Consulting

Marco is an expert in quantitative finance and has consulted extensively on the subject. His first assignment, in 1996, was with the foreign-exchange derivatives desk at Banque Indousuez in New York. He became Vice-President of the Fixed-Income research and Derivative Products Group at Morgan Stanley in 1996, where he worked for one year before returning to NYU. He was consultant for the fixed-income research team at Banque Paribas in 1999. He headed the options research team at Gargoyle Strategic Investments from 2000 to 2004. Avellaneda consulted with the Royal Bank of Canada, focusing on structured credit derivatives, in 2001-2002. In 2003, he founded the risk management advisory firm Finance Concepts^[5] with fellow mathematician Rama Cont and Nicole El Karoui. In 2004, he started Capital Fund Management’s Nimbus Fund, dedicated to the systematic trading of listed equity derivatives.

Avellaneda’s research interests center on applications of mathematics and statistics to financial markets, mostly in the areas of trading and risk-management. In 2010, he was recognized as Quant of the Year by Risk magazine,^[6] for his paper on pricing options on hard-to-borrow securities co-authored with Michael Lipkin.