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Dilip B. Madan

SSRN Author Rank: 547 by Downloads and 493 by Citations

 Professor, Finance
 

University of Maryland - Robert H. Smith School of Business


 College Park, MD 20742-1815
 United States
 301-405-2127 (Phone)
 301-314-9157 (Fax)
 email address

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. Dilip B. Madan's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
28,020
Total
Citations
953
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Stochastic Volatility for Levy Processes | Show Abstract | Download This Paper | Open PDF in Browser |
EFA 2002 Berlin Meetings Presented Paper
Number of Pages in PDF File: 35
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
Geman, Hélyette
University of London - Economics, Mathematics and Statistics
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Yor, Marc
Universite Paris
Posted:
04 Jun 02
1,794
(5,660)
85

2.  
Bakshi, Gurdip
University of Maryland - Robert H. Smith School of Business
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Zhang, Frank Xiaoling
Morgan Stanley
Posted:
08 Mar 01
1,466
(8,159)
12

3.   Incl. Electronic Paper
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Bakshi, Gurdip
University of Maryland - Robert H. Smith School of Business
Posted:
07 Apr 99
Last Revised:
15 Dec 99
1,399
(9,022)
 

4.  
Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates | Show Abstract | Download This Paper | Open PDF in Browser |
FDIC CFR Working Paper No. 06, EFA 2004 Maastricht Meetings Paper No. 3584, FEDS Working Paper, AFA 20004 Meetings
Number of Pages in PDF File: 32
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Bakshi, Gurdip
University of Maryland - Robert H. Smith School of Business
Zhang, Frank Xiaoling
Morgan Stanley
Posted:
24 Oct 03
1,264
(10,318)
35

5.  
Kapadia, Nikunj
University of Massachusetts Amherst - Department of Finance
Bakshi, Gurdip
University of Maryland - Robert H. Smith School of Business
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
10 Oct 00
1,263
(9,848)
171

6.  
A Theory of Volatility Spreads | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 06-028
Number of Pages in PDF File: 29
Bakshi, Gurdip
University of Maryland - Robert H. Smith School of Business
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
02 Feb 06
1,238
(10,070)
28

7.   Incl. Electronic Paper
Cherny, Alexander S.
Moscow State University
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
08 Jan 07
Last Revised:
29 Jul 10
1,103
(13,245)
31

8.  
Cherny, Alexander S.
Moscow State University
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
30 May 06
795
(21,236)
6

9.  
Pricing Options on Realized Variance | Show Abstract | Download This Paper | Open PDF in Browser |
EFA 2005 Moscow Meetings Paper
Number of Pages in PDF File: 26
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
Geman, Hélyette
University of London - Economics, Mathematics and Statistics
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Yor, Marc
Universite Paris
Posted:
11 Mar 05
Last Revised:
30 Jan 10
774
(21,796)
23

10.  
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Bakshi, Gurdip
University of Maryland - Robert H. Smith School of Business
Posted:
20 Apr 99
669
(26,983)
3

11.  
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Eberlein, Ernst
University of Freiburg
Posted:
15 Jan 07
598
(30,745)
12

12.  
Cherny, Alexander S.
Moscow State University
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
30 May 06
524
(37,440)
 

13.  
From Local Volatility to Local Levy Models | Show Abstract | Download This Paper | Open PDF in Browser |
Quantitative Finance, Vol. 4, No. 5, October 2004
Number of Pages in PDF File: 17
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
Geman, Hélyette
University of London - Economics, Mathematics and Statistics
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Yor, Marc
Universite Paris
Posted:
15 Jan 07
499
(38,969)
13

14.  
Illiquid Markets as a Counterparty: An Introduction to Conic Finance | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 06-115
Number of Pages in PDF File: 39
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Cherny, Alexander S.
Moscow State University
Posted:
28 Jan 10
Last Revised:
11 May 10
488
(39,341)
12

15.  
Bakshi, Gurdip
University of Maryland - Robert H. Smith School of Business
Kapadia, Nikunj
University of Massachusetts Amherst - Department of Finance
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
20 Sep 01
448
(42,946)
174

