Marco Avellaneda

Marco Avellaneda - NYU Courant Institute

Marco Avellaneda has been involved in teaching, developing and practicing quantitative finance for the last 15 years. He worked at Banque Indosuez as consultant in FX derivatives, as a vice-president in fixed-income research at Morgan Stanley, as quant strategist at option marketmaking firm Gargolye Strategic Investments, as Head of Volatility Arbitrage at Capital Fund Management, where he created the Nimbus Fund, and as quant Portfolio Manager at the Galleon Group.

His interests - both practical and theoretical - are unabashedly focused on quantitative alpha generation. He is known in academic finance as the inventor of the Uncertain Volatility model, for developing model-calibration algorithms using Weighted Monte Carlo/Max Entropy, for the theory behind dispersion trading, and for his more recent works on statistical arbitrage in the US equities market, high-frequency trading and price forecasting. A faculty member at the Courant Institute since "before the internet", he teaches classes in Stochastic Calculus, Risk-management and Portfolio Theory, PDEs in Finance and Quantitative Investment Strategies. He is in the editorial boards of Communications on Pure and Applied Mathematics, the International Journal for Theoretical and Applied Finance and Quantitative Finance and co-authored the textbook "Quantitative Modeling of Derivative Securities". He was named 2010 Quant of the Year by RISK Magazine.

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