Ph.D. Avellaneda was born on February 16, 1955, in Miramar, Argentina. Avellaneda attended the University of Buenos Aires and graduated with a doctorate in mathematics at the University of Minnesota–Twin Cities in 1985.
His research interests include applied mathematics and physics, mathematical finance, econometrics of financial markets, derivative securities, portfolio theory and risk-management.
Avellaneda has been a visiting member of the Institute for Advanced Studies, the Applied Mathematics Laboratory at École Polytechnique in Paris, the University of Nice’s Institut Jean Dieudonne, the University of Minnesota’s Institute for Mathematics and its Applications, and the University of Coimbra’s International Center for Mathematics. He served in the American Mathematical Society’s Committee for Science Policy from 2000 to 2003. He is best known for the Uncertain Volatility Model for option pricing and his contributions to the formulation of quantitative trading strategies, such as statistical arbitrage, correlation trading, and automated market-making. He has published numerous research papers and written a textbook entitled Quantitative Modeling of Derivative Securities: From Theory to Practice. Currently, Ph.D. Avellaneda is Professor of Mathematics and Director of the Division of Financial Mathematics at the Courant Institute of Mathematical Sciences of New York University. He teaches courses on Risk and Portfolio Management, and on Derivative Securities. He has published numerous research articles and is the author of the textbook Quantitative Modeling of Derivative Securities: From Theory to Practice.
Ph.D. Avellaneda is an expert in quantitative finance and has consulted extensively on the subject. His first assignment, in 1996, was with the foreign-exchange derivatives desk at Banque Indousuez in New York. He became Vice-President of the Fixed-Income research and Derivative Products Group at Morgan Stanley in 1996, where he worked for one year before returning to NYU. He was consultant for the fixed-income research team at Banque Paribas in 1999. He headed the options research team at Gargoyle Strategic Investments from 2000 to 2004. Avellaneda consulted with the Royal Bank of Canada, focusing on structured credit derivatives, in 2001-2002. In 2003, he founded the risk management advisory firm Finance Concepts with fellow mathematician Rama Cont and Nicole El Karoui. In 2004, he started Capital Fund Management’s Nimbus Fund, dedicated to the systematic trading of listed equity derivatives, and he serves in the Advisory Board of Axioma, Inc.
Ph.D. Avellaneda’s research interests center on applications of mathematics and statistics to financial markets, mostly in the areas of trading and risk-management. In 2010, he was recognized as Quant of the Year by Risk magazine, for his paper on pricing options on hard-to-borrow securities co-authored with Michael Lipkin.
Ph.D. Marco Avellaneda is Associate Editor of several scientific journals: Journal of Theoretical and Applied Finance, Communications in Pure and Applied Mathematics, Journal of Quantitative Finance, and The Mexican Journal of Economics and Finance (REMEF).