under Uncertainty

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The one-point statistics of viscous Burgers turbulence initialized with Gaussian data

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Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability

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Scalar transport in compressible flow

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Identifiers

zbMATH Open document ID

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10.1111/mafi.12375

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:6054441

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