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CUTTING EDGE - Market risk - A dynamic model for hard-to-borrow stocks - Traders with short positions in stocks that are subject to short-selling restrictions risk being 'bought in', in the sense that their positions may be closed out by the clearing firm at market prices. The authors present a model for the dynamics of these 'hard-to-borrow' stocks, concluding that such restrictions result in ...

Avellaneda, Marco; Lipkin, Mike - In: Risk : managing risk in the world's financial markets 22 (2009) 6, pp. 92-97

Persistent link: https://www.econbiz.de/10008265091

On parabolic equations with gauge function term and applications to the multidimensional Leland equation

Kampen, Jörg; Avellaneda, Marco - In: Applied mathematical finance 10 (2003) 3, pp. 215-228

Persistent link: https://www.econbiz.de/10008215184

PAPERS - Combinatorial implications of nonlinear uncertain volatility models: Case of barrier options

Avellaneda, Marco; Buff, Robert - In: Applied mathematical finance 6 (1999) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10008218059

Equity derivatives: Reconstructing volatility

Avellaneda, Marco; Boyer-Olson, Dash; Busca, Jérôme; … - In: Risk : managing risk in the world's financial markets 15 (2002) 10, pp. 87-92

Persistent link: https://www.econbiz.de/10007035136

Default models: Distance to default - So-called default barrier models were devised to enforce consistency between credit spread or ratings-based and firm value-based estimates of default probability. Here, the authors use a continuous time framework to recast this methodology as a control problem, which is then implemented numerically.

Avellaneda, Marco; Zhu, Jingyi - In: Risk : managing risk in the world's financial markets 14 (2001) 12, pp. 125-130

Persistent link: https://www.econbiz.de/10007040150

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