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A trend factor : Any economic gains from using information over investment horizons?
Han, Yufeng; Zhou, Guofu; Zhu, Yingzi - In: Journal of financial economics 122 (2016) 2, pp. 352-375
Persistent link: https://www.econbiz.de/10011590910
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An E-ARCH model for the term structure of implied volatility of FX options
Zhu, Yingzi; Avellaneda, Marco - In: Applied Mathematical Finance 4 (1997) 2, pp. 81-100
We construct a statistical model for the term-structure of implied volatilities of currency options based on daily historical data for 13 currency pairs over a 19-month period. We examine the joint evolution of 1 month, 2 month, 3 month, 6 month and 1 year at-the-money (50 δ) options in all the...
Persistent link: https://www.econbiz.de/10009279105
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Statistics of VIX futures and applications to trading volatility exchange-traded products
Avellaneda, Marco; Papanicolaou, A. - In: International journal of theoretical and applied finance 22 (2019) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10012012774
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Preface: special issue on the IMPA research in options meetings, Rio de Janeiro 2006-2017, part 3
Avellaneda, Marco; Dupire, Bruno; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 22 (2019) 1, pp. 1-4
Persistent link: https://www.econbiz.de/10012013094
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Statistics of VIX futures and their applications to trading volatility exchange-traded products
Avellaneda, Marco; Papanicolaou, Andrew - In: The journal of investment strategies 7 (2018) 2, pp. 1-32
Persistent link: https://www.econbiz.de/10011880127
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Pricing interest rate derivatives under monetary changes
Genaro, Alan de; Avellaneda, Marco - In: International journal of theoretical and applied finance 21 (2018) 6, pp. 1-28
Persistent link: https://www.econbiz.de/10011926590
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Quant investing in cluster portfolios
Akansu, Ali N.; Avellaneda, Marco; Xiong, Anqi - In: The journal of investment strategies 9 (2020) 4, pp. 61-78
Persistent link: https://www.econbiz.de/10012598981
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Modeling volatility risk in equity options market : a statistical approach
Dobi, Doris; Avellaneda, Marco - In: Options - 45 years since the publication of the …, (pp. 257-292). 2023
Persistent link: https://www.econbiz.de/10014366655
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Trading signals in VIX futures
Avellaneda, Marco; Li, Thomas Nanfeng; Papanicolaou, Andrew - In: Applied mathematical finance 28 (2021) 3, pp. 275-298
Persistent link: https://www.econbiz.de/10013171072
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Marco Avellaneda : mathematician and trader
Gatheral, Jim - In: Mathematical finance : an international journal of … 33 (2023) 1, pp. 16-18
Persistent link: https://www.econbiz.de/10014278657