Marco Avellaneda: Mathematician and trader

DOI10.1111/mafi.12372zbMath1521.01030OpenAlexW4313396305MaRDI QIDQ6054442

Jim Gatheral

Publication date: 28 September 2023

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12372

Mathematics Subject Classification ID

Biographies, obituaries, personalia, bibliographies (01A70)

Cites Work

• Statistical arbitrage in the US equities market
• High-frequency trading in a limit order book
• WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model

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