Dilip B. Madan

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Person:201759

Available identifiers

zbMath Open madan.dilip-bWikidataQ121298511 ScholiaQ121298511MaRDI QIDQ201759

List of research outcomes

PublicationDate of PublicationType
Peter Carr Gedenkschrift2024-02-07Paper
Financial activity time2024-01-15Paper
Now decision theory2023-11-08Paper
Measuring dependence in a set of asset returns2023-09-28Paper
Exposure valuations and their capital requirements2023-09-27Paper
Option returns2023-07-25Paper
The economics of time as it is embedded in the prices of options§2023-06-20Paper
The valuation of corporations: a derivative pricing perspective2023-04-04Paper
OPTION SURFACE STATISTICS WITH APPLICATIONS2022-11-16Paper
Implied price processes anchored in statistical realizations2022-10-19Paper
High dimensional Markovian trading of a single stock2022-10-19Paper
Two sided efficient frontiers at multiple time horizons2022-09-21Paper
Quadratic variation, models, applications and lessons2022-08-30Paper
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)2022-07-22Paper
Lower and upper pricing of financial assets2022-06-03Paper
Errata: Instantaneous Portfolio theory2022-05-27Paper
Risk Neutral Jump Arrival Rates Implied in Option Prices and Their Models2022-05-10Paper
Nonlinear Valuation and Non-Gaussian Risks in Finance2021-12-01Paper
Correlated squared returns2021-11-09Paper
Filtering Response Directions2021-11-05Paper
OPTION IMPLIED VIX, SKEW AND KURTOSIS TERM STRUCTURES2021-10-20Paper
Two price economic equilibria and financial market bid/ask prices2021-06-28Paper
Self‐similarity in long‐horizon returns2021-03-23Paper
Additive Processes with Bilateral Gamma Marginals2021-02-08Paper
MULTIVARIATE DISTRIBUTIONS FOR FINANCIAL RETURNS2021-01-29Paper
Calibration for weak variance-alpha-gamma processes2020-05-04Paper
Portfolio theory for squared returns correlated across time2020-02-17Paper
Measure distorted arrival rate risks and their rewards2020-02-17Paper
Zero covariation returns2020-02-17Paper
Self-decomposability of weak variance generalised gamma convolutions2020-01-24Paper
https://portal.mardi4nfdi.de/entity/Q52266972019-08-01Paper
Conic asset pricing and the costs of price fluctuations2019-06-18Paper
Nonlinear equity valuation using conic finance and its regulatory implications2019-05-08Paper
EQUILIBRIUM ASSET RETURNS IN FINANCIAL MARKETS2019-04-18Paper
Machine learning for quantitative finance: fast derivative pricing, hedging and fitting2019-02-06Paper
Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions2019-01-28Paper
From local volatility to local Lévy models2019-01-15Paper
Understanding option prices2019-01-15Paper
Maximally Acceptable Portfolios2018-12-13Paper
Pricing options on mean reverting underliers2018-11-19Paper
Instantaneous portfolio theory2018-11-14Paper
Option overlay strategies2018-09-19Paper
A Simple Stochastic Rate Model for Rate Equity Hybrid Products2018-09-05Paper
Financial equilibrium with non-linear valuations2018-07-05Paper
Financial jeopardy2018-04-06Paper
MEASURING AND MONITORING THE EFFICIENCY OF MARKETS2018-01-11Paper
Three Non-Gaussian Models of Dependence in Returns2017-07-31Paper
Adapted hedging2017-05-23Paper
CONIC TRADING IN A MARKOVIAN STEADY STATE2017-04-13Paper
Hedging insurance books2016-12-13Paper
Dynamic conic hedging for competitiveness2016-09-30Paper
Benchmarking in two price financial markets2016-09-21Paper
Applied Conic Finance2016-08-17Paper
Risk premia in option markets2016-06-28Paper
CONIC PORTFOLIO THEORY2016-05-17Paper
ON VALUING STOCHASTIC PERPETUITIES USING NEW LONG HORIZON STOCK PRICE MODELS DISTINGUISHING BOOMS, BUSTS, AND BALANCED MARKETS2016-04-14Paper
Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver2016-04-04Paper
Utility correlations in probabilistic choice modelling2016-01-01Paper
Estimating parametric models of probability distributions2015-09-23Paper
Momentum and reversion in risk neutral martingale probabilities2015-04-08Paper
Asset pricing theory for two price economies2015-03-24Paper
Two price economies in continuous time2014-11-13Paper
A two price theory of financial equilibrium with risk management implications2014-11-12Paper
Bid and ask prices as non-linear continuous time G-expectations based on distortions2014-11-06Paper
Moments of Wiener integrals for subordinators2014-09-22Paper
TWO PROCESSES FOR TWO PRICES2014-04-25Paper
Systemic risk tradeoffs and option prices2014-04-03Paper
The valuation of structured products using Markov chain models2014-02-08Paper
Unbounded liabilities, capital reserve requirements and the taxpayer put option2014-01-17Paper
