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Prof. Marco Avellaneda (1955–2022) was a leading figure in the development and dissemination of advanced mathematical modeling techniques in finance.

This one-day workshop will bring together some of Marco’s friends and collaborators to discuss advances in quantitative finance and the influence of Marco’s contributions.

Thursday, April 18, 2024
Wasserman Center for Career Development
New York University
133 East 13th Street
New York, NY 10003

Registration is free but required. Click here to register.

 

LECTURES

Rama Cont	University of Oxford	Avellaneda in Monte Carlo: A probabilistic approach to model calibration and model risk
Andrew Papanicolaou	North Carolina State University	Eigen portfolio construction: Names space vs. rank space
Bruno Dupire	Bloomberg	Weighted Monte Carlo revisited
Steve Heston	University of Maryland	A new closed-form discrete-time option pricing model with stochastic volatility
Mike Lipkin	NYU Tandon	Working with Marco: Bringing feedback to option pricing and stock dynamics
Sasha Stoikov	Cornell University	Where market making meets market microstructure
Nassim Taleb	Universa Investments	Entropy, genetic distance, and maximum-ignorance probability
Jorge Zubelli	Khalifa University	Local volatility estimation in the presence of jumps

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PANEL DISCUSSION
“REFLECTIONS ON MARCO”

Cassandra Richmond Avellaneda
Doris Dobi
Graeme Milton (University of Utah)
 Esteban Tabak (NYU Courant)
Stanley Zhang (Cubist Systematic Strategies)

Leon Tatevossian, moderator

 

CONTRIBUTING SPONSOR

 

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ORGANIZING COMMITTEE

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Rama Cont (University of Oxford)
Jonathan Goodman (NYU Courant)
Mike Lipkin (NYU Tandon)
Elizabeth Rodriguez (NYU Courant)
Leon Tatevossian (NYU Courant and Tandon)

Click here to view the workshop program.