We model the interaction between a slow institutional investor and a high-frequency trader as a stochastic multiperiod Stackelberg game. The high-frequency trader exploits price information more frequently and is subject to periodic inventory constraints. We first derive the optimal strategy of...

We study the feasibility and benefits of implementing an across-the-curve credit spread index for the Eurozone. We propose a methodology which takes into account specific features of Euro-denominated wholesale funding markets. We discuss the role for hedge accounting and the advantages of using...

We introduce a model-free approach based on {\it excursions} of trading signals for analyzing the risk and return for a broad class of dynamic trading strategies, including pairs trading and other statistical arbitrage strategies. We propose a mathematical framework for the risk analysis of such...

The widespread use of market-making algorithms in electronic over-the-counter markets may give rise to unexpected effects resulting from the autonomous learning dynamics of these algorithms. In particular the possibility of `tacit collusion' among market makers has increasingly received...

We present a general framework for modelling the dynamics of limit order books, built on the combination of two modelling ingredients: the order flow, modelled as a general spatial point process, and market clearing, modelled via a deterministic ‘mass transport’ operator acting on...

We present a computationally tractable method for simulating arbitrage free implied volatility surfaces. We illustrate how our method may be combined with a factor model for the implied volatility surface to generate dynamic scenarios for arbitrage-free implied volatility surfaces. Our approach...

Marco Avellaneda (1955-2022) was a leading figure in the development of mathematical modelling in finance and its dissemination among market practitioners. We provide a sketch of his trajectory and outline some of his main research contributions to mathematical finance

We propose a simple multi-period model of price impact in a market with multiple assets, which illustrates how feedback effects due to distressed selling and short selling lead to endogenous correlations between asset classes. We show that distressed selling by investors exiting a fund and short...

We show, by studying in detail the market prices of options on liquid markets, that the market has empirically corrected the simple, but inadequate Black-Scholes formula to account for two important statistical features of asset fluctuations: `fat tails' and correlations in the scale of...