# Marco Avellaneda

Professor of Mathematics

Director, Division of Quantitative Finance

avellane@cims.nyu.edu

212-998-3129

Warren Weaver Hall, Office 1012

## Education

Ph.D., Mathematics (Probability), University of Minnesota, USA, 1985.

B.S./M.S., Mathematical Sciences, University of Buenos Aires, Argentina, 1981.

## Research Interests

I specialize in applied mathematics, probability and statistics. Most of my research of the last 10-15 years involves applications of mathematics and statistics to financial markets, derivatives, portfolio management and risk management. (Before that, I worked in applied physics). My work gets published in specialized journals such as Quantitative Finance, Risk Magazine, International Journal of Theoretical and Applied Finance, and other publications read by practitioners as well as theoreticians. I was named “Quant of the Year 2010” by Risk Magazine, for an article on hard-to-borrow stocks and their effect on equity options pricing.

I am not only interested in mathematics inspired by finance. I am interested in using theory to change the way financial markets operate and to improve the quality of financial institutions in a broad sense.

## Selected Publications

M. Avellaneda and J.-H. Lee,
"Statistical arbitrage in the US equities market",
Quantitative Finance
10, no. 7, 761-782 (2010)

M. Avellaneda and S. Zhang,
"Path-Dependence of Leveraged ETF Returns",
Siam Journal of Financial Mathematics
1, 586–603 (2010)

M. Avellaneda and M. Lipkin,
"A dynamic model for hard-to-borrow stocks",
Risk Magazine
(2009)

**Note**: All three articles are available for free download at the Social Sciences Research Network (SSRN), along with many others.