Marco Avellaneda (Ph.D.) (February 16, 1955 - June 11, 2022) was an American mathematician and financial consultant. He was the director of the Division of Financial Mathematics at the Courant Institute at

New York University New York University (NYU) is a private research university in New York City. Chartered in 1831 by the New York State Legislature, NYU was founded by a group of New Yorkers led by then- Secretary of the Treasury Albert Gallatin. In 1832, ...

Early life

Avellaneda was born on February 16, 1955, in Miramar, Argentina. His great-grandfather Nicolas Avellaneda was Argentina’s youngest President and was credited with having brought on a period of peace and significant economic output and exports at the end of the 19th century. He spent his formative years living in Rio de Janeiro, Buenos Aires and Paris. Avellaneda attended the

University of Buenos Aires The University of Buenos Aires ( es, Universidad de Buenos Aires, UBA) is a public research university in Buenos Aires, Argentina. Established in 1821, it is the premier institution of higher learning in the country and one of the most prestigi ...

from 1977 to 1981. He moved to the United States in 1981, to pursue a doctorate in mathematics at the University of Minnesota–Twin Cities where he graduated with a PhD in 1985. He was married to Cassandra Richmond, a psychotherapist, and lived in New York City.

Academic career

He began his academic career at

's Courant Institute as an Instructor in 1985 and has been a member of the faculty since then. He was appointed Director of the Division of Financial Mathematics in 1998. His research interests include applied mathematics and physics, mathematical finance, econometrics of financial markets, derivative securities, portfolio theory and risk-management. He was a visiting member of the

Institute for Advanced Study The Institute for Advanced Study (IAS), located in Princeton, New Jersey, in the United States, is an independent center for theoretical research and intellectual inquiry. It has served as the academic home of internationally preeminent scholar ...

in 1997, the Applied Mathematics Laboratory at Ecole Polytechnique in Paris, the University of Nice’s Institut Jean Dieudonne, the

University of Minnesota The University of Minnesota, formally the University of Minnesota, Twin Cities, (UMN Twin Cities, the U of M, or Minnesota) is a public university, public Land-grant university, land-grant research university in the Minneapolis–Saint Paul, Tw ...

’s

Institute for Mathematics and its Applications The Institute for Mathematics and its Applications located at the University of Minnesota is an organization established in 1982 by the National Science Foundation (NSF) of the United States. Mission The primary mission of the IMA is to increas ...

, and the

University of Coimbra The University of Coimbra (UC; pt, Universidade de Coimbra, ) is a public research university in Coimbra, Portugal. First established in Lisbon in 1290, it went through a number of relocations until moving permanently to Coimbra in 1537. The ...

’s International Center for Mathematics. He served in the

American Mathematical Society The American Mathematical Society (AMS) is an association of professional mathematicians dedicated to the interests of mathematical research and scholarship, and serves the national and international community through its publications, meetings ...

’s Committee for Science Policy from 2000 to 2003. He was 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 taught courses at NYU in Risk and Portfolio Management and Derivative Securities. In 1998 he was an Invited Speaker of the

International Congress of Mathematicians The International Congress of Mathematicians (ICM) is the largest conference for the topic of mathematics. It meets once every four years, hosted by the International Mathematical Union (IMU). The Fields Medals, the Nevanlinna Prize (to be rename ...

in Berlin.

Consulting and other business endeavors

Avellaneda was 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 Morgan Stanley is an American multinational investment management and financial services company headquartered at 1585 Broadway in Midtown Manhattan, New York City. With offices in more than 41 countries and more than 75,000 employees, the f ...

in 1996, where he worked for one year before returning to NYU. He was consultant for the fixed-income research team at

Banque Paribas BNP Paribas is a French international banking group, founded in 2000 from the merger between Banque Nationale de Paris (BNP, "National Bank of Paris") and Paribas, formerly known as the Banque de Paris et des Pays-Bas. The full name of the group ...

in 1999. He headed the options research team at Gargoyle Strategic Investments from 2000 to 2004. Avellaneda consulted with the

Royal Bank of Canada Royal Bank of Canada (RBC; french: Banque royale du Canada) is a Canadian multinational financial services company and the largest bank in Canada by market capitalization. The bank serves over 17 million clients and has more than 89,000& ...

, focusing on structured credit derivatives, in 2001-2002. In 2003, he founded the risk management advisory firm Finance Concepts with fellow mathematician

Rama Cont Rama Cont is the Professor of Mathematical Finance at the University of Oxford. He is known for contributions to probability theory, stochastic analysis and mathematical modelling in finance, in particular mathematical models of systemic ri ...

and Nicole El Karoui. In 2004, he started

Capital Fund Management Capital Fund Management (CFM) is a global asset management company based in Paris with staff in New York City, London, and Sydney. CFM takes a scientific and academic approach to finance, using quantitative and systematic techniques to develop al ...

’s Nimbus Fund, dedicated to the systematic trading of listed equity derivatives. Avellaneda's research interests centered 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.

References

{{DEFAULTSORT:Avellaneda, Marco Living people 1955 births Argentine mathematicians University of Minnesota College of Science and Engineering alumni Courant Institute of Mathematical Sciences faculty