# Recent papers in Mathematical Finance

This page contains recent research publications
in the field of Mathematical
Finance. My interest is in the general area of
derivatives,
with emphasis on modeling financial risk.
Some of the questions studied so far with my collaborators
include the
issue of incorporating transaction costs
into dynamic hedging and the management of
uncertainty of future market volatility. Recently, with Yingzi Zhu,
we have made some econometric modeling of the implied volatility of
foreign-exchange options (see below).
Our main objective is to develop models and
numerical algorithms that are mathematically sound
and have practical application (with the understanding that we will
usually fall short of this objective!).
The papers are in .ps files that can be dowloaded and printed/viewed
if you have a postcript reader. All comments and suggestions are
greatly appreciated and can be sent to
avellane@cims.nyu.edu .
** Note (10/1999):
Most of these papers have been in print for at least 2 years.
For more recent
papers, go to
the Courant Finance Server.
**

To appear in Proceedings of AMS Winter meeting, San Diego Jan 1997.

## Authors:

Y. Zhu and M. Avellaneda
## Submitted to:

International Journal of Theoretical and Applied Finance, August 1997.

## Authors:

Y. Zhu and M. Avellaneda
## Submitted to:

Applied Mathematical Finance, January 1997

## Authors:

M. Avellaneda, C. Friedman, R. Holmes, D. Samperi
## Appeared in:

Applied Mathematical Finance, March 1997

## Authors:

P. Lewicki and M. Avellaneda
## Appeared in:

CIMS Preprint version, Fall 1996

## Authors:

M. Avellaneda, A. Levy and A. Paras
## Appeared in:

Applied Mathematical Finance 2, 73-88 (1995)

## Authors:

M. Avellaneda and A. Paras
## Appeared in:

Applied Mathematical Finance , 3, 21-52 (1996)

## Authors:

M. Avellaneda and A. Paras
## Submitted to:

Communications in Pure and Applied Math, Preprint version: August 1995.

## Authors:

M. Avellaneda and A. Paras
## Appeared in:

Applied Mathematical Finance, 1, 165-193 (1994)