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Dilip B. Madan · Study
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Author
Dilip B. Madan
79 works
· latest 2023
· 3 institutions
cluster: provisional
ORCID 0000-0002-0033-9077
Works
60 shown
Now decision theory
Probability Uncertainty and Quantitative Risk
·
2023
·
3 authors
·
Open access
2
citations
Advanced model calibration on bitcoin options
Digital Finance
·
2019
·
3 authors
30
citations
Machine Learning for Quantitative Finance: Fast Derivative Pricing, Hedging and Fitting
Quantitative Finance
·
2018
·
4 authors
·
Open access
158
citations
Asymmetries in financial returns
International Journal of Financial Engineering
·
2017
·
2 authors
·
Open access
48
citations
MEASURING AND MONITORING THE EFFICIENCY OF MARKETS
International Journal of Theoretical and Applied Finance
·
2017
·
3 authors
·
Open access
52
citations
Applied Conic Finance
Cambridge University Press eBooks
·
2016
·
2 authors
·
book
58
citations
Asset pricing theory for two price economies
Annals of Finance
·
2014
·
1 author
·
Open access
46
citations
Estimating Parametric Models of Probability Distributions
Methodology And Computing In Applied Probability
·
2014
·
1 author
·
Open access
34
citations
Bid and ask prices as non-linear continuous time G-expectations based on distortions
Mathematics and Financial Economics
·
2014
·
4 authors
·
Open access
31
citations
Structured products equilibria in conic two price markets
Mathematics and Financial Economics
·
2012
·
2 authors
·
Open access
35
citations
Conic coconuts: the pricing of contingent capital notes using conic finance
Mathematics and Financial Economics
·
2011
·
2 authors
·
Open access
46
citations
Heterogeneity in Beliefs and Volatility Tail Behavior
Journal of Financial and Quantitative Analysis
·
2011
·
3 authors
·
Open access
31
citations
MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE
International Journal of Theoretical and Applied Finance
·
2010
·
2 authors
168
citations
On correlating Lévy processes
The Journal of Risk
·
2010
·
2 authors
·
Open access
50
citations
Returns of claims on the upside and the viability of U-shaped pricing kernels☆
Journal of Financial Economics
·
2010
·
3 authors
·
Open access
192
citations
Towards a Theory of Volatility Trading
Cambridge University Press eBooks
·
2010
·
2 authors
·
chapter
561
citations
Purely Discontinuous Asset Price Processes
Cambridge University Press eBooks
·
2010
·
1 author
·
chapter
36
citations
Local Volatility Enhanced by a Jump to Default
SIAM Journal on Financial Mathematics
·
2010
·
2 authors
·
Open access
34
citations
Markets, Profits, Capital, Leverage and Return
SSRN Electronic Journal
·
2010
·
3 authors
·
preprint
·
Open access
33
citations
Unlimited Liabilities, Reserve Capital Requirements and the Taxpayer Put Option
SSRN Electronic Journal
·
2010
·
2 authors
·
preprint
·
Open access
23
citations
Saddlepoint methods for option pricing
The Journal of Computational Finance
·
2009
·
2 authors
73
citations
Sato processes and the valuation of structured products
Quantitative Finance
·
2009
·
2 authors
44
citations
Break on through to the single side
The Journal of Credit Risk
·
2008
·
2 authors
·
Open access
56
citations
New Measures for Performance Evaluation
Review of Financial Studies
·
2008
·
2 authors
·
Open access
318
citations
Option prices as probabilities
Finance research letters
·
2008
·
3 authors
38
citations
Pricing equity default swaps under an approximation to the CGMY Levy model
The Journal of Computational Finance
·
2007
·
2 authors
·
Open access
58
citations
SELF‐DECOMPOSABILITY AND OPTION PRICING
Mathematical Finance
·
2006
·
4 authors
·
Open access
179
citations
A Theory of Volatility Spreads
Management Science
·
2006
·
2 authors
·
Open access
292
citations
Equilibrium asset pricing: with non-Gaussian factors and exponential utilities
Quantitative Finance
·
2006
·
1 author
33
