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Close-Out Risk Evaluation (CORE) : A New Risk Management Approach for Central Counterparties
Avellaneda, Marco - 2013
This paper introduces the CORE methodology for managing risk of multi-market central-counterparties. CORE generalizes the classical SPAN method of stress scenarios by incorporating explicitly market liquidity of listed instruments and modeling the liquidity pro file of OTC instruments and the...
Persistent link: https://www.econbiz.de/10013083590
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Minimum-relative-entropy calibration of asset-pricing models
Avellaneda, Marco - In: International journal of theoretical and applied finance 1 (1998) 4, pp. 447-472
Persistent link: https://www.econbiz.de/10001255560
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Volatility clustering in financial markets : empirical facts and agent-based models
Cont, Rama - In: Long memory in economics : with 50 tables, (pp. 289-309). 2006
Persistent link: https://www.econbiz.de/10003375648
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Model uncertainty and its impact on the pricing of derivative instruments
Cont, Rama - In: Mathematical finance : an international journal of … 16 (2006) 3, pp. 519-547
Persistent link: https://www.econbiz.de/10003338693
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A Bayesian approach for constructing implied volatility surfaces through neural networks
Avellaneda, Marco; Carelli, A.; Stella, F. - In: The journal of computational finance 4 (2000) 1, pp. 83-107
Persistent link: https://www.econbiz.de/10001528165
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Combinatorial implications of nonlinear uncertain volatility models : the case of barrier options
Avellaneda, Marco; Buff, Robert - In: Applied mathematical finance 6 (1999) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10001449223
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Quantitative modeling of derivative securities : from theory to practice
Avellaneda, Marco - 2000
Persistent link: https://www.econbiz.de/10001403079
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Quantitative analysis in financial markets ; [Vol. 1]
Avellaneda, Marco (contributor) - 1999
Persistent link: https://www.econbiz.de/10001459276
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E-Arch model for implied volatility term structure of FX options
Zhu, Yingzi; Avellaneda, Marco - 1999
Persistent link: https://www.econbiz.de/10001491262
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A risk-neutral stochastic volatility model
Zhu, Yingzi - In: International journal of theoretical and applied finance 1 (1998) 2, pp. 289-310
Persistent link: https://www.econbiz.de/10001240151