- Achdou, Y., & Avellaneda, M. (1992). Influence of pore roughness and pore‐size dispersion in estimating the permeability of a porous medium fromelectrical measurements. Physics of fluids A, 4(12), 2651–2673.
Paper not yet in RePEc: Add citation now
- Alama, S., Avellaneda, M., Deift, P. A., & Hempel, R. (1994). On the existence of eigenvalues of a divergence‐form operator A+λB$A+\lambda B$ in a gap of σ(A)$\sigma (A)$. Asymptotic Anal., 8(4), 311–344.
Paper not yet in RePEc: Add citation now
- Alanko, S., & Avellaneda, M. (2013). Reducing variance in the numerical solution of BSDEs. C. R. Math. Acad. Sci. Paris, 351(3–4), 135–138.
Paper not yet in RePEc: Add citation now
- Apelian, C., Holmes, R. L., & Avellaneda, M. (1997). A turbulent transport model: streamline results for a class of random velocity fields in the plane. Comm. Pure Applied Mathematics, 50(11), 1053–1088.
Paper not yet in RePEc: Add citation now
- Arnold, V., Avellaneda, M., & Morel, J.‐M. (1998). Trois applications des mathématiques. Société Mathématique de France.
Paper not yet in RePEc: Add citation now
- Avellaneda, M. (1987a). Iterated homogenization, differential effective medium theory and applications. Comm. Pure Applied Mathematics, 40(5), 527–554.
Paper not yet in RePEc: Add citation now
- Avellaneda, M. (1987b). Optimal bounds and microgeometries for elastic two‐phase composites. SIAM J. Applied Mathematics, 47(6), 1216–1228.
Paper not yet in RePEc: Add citation now
- Avellaneda, M. (1989). Iterated homogenization and the effective properties of polycrystals. In Control of boundaries and stabilization (Clermont‐Ferrand, 1988). Lecture notes in control and information sciences (Vol. 125, pp. 66–74). Springer.
Paper not yet in RePEc: Add citation now
- Avellaneda, M. (1991a). Bounds on the effective elastic constants of two‐phase composite materials. In Nonlinear partial differential equations and their applications. Collège de France Seminar, Vol. X (Paris, 1987–1988). Pitman research notes in mathematics series (Vol. 220, pp. 1–34). Longman Scientific and Technical.
Paper not yet in RePEc: Add citation now
- Avellaneda, M. (1991b). Enhanced diffusivity and intercell transition layers in 2‐D models of passive advection. J. Math. Phys., 32(11), 3209–3212.
Paper not yet in RePEc: Add citation now
- Avellaneda, M. (1995). Statistical properties of shocks in Burgers turbulence. II. Tail probabilities for velocities, shock‐strengths and rarefaction intervals. Comm. Math. Phys., 169(1), 45–59.
Paper not yet in RePEc: Add citation now
- Avellaneda, M. (1996). Homogenization and renormalization: The mathematics of multi‐scale random media and turbulent diffusion. In Dynamical systems and probabilistic methods in partial differential equations (Berkeley, CA, 1994). Lectures in applied mathematics (Vol. 31, pp. 251–268). American Mathematical Society.
Paper not yet in RePEc: Add citation now
- Avellaneda, M. (1998a). The minimum‐entropy algorithm and related methods for calibrating asset‐pricing model. In Trois applications des mathématiques. SMF journ. annu. (Vol. 1998, pp. 51–86). Societe Mathematique de France.
Paper not yet in RePEc: Add citation now
- Avellaneda, M. (1998b). The minimum‐entropy algorithm and related methods for calibrating asset‐pricing models. In Proceedings of the International Congress of Mathematicians, Vol. III (Berlin, 1998), (Vol. III, pp. 545–563).
Paper not yet in RePEc: Add citation now
- Avellaneda, M. (1998c). Minimum‐relative‐entropy calibration of asset‐pricing models. International Journal of Theoretical and Applied Finance, 01(04), 447–472.
Paper not yet in RePEc: Add citation now
Avellaneda, M. (2004). A look ahead at options pricing and volatility. Quant. Finance, 4(5), C51–C54.
Avellaneda, M. (2020). Hierarchical PCA and applications to portfolio management. Revista Mexicana de economía y finanzas, 15(7), 1–16.
- Avellaneda, M. M. (1985). Large deviation estimate and the homological behavior of Brownian motion on manifolds [Ph.D. thesis, University of Minnesota]. ProQuest.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., & Bruno, O. (1990). Effective conductivity and average polarizability of random polycrystals. J. Math. Phys., 31(8), 2047–2056.