citations
Ito's Integrated Formula for Strict Local Martingales
Springer eBooks
·
2006
·
2 authors
·
chapter
34
citations
Investigating the Role of Systematic and Firm‐Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models*
The Journal of Business
·
2006
·
3 authors
106
citations
CGMY and Meixner Subordinators are Absolutely Continuous with respect to One Sided Stable Subordinators
arXiv (Cornell University)
·
2006
·
2 authors
·
preprint
·
Open access
39
citations
An Empirical Examination of the Variance‐Gamma Model for Foreign Currency Options*
The Journal of Business
·
2005
·
2 authors
72
citations
Pricing options on realized variance
Finance and Stochastics
·
2005
·
4 authors
132
citations
A note on sufficient conditions for no arbitrage
Finance research letters
·
2005
·
2 authors
165
citations
Stochastic Volatility for Lévy Processes
Mathematical Finance
·
2003
·
4 authors
·
Open access
871
citations
Pricing the risk of recovery in default with absolute priority rule violation
Journal of Banking & Finance
·
2003
·
3 authors
61
citations
Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
Review of Financial Studies
·
2003
·
3 authors
1,354
citations
Pricing American options under variance gamma
The Journal of Computational Finance
·
2003
·
2 authors
134
citations
Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates
SSRN Electronic Journal
·
2003
·
3 authors
·
preprint
·
Open access
123
citations
The Effect of Model Risk on the Valuation of Barrier Options
The Journal of Risk Finance
·
2003
·
3 authors
30
citations
Making Markov martingales meet marginals: with explicit constructions
Bernoulli
·
2002
·
2 authors
112
citations
The Fine Structure of Asset Returns: An Empirical Investigation
The Journal of Business
·
2002
·
4 authors
1,725
citations
Average Rate Claims with Emphasis on Catastrophe Loss Options
Journal of Financial and Quantitative Analysis
·
2002
·
2 authors
44
citations
Option Pricing Using Variance Gamma Markov Chains
Review of Derivatives Research
·
2002
·
2 authors
114
citations
Stochastic Volatility for Levy Processes
SSRN Electronic Journal
·
2002
·
4 authors
·
preprint
·
Open access
58
citations
Stochastic volatility, jumps and hidden time changes
Finance and Stochastics
·
2002
·
2 authors
42
citations
Pricing and hedging in incomplete markets
Journal of Financial Economics
·
2001
·
3 authors
300
citations
Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
SSRN Electronic Journal
·
2001
·
3 authors
·
preprint
·
Open access
419
citations
Optimal positioning in derivative securities
Quantitative Finance
·
2001
·
2 authors
382
citations
Time Changes for Lévy Processes
Mathematical Finance
·
2001
·
3 authors
231
citations
Pricing American options: a comparison of Monte Carlo simulation approaches
The Journal of Computational Finance
·
2001
·
5 authors
163
citations
Understanding the Role of Recovery in Default Risk Models: Empirical Comarisons and Implied Recovery Rates
Finance and Economics Discussion Series
·
2001
·
2 authors
·
Open access
60
citations
Optimal investment in derivative securities
Finance and Stochastics
·
2001
·
3 authors
57
citations
ASSET PRICES ARE BROWNIAN MOTION: ONLY IN BUSINESS TIME
WORLD SCIENTIFIC eBooks
·
2001
·
3 authors
·
chapter
54
citations
Investigating the Sources of Default Risk: Lessons from Empirically Evaluating Credit Risk Models
Finance and Economics Discussion Series
·
2001
·
2 authors
·
Open access
44
citations
A Two-Factor Hazard Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads
Journal of Financial and Quantitative Analysis
·
2000
·
2 authors
172
citations
Spanning and derivative-security valuation
Journal of Financial Economics
·
2000
·
2 authors
746
citations
The Second Fundamental Theorem of Asset Pricing
Mathematical Finance
·
1999
·
3 authors
36
citations
Option valuation using the fast Fourier transform
The Journal of Computational Finance
·
1999
·
2 authors
2,155
citations