Marco Avellaneda : Remembering An Iconic NYU Quant Professor

Marco Avellaneda : Remembering An Iconic NYU Quant Professor

The passing away, last night, of my very dear friend Marco, after a long struggle with the disease is an enormous shock. So many memories hit back like a boomerang.

If you want to know his achievements in math, in mathematical finance, in theoretical physics, see his Wiki page:

But if you want to know the real Marco, you must know the strength of his humor, his energy, his passion in anything he was doing. An endless list of students and collaborators whom he engaged into his always original ideas.

One of the very rare ones, in this world of math finance, who was equivalently at ease with the highest math, with the most elaborate concepts of physics, and with the bare reality of financial markets, in which he had a strong trading experience, particularly options, for which he developed a quite original “minimal entropy” approach.

And yet, when I was recently speaking with him, while laughing at his medical situation, he was telling me “do you remember my 1991 paper on the Stefan problem”. In other words, “we are having fun with finance, but remember that, initially, we are mathematician!” This was Marco, a great scientist among the scientists. Who, by “having fun” in finance, still managed to lead an entire school of thought.

On a personal level, he impacted a life change for me, since he was responsible for my coming to the USA and for a whole new opening in my professional life. We started this completely crazy Courant Institute Math Finance Seminar. Where, every Thursday, academics and traders were harshly arguing. One of the most active and tough on “disconnected academics” being Nassim Taleb!

The community we built through this seminar is still very solid. This magic is Marco’s, too!
Marco, this is just a goodbye, as we know we’ll join you one day or another. In the meantime, have fun with all those who left us too early: Peter Carr and all the others.

Written by Friend & Professor Raphael Douady

Marco Avellaneda : Remembering An Iconic NYU Quant Professor

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