16.  
Cherny, Alexander S.
Moscow State University
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
30 May 06
418
(50,862)
1

17.  
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Bakshi, Gurdip
University of Maryland - Robert H. Smith School of Business
Zhang, Frank Xiaoling
Morgan Stanley
Posted:
30 Dec 04
417
(49,233)
37

18.  
Eberlein, Ernst
University of Freiburg
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
13 Jan 07
406
(51,779)
 

19.   Incl. Electronic Paper
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Unal, Haluk
University of Maryland - Robert H. Smith School of Business
Posted:
03 Jun 04
Last Revised:
01 Sep 14
403
(53,152)
5

20.  
Conic Coconuts: The Pricing of Contingent Capital Notes Using Conic Finance | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 06-135
Number of Pages in PDF File: 21
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Schoutens, Wim
KU Leuven - Department of Mathematics
Posted:
08 Jul 10
Last Revised:
23 Nov 10
345
(59,384)
8

21.  
Variance Swap Portfolio Theory | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 06-114
Number of Pages in PDF File: 13
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
28 Jan 10
Last Revised:
03 May 10
334
(65,403)
 

22.  
The S&P 500 Index as a Sato Process Travelling at the Speed of the VIX | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 06-117
Number of Pages in PDF File: 22
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Yor, Marc
Universite Paris
Posted:
28 Jan 10
Last Revised:
13 May 10
324
(64,721)
 

23.  
Corcuera, José Manuel
University of Barcelona - Faculty of Mathematics
Guillaume, Florence
University of Antwerp
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Schoutens, Wim
KU Leuven - Department of Mathematics
Posted:
14 Feb 11
310
(66,540)
 

24.  
Conic Financial Markets and Corporate Finance | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 06-121
Number of Pages in PDF File: 23
Schoutens, Wim
KU Leuven - Department of Mathematics
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
04 Feb 10
Last Revised:
13 May 10
300
(68,970)
7

25.  
Eberlein, Ernst
University of Freiburg
Gehrig, Thomas
University of Vienna - Faculty of Business, Economics, and Statistics
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
28 Jan 10
Last Revised:
03 May 10
300
(42,611)
1

26.  
The Valuation of Structured Products Using Markov Chain Models | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 06-142
Number of Pages in PDF File: 24
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Pistorius, Martijn
Imperial College London
Schoutens, Wim
KU Leuven - Department of Mathematics
Posted:
04 Mar 10
Last Revised:
14 May 11
287
(76,468)
3

27.  
Local Volatility Enhanced by a Jump to Default | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 06-119
Number of Pages in PDF File: 17
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
28 Jan 10
Last Revised:
13 May 10
271
(80,986)
8

28.  
Equilibrium Asset Pricing: With Non-Gaussian Factors and Exponential Utilities | Show Abstract | Download This Paper | Open PDF in Browser |
Quantitative Finance, Vol. 6, No. 6, pp. 455-463, December 2006
Number of Pages in PDF File: 22
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
15 Jan 07
260
(85,690)
2

29.   Incl. Electronic Paper
Unal, Haluk
University of Maryland - Robert H. Smith School of Business
Guntay, Levent
Federal Deposit Insurance Corporation (FDIC)
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
14 Apr 02
Last Revised:
26 Jun 02
260
(87,488)
17

30.  
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
Geman, Hélyette
University of London - Economics, Mathematics and Statistics
Yor, Marc
Universite Paris
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
28 Jan 10
254
(84,321)
21

31.  
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Bakshi, Gurdip
University of Maryland - Robert H. Smith School of Business
Posted:
30 Jul 99
254
(88,174)
1

32.  
On Correlating Lévy Processes | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 06-118
Number of Pages in PDF File: 17
Eberlein, Ernst
University of Freiburg
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
28 Jan 10
Last Revised:
13 May 10
247
(87,145)
4

33.  
Unal, Haluk
University of Maryland - Robert H. Smith School of Business
Guntay, Levent
Federal Deposit Insurance Corporation (FDIC)
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
10 Jul 01
246
(91,214)
4