From credit valuation adjustments to credit capital commitments2014-01-17Paper
Options on realized variance and convex orders2013-12-13Paper
Pricing the risks of default2013-10-30Paper
Measures of risk aversion with many commodities2013-10-24Paper
https://portal.mardi4nfdi.de/entity/Q49257502013-06-12Paper
SIMPLE PROCESSES AND THE PRICING AND HEDGING OF CLIQUETS2013-02-28Paper
Structured products equilibria in conic two price markets2013-02-26Paper
Factor models for option pricing2013-01-29Paper
Conic coconuts: the pricing of contingent capital notes using conic finance2013-01-20Paper
TENOR SPECIFIC PRICING2012-11-22Paper
Equity quantile upper and lower swaps2012-06-25Paper
The S&P 500 Index as a Sato Process Travelling at the Speed of the VIX2012-06-08Paper
Correlation and the pricing of risks2012-03-06Paper
A Theory of Volatility Spreads2012-02-21Paper
CONIC FINANCE AND THE CORPORATE BALANCE SHEET2011-10-24Paper
Deducing the Implications of Jump Models for the Structure of Stock Market Crashes, Rallies, Jump Arrival Rates, and Extremes2011-04-13Paper
Leveraged Lévy processes as models for stock prices2010-09-21Paper
Pricing and hedging basket options to prespecified levels of acceptability2010-08-05Paper
Short Positions, Rally Fears and Option Markets2010-05-27Paper
PUT OPTION PRICES AS JOINT DISTRIBUTION FUNCTIONS IN STRIKE AND MATURITY: THE BLACK–SCHOLES CASE2010-02-05Paper
Erratum2010-02-05Paper
Local Volatility Enhanced by a Jump to Default2010-02-03Paper
Capital requirements, acceptable risks and profits2009-12-07Paper
A tale of two volatilities2009-11-16Paper
Saddlepoint methods for option pricing2009-10-26Paper
Sato processes and the valuation of structured products2009-10-12Paper
HEDGE FUND PERFORMANCE: SOURCES AND MEASURES2009-07-14Paper
Multiple priors and asset pricing2009-06-16Paper
Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon2009-05-29Paper
https://portal.mardi4nfdi.de/entity/Q55061892009-01-28Paper
https://portal.mardi4nfdi.de/entity/Q55061962009-01-28Paper
Pricing Equity Default Swaps under an approximation to the CGMY L\'{e}% vy Model2007-11-18Paper
Probing option prices for information2007-08-17Paper
https://portal.mardi4nfdi.de/entity/Q52942612007-07-24Paper
SELF-DECOMPOSABILITY AND OPTION PRICING2007-06-08Paper
Equilibrium asset pricing: with non-Gaussian factors and exponential utilities2007-05-09Paper
Pricing options on realized variance2006-05-24Paper
Coherent measurement of factor risks2006-05-02Paper
Pricing and hedging in incomplete markets with coherent risk2006-05-02Paper
CAPM, rewards, and empirical asset pricing with coherent risk2006-05-02Paper
CGMY and Meixner Subordinators are Absolutely Continuous with respect to One Sided Stable Subordinators2006-01-09Paper
Stochastic Volatility for Lévy Processes2004-08-23Paper
Option pricing using variance gamma Markov chains2003-12-18Paper
https://portal.mardi4nfdi.de/entity/Q27255792003-06-19Paper
https://portal.mardi4nfdi.de/entity/Q45509142003-05-31Paper
Making Markov martingales meet marginals: With explicit constructions2003-04-07Paper
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born?2003-03-12Paper
Stochastic volatility, jumps and hidden time changes2002-11-21Paper
https://portal.mardi4nfdi.de/entity/Q27711132002-08-19Paper
https://portal.mardi4nfdi.de/entity/Q27711022002-02-14Paper
The Second Fundamental Theorem of Asset Pricing2001-11-26Paper
Optimal investment in derivative securities2001-09-16Paper
https://portal.mardi4nfdi.de/entity/Q27255772001-07-12Paper
Time Changes for Lévy Processes2001-03-29Paper
Hedging contingent claims on semimartingales1999-09-14Paper
https://portal.mardi4nfdi.de/entity/Q42183791999-06-23Paper
A Discrete Time Equivalent Martingale Measure1999-04-06Paper
Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying11998-04-05Paper
CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS1998-04-05Paper
The Variance Gamma Process and Option Pricing1998-01-01Paper
A Characterization of Complete Security Markets On A Brownian Filtration11997-08-31Paper
Option Pricing With V. G. Martingale Components11997-08-31Paper
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1997-03-23Paper
On the monotonicity of the labour-capital ratio in Sraffa's model1990-01-01Paper
Risk measurement in semimartingale models with multiple consumption goods1988-01-01Paper
Simulation of Estimates Using the Empirical Characteristic Function1987-01-01Paper
https://portal.mardi4nfdi.de/entity/Q51858871984-01-01Paper
Testing for Random Pairing1983-01-01Paper
https://portal.mardi4nfdi.de/entity/Q36579791982-01-01Paper

Research outcomes over time


Doctoral students

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