In memoriam: Marco Avellaneda (1955–2022)

Cites Work

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An integral representation and bounds on the effective diffusivity in passive advection by laminar and turbulent flows
Mathematical models with exact renormalization for turbulent transport
A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
Homogenization of elliptic problems with \(L^p\) boundary data
Nonlinear diffusion limit for a system with nearest neighbor interactions
Counterexamples related to high-frequency oscillation of Poisson's kernel
The minimum-entropy algorithm and related methods for calibrating asset-pricing models
Martingales and stochastic integrals in the theory of continuous trading
Mathematical models with exact renormalization for turbulent transport. II: Fractal interfaces, non-Gaussian statistics and the sweeping effect
The one-point statistics of viscous Burgers turbulence initialized with Gaussian data
Superdiffusion in nearly stratified flows
Homogenization of Poisson's kernel and applications to boundary control
Application of large deviation methods to the pricing of index options in finance.
Statistical properties of shocks in Burgers turbulence. II: Tail probabilities for velocities, shock-strengths and rarefaction intervals
Statistical properties of shocks in Burgers turbulence
Scalar transport in compressible flow
Reducing variance in the numerical solution of BSDEs
Trapping, percolation, and anomalous diffusion of particles in a two-dimensional random field
Minimum-Relative-Entropy Calibration of Asset-Pricing Models
Statistical arbitrage in the US equities market
Mathematical Models for Stock Pinning near Option Expiration Dates
STATISTICS OF VIX FUTURES AND APPLICATIONS TO TRADING VOLATILITY EXCHANGE-TRADED PRODUCTS
Optimal Bounds on the Effective Bulk Modulus of Polycrystals
Effective conductivity and average polarizability of random polycrystals
High-frequency trading in a limit order book
WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS
CREDIT CONTAGION: PRICING CROSS-COUNTRY RISK IN BRADY DEBT MARKETS
Path-Dependence of Leveraged ETF Returns
Iterated homogenization, differential effective medium theory and applications
Compactness methods in the theory of homogenization
Optimal Bounds and Microgeometries for Elastic Two-Phase Composites
Compactness methods in the theory of homogenization II: Equations in non-divergence form
On Woltjer’s variational principle for force-free fields
Finite difference approximations for partial differential equations with rapidly oscillating coefficients
Enhanced diffusivity and intercell transition layers in 2-D models of passive advection
Approximate and exact renormalization theories for a model for turbulent transport
Rigorous link between fluid permeability, electrical conductivity, and relaxation times for transport in porous media
L^p bounds on singular integrals in homogenization
Simple examples with features of renormalization for turbulent transport
A turbulent transport model: Streamline results for a class of random velocity fields in the plane
PDFs for velocity and velocity gradients in Burgers’ turbulence
Frequency-Dependent Acoustics of Composites with Interfaces
Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
Calibrating volatility surfaces via relative-entropy minimization
Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability
Introduction to the special issue on volatility modelling
A market-induced mechanism for stock pinning
PRICING INTEREST RATE DERIVATIVES UNDER MONETARY CHANGES
Darcy's law for slow viscous flow past a stationary array of bubbles
Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
Pricing and hedging derivative securities in markets with uncertain volatilities
Uncertain volatility and the risk-free synthesis of derivatives
Trading Signals in VIX Futures
Principal Eigenportfolios for U.S. Equities
Nonlinear Expectations and Stochastic Calculus under Uncertainty
Large Sample Properties of Weighted Monte Carlo Estimators
Adaptive greedy approximations

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