Marco Avellaneda, B.S., University of Buenos Aires, 1981, Ph.D. University of Minnesota 1985, is Professor of Mathematics at New York University’s Courant Institute of Mathematical Sciences, where he is the Director of the Division of Mathematical Finance. He currently teaches courses in Risk Management and Derivative Securities.
Avellaneda is an internationally recognized expert in quantitative finance with more than 20 years of experience in quantitative modeling in the financial industry, including roles at Morgan Stanley, Gargoyle Strategic Investments, Capital Fund Management, and Galleon Group. He is known as the inventor of the Uncertain Volatility Model for option pricing, and his contributions to the formulation of quantitative trading strategies, such as relative-value trading, statistical arbitrage, high-frequency trading, and price forecasting. His ideas have been used broadly in Wall Street and he was recognized as Quant of the Year 2010 by Risk Magazine. Recently, he has helped design new risk-management frameworks for the central-clearing of derivatives securities, working with the Intercontinental Exchange (ICE), the CME Group, Hong-Kong Exchanges and Clearing Ltd. and BM&F Bovespa.
In this paper, the authors study the dynamics of Chicago Board Options Exchange volatility index (VIX) futures and exchange-traded notes (ETNs)/exchange-traded funds (ETFs).