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publications

(14)

• Quantitative modeling of derivative securities : from theory to practice
  {Marco} Avellaneda and {Peter} Laurence (2000)
  to Derivat_<Wertpapier> Exotic_options Optionspreistheorie by fbw on 2008-05-29 13:01:59
  | URL | BibTeX  
• An E-ARCH model for the term structure of implied volatility of FX options
  Yingzi Zhu and Marco Avellaneda Applied Mathematical Finance 4 81--100 (1997)
  to imported by smicha on 2008-04-23 19:16:38
  | URL | BibTeX  
• Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
  Avellaneda Marco and Par{\'A}S Antonio Applied Mathematical Finance 1 165--194 (1994)
  to imported by smicha on 2008-04-23 19:16:38
  | URL | BibTeX  
• On parabolic equations with gauge function term and applications to the multidimensional Leland equation
  J{\"O}rg Kampen and Marco Avellaneda Applied Mathematical Finance 10 215--228 (2003)
  to imported by smicha on 2008-04-23 19:16:38
  | URL | BibTeX  
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
  Marco Avellaneda and Antonio Par{\'A}S Applied Mathematical Finance 3 21--52 (1996)
  to imported by smicha on 2008-04-23 19:16:38
  | URL | BibTeX  
• Pricing and hedging derivative securities in markets with uncertain volatilities
  M. Avellaneda and A. Levy and A. Par{\'A}S Applied Mathematical Finance 2 73--88 (1995)
  to imported by smicha on 2008-04-23 19:16:38
  | URL | BibTeX  
• Calibrating volatility surfaces via relative-entropy minimization
  Marco Avellaneda and Craig Friedman and Richard Holmes and Dominick Samperi Applied Mathematical Finance 4 37--64 (1997)
  to imported by smicha on 2008-04-23 19:16:38
  | URL | BibTeX  
• Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options
  Marco Avellaneda and Robert Buff Applied Mathematical Finance 6 1--18 (1999)
  to imported by smicha on 2008-04-23 19:16:38
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• Introduction to the special issue on volatility modelling
  Rama Cont and Marco Avellaneda Quantitative Finance 2 6--7 (2002)
  to imported by smicha on 2008-04-23 19:09:19
  | URL | BibTeX  
• High-frequency trading in a limit order book
  Marco Avellaneda and Sasha Stoikov Quantitative Finance 8 217--224 (2008)
  to imported by smicha on 2008-04-23 19:09:19
  | URL | BibTeX