Paper not yet in RePEc: Add citation now
Avellaneda, M., & Cont, R. (2002). Introduction to the Special issue on volatility modelling. Quantitative Finance, 2(1), 6–7.
- Avellaneda, M., & Cont, R. (2010a). Transparency in credit default swap markets. ISDA‐Fed‐SEC working group on OTC market transparency. ISDA.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., & Cont, R. (2010b). Transparency in OTC equity markets. ISDA‐Fed‐SEC working group on OTC market transparency. ISDA.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., & Cont, R. (2010c). Transparency in over‐the‐counter interest rate derivatives. ISDA‐Fed‐SEC working group on OTC market transparency. ISDA.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., & Cont, R. (2013). Close‐out risk evaluation (CORE): A new risk management approach for central counterparties (Technical Report). Finance Concepts.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., & E, W. (1995). Statistical properties of shocks in Burgers turbulence. Comm. Math. Phys., 172(1), 13–38.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., & Gamba, R. (2002). Conquering the Greeks in Monte Carlo: efficient calculation of the market sensitivities and hedge‐ratios of financial assets by direct numerical simulation. In Mathematical finance—Bachelier Congress, 2000 (Paris), Springer finance (pp. 93–109). Springer.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., & Laurence, P. (2000). Quantitative modeling of derivative securities. Chapman & Hall/CRC.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., & Lin, F. H. (1988). Fonctions quasi affines et minimisation de R|▿u|p$|\triangledown u|^p$. C. R. Acad Sci Paris Sér I Math, 306, 355–358.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., & Lin, F.‐H. (1987a). Compactness methods in the theory of homogenization. Comm. Pure Applied Mathematics, 40(6), 803–847.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., & Lin, F.‐H. (1987b). Counterexamples related to high‐frequency oscillation of Poisson's kernel. Applied Mathematics Optim., 15(2), 109–119.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., & Lin, F.‐H. (1987c). Homogenization of elliptic problems with Lp$L^p$ boundary data. Applied Mathematics Optim., 15(2), 93–107.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., & Lin, F.‐H. (1989a). Compactness methods in the theory of homogenization. II. Equations in nondivergence form. Comm. Pure Applied Mathematics, 42(2), 139–172.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., & Lin, F.‐H. (1989b). Homogenization of Poisson's kernel and applications to boundary control. J. Math. Pures Appl. (9), 68(1), 1–29.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., & Lin, F.‐H. (1989c). Un théorème de Liouville pour des équations elliptiques à coefficients périodiques. C. R. Acad. Sci. Paris Sér. I Math., 309(5), 245–250.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., & Lin, F.‐H. (1991). Lp$L^p$ bounds on singular integrals in homogenization. Comm. Pure Applied Mathematics, 44(8–9), 897–910.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., & Lipkin, M. (2009). A dynamic model for hard‐to‐borrow stocks. Risk, 22(6), 92–97.
Paper not yet in RePEc: Add citation now
Avellaneda, M., & Lipkin, M. D. (2003). A market‐induced mechanism for stock pinning. Quant. Finance, 3(6), 417–425.
- Avellaneda, M., & Majda, A. (1992a). Mathematical models with exact renormalization for turbulent transport. II. Fractal interfaces, non‐Gaussian statistics and the sweeping effect. Comm. Math. Phys., 146(1), 139–204.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., & Majda, A. J. (1990). Mathematical models with exact renormalization for turbulent transport. Comm. Math. Phys., 131(2), 381–429.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., & Majda, A. J. (1991a). Homogenization and renormalization of multiple‐scattering expansions for Green functions in turbulent transport. In Composite media and homogenization theory (Trieste, 1990). Progress in nonlinear differential equations and their applications (Vol. 5, pp. 13–35). Birkhäuser.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., & Majda, A. J. (1991b). An integral representation and bounds on the effective diffusivity in passive advection by laminar and turbulent flows. Comm. Math. Phys., 138(2), 339–391.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., & Majda, A. J. (1992b). Approximate and exact renormalization theories for a model for turbulent transport. Physics of fluids A, 4(1), 41–57.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., & Majda, A. J. (1992c). Superdiffusion in nearly stratified flows. J. Statist. Phys., 69(3–4), 689–729.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., & Majda, A. J. (1993). Application of an approximate R‐N‐G theory, to a model for turbulent transport, with exact renormalization. In Turbulence in fluid flows. The IMA volumes in mathematics and its applications (Vol. 55, pp. 1–31). Springer.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., & Majda, A. J. (1994). Simple examples with features of renormalization for turbulent transport. Philos. Trans. Roy. Soc. London Ser. A, 346(1679), 205–233.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., & Milton, G. W. (1989). Optimal bounds on the effective bulk modulus of polycrystals. SIAM J. Applied Mathematics, 49(3), 824–837.
Paper not yet in RePEc: Add citation now
Avellaneda, M., & Papanicolaou, A. (2019). Statistics of VIX futures and applications to trading volatility exchange‐traded products. Int. J. Theor. Appl. Finance, 22(1), 1850061, 30.
- Avellaneda, M., & Paras, A. (1994). Dynamical hedging strategies for derivative securities in the presence of large transaction costs. Applied Mathematical Finance, 1, 165–93.
Paper not yet in RePEc: Add citation now
Avellaneda, M., & Paras, A. (1996). Managing the volatility risk of portfolios of derivative securities: The Lagrangian uncertain volatility model. Applied Mathematical Finance, 3(1), 21–52.
- Avellaneda, M., & Stoikov, S. (2008). High‐frequency trading in a limit order book. Quant. Finance, 8(3), 217–224.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., & Torquato, S. (1991). Rigorous link between fluid permeability, electrical conductivity, and relaxation times for transport in porous media. Physics of fluids A, 3(11), 2529–2540.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., & Vergassola, M. (1995). Stieltjes integral representation of effective diffusivities in time‐dependent flows. Phys. Rev. E (3), 52(3), 3249–3251.
Paper not yet in RePEc: Add citation now
Avellaneda, M., & Wu, L. (2001). Credit contagion: Pricing cross‐country risk in Brady debt markets. Int. J. Theor. Appl. Finance, 4(6), 921–938.
- Avellaneda, M., & Zhang, S. (2010). Path‐dependence of leveraged ETF returns. SIAM J. Financial Math., 1(1), 586–603.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., Bardos, C., & Rauch, J. (1992). Contrôlabilité exacte, homogénéisation et localisation d'ondes dans un milieu non‐homogène. Asymptotic Anal., 5(6), 481–494.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., Berlyand, L., & Clouet, J.‐F. (2000). Frequency‐dependent acoustics of composites with interfaces. SIAM J. Applied Mathematics, 60(6), 2143–2181.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., Boyer‐Olson, D., Busca, J., & Friz, P. (2003). Application of large deviation methods to the pricing of index options in finance. C. R. Math. Acad. Sci. Paris, 336(3), 263–266.
Paper not yet in RePEc: Add citation now
Avellaneda, M., Buff, R., Friedman, C., Grandchamp, N., Kruk, L., & Newman, J. (2001). Weighted Monte Carlo: A new technique for calibrating asset‐pricing models. Int. J. Theor. Appl. Finance, 4(1), 91–119.
- Avellaneda, M., Elliott, Jr, F., & Apelian, C. (1993). Trapping, percolation, and anomalous diffusion of particles in a two‐dimensional random field. J. Statist. Phys., 72(5–6), 1227–1304.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., Friedman, C., Holmes, R., & Samperi, D. (1997). Calibrating volatility surfaces via relative‐entropy minimization. Applied Mathematical Finance, 4(1), 37–64.
Paper not yet in RePEc: Add citation now
Avellaneda, M., Healy, B., Papanicolaou, A., & Papanicolaou, G. (2020). PCA for implied volatility surfaces. The Journal of Financial Data Science, 2(2), 85–109.
- Avellaneda, M., Healy, B., Papanicolaou, A., & Papanicolaou, G. (2022). Principal eigenportfolios for U.S. equities. SIAM J. Financial Math., 13(3), 702–744.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., Hou, T. Y., & Papanicolaou, G. C. (1991). Finite difference approximations for partial differential equations with rapidly oscillating coefficients. RAIRO Modél. Math. Anal. Numér., 25(6), 693–710.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., Kasyan, G., & Lipkin, M. D. (2012). Mathematical models for stock pinning near option expiration dates. Comm. Pure Applied Mathematics, 65(7), 949–974.
Paper not yet in RePEc: Add citation now
Avellaneda, M., Levy, A., & Parás, A. (1995). Pricing and hedging derivative securities in markets with uncertain volatilities. Applied Mathematical Finance, 2(2), 73–88.
Avellaneda, M., Li, T. N., Papanicolaou, A., & Wang, G. (2021). Trading signals in VIX futures. Applied Mathematics Finance, 28(3), 275–298.
- Avellaneda, M., Reed, J., & Stoikov, S. (2011). Forecasting prices from level‐I quotes in the presence of hidden liquidity. Algorithmic Finance, 1(1), 35–43.
Paper not yet in RePEc: Add citation now
- Avellaneda, M., Ryan, R., & E, W. (1995). PDFs for velocity and velocity gradients in Burgers' turbulence. Phys. Fluids, 7(12), 3067–3071.
Paper not yet in RePEc: Add citation now
- Cont, R., & Avellaneda, M. (2002). Introduction to the special issue on volatility modelling. Quantitative Finance, 2, 6–7.
Paper not yet in RePEc: Add citation now
- Davis, G., Mallat, S., & Avellaneda, M. (1997). Adaptive greedy approximations. Constr. Approx., 13(1), 57–98.
Paper not yet in RePEc: Add citation now
De Genaro, A., & Avellaneda, M. (2018). Pricing interest rate derivatives under monetary changes. Int. J. Theor. Appl. Finance, 21(6), 1850037.
- Denis, L., & Martini, C. (2006). A theoretical framework for the pricing of contingent claims in the presence of model uncertainty. Annals of Applied Probability, 16(2), 827–852.
Paper not yet in RePEc: Add citation now
- Duffie, D. (1988). Security markets: Stochastic models. Academic Press.
Paper not yet in RePEc: Add citation now
Glasserman, P., & Yu, Y. (2005). Large sample properties of weighted Monte Carlo estimators. Operations Research, 53(2), 298–312.
- Guo, M., Papanicolaou, G., & Varadhan, S. (1988). Nonlinear diffusion limit for a system with nearest neighbor interactions. Communications in Mathematical Physics, 118(1), 31–59.
Paper not yet in RePEc: Add citation now
Harrison, J., & Pliska, S. R. (1981). Martingales and stochastic integrals in the theory of continuous trading. Stochastic Processes and their Applications, 11, 215–260.
Ho, T., & Stoll, H. R. (1981). Optimal dealer pricing under transactions and return uncertainty. Journal of Financial economics, 9(1), 47–73.
- Laurence, P., & Avellaneda, M. (1991). On Woltjer's variational principle for force‐free fields. J. Math. Phys., 32(5), 1240–1253.
Paper not yet in RePEc: Add citation now
- Laurence, P., & Avellaneda, M. (1993a). A Moffatt‐Arnold formula for the mutual helicity of linked flux tubes. Geophys. Astrophys. Fluid Dynam., 69(1–4), 243–256.
Paper not yet in RePEc: Add citation now
- Laurence, P., & Avellaneda, M. (1993b). Woltjer's variational principle. II. The case of unbounded domains. Geophys. Astrophys. Fluid Dynam., 69(1–4), 201–241.
Paper not yet in RePEc: Add citation now
- Lipton, R., & Avellaneda, M. (1990). Darcy's law for slow viscous flow past a stationary array of bubbles. Proc. Roy. Soc. Edinburgh Sect. A, 114(1–2), 71–79.
Paper not yet in RePEc: Add citation now
- Lyons, T. J. (1995). Uncertain volatility and the risk‐free synthesis of derivatives. Applied Mathematical Finance, 2(2), 117–133.
Paper not yet in RePEc: Add citation now
- Merton, R. C. (1992). Continuous‐time finance. Blackwell.
Paper not yet in RePEc: Add citation now
- Papanicolaou, G. C., & Varadhan, S. (1979). Boundary value problems with rapidly oscillating random coefficients. In Colloquia Mathematica Societatis, Janos Bolyai, (Vol. 27, pp. 853–873).
Paper not yet in RePEc: Add citation now
- Peng, S. (2019). Nonlinear expectations and stochastic calculus under uncertainty: With robust CLT and G‐Brownian motion. Springer.
Paper not yet in RePEc: Add citation now
- Ryan, R., & Avellaneda, M. (1999). The one‐point statistics of viscous Burgers turbulence initialized with Gaussian data. Comm. Math. Phys., 200(1), 1–23.
Paper not yet in RePEc: Add citation now
- Tudball, D. (2013). That crazy boy from Búzios! Wilmott, 2013(67), 28–43.
Paper not yet in RePEc: Add citation now
- Vergassola, M., & Avellaneda, M. (1997). Scalar transport in compressible flow. Phys. D, 106(1–2), 148–166.
Paper not yet in RePEc: Add citation now