34.  
Corcuera, José Manuel
University of Barcelona
De Spiegeleer, Jan
RiskConcile & KU Leuven
Ferreiro-Castilla, Albert
Universidad Autonoma de Madrid
Kyprianou, Andreas E.
University of Bath
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Schoutens, Wim
KU Leuven - Department of Mathematics
Posted:
05 Nov 11
240
(76,730)
3

35.  
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Schoutens, Wim
KU Leuven - Department of Mathematics
Posted:
26 Jul 07
225
(97,286)
9

36.  
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
Vicente Alvarez, Juan Jose
Morgan Stanley
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
20 Sep 10
224
(97,690)
3

37.   Incl. Electronic Paper
Bakshi, Gurdip
University of Maryland - Robert H. Smith School of Business
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Panayotov, George
Hong Kong University of Science & Technology (HKUST)
Posted:
20 Mar 12
Last Revised:
17 Oct 14
220
(103,870)
 

38.  
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
18 Mar 13
211
(93,580)
 

39.  
Risk Premia in Option Markets | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 2635650
Number of Pages in PDF File: 27
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
26 Jul 15
207
(91,599)
 

40.  
Capital Requirements, the Option Surface, Market, Credit and Liquidity Risk | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 06-136
Number of Pages in PDF File: 57
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Eberlein, Ernst
University of Freiburg
Schoutens, Wim
KU Leuven - Department of Mathematics
Posted:
31 Jan 11
Last Revised:
25 Oct 11
207
(108,326)
 

41.  
Designing Countercyclical and Risk Based Aggregate Deposit Insurance Premia | Show Abstract | Download This Paper | Open PDF in Browser |
FDIC, Center For Financial Research Working Paper No. WP 2007-02
Number of Pages in PDF File: 31
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Unal, Haluk
University of Maryland - Robert H. Smith School of Business
Posted:
22 Feb 07
206
(107,324)
6

42.   Incl. Electronic Paper
Bakshi, Gurdip
University of Maryland - Robert H. Smith School of Business
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Panayotov, George
Hong Kong University of Science & Technology (HKUST)
Posted:
28 Aug 09
Last Revised:
29 Feb 12
202
(113,034)
12

43.  
Non Gaussian Models of Dependence in Returns | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 06-112
Number of Pages in PDF File: 27
Khanna, Ajay
New York University (NYU)
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
28 Jan 10
Last Revised:
14 May 10
196
(111,384)
1

44.  
Average Rate Contingent Claims with Emphasis on Catastrophe Loss Options | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Financial and Quantitative Analysis
Number of Pages in PDF File: 31
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Bakshi, Gurdip
University of Maryland - Robert H. Smith School of Business
Posted:
07 Aug 01
196
(114,575)
6

45.  
Simple Processes and the Pricing and Hedging of Cliquets | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 06-111
Number of Pages in PDF File: 21
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Schoutens, Wim
KU Leuven - Department of Mathematics
Posted:
03 Feb 10
Last Revised:
03 May 10
186
(120,778)
1

46.  
Bakshi, Gurdip
University of Maryland - Robert H. Smith School of Business
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Panayotov, George
Hong Kong University of Science & Technology (HKUST)
Posted:
07 Jan 09
183
(120,160)
2

47.  
Pricing and Hedging Basket Options to Prespecified Levels of Acceptability | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 06-147
Number of Pages in PDF File: 25
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
28 Jan 10
Last Revised:
30 Jan 11
182
(121,325)
6

48.  
Tenor Specific Pricing | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS-06-143
Number of Pages in PDF File: 23
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Schoutens, Wim
KU Leuven - Department of Mathematics
Posted:
31 Jan 11
Last Revised:
23 Feb 12
177
(123,864)
1

49.  
Eberlein, Ernst
University of Freiburg
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
28 Jan 10
Last Revised:
10 May 10
175
(126,417)
9

50.  
Bakshi, Gurdip
University of Maryland - Robert H. Smith School of Business
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Panayotov, George
Hong Kong University of Science & Technology (HKUST)
Posted:
15 Mar 11
167
(127,074)
1

51.  
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
28 Jan 10
Last Revised:
13 May 10
163
(132,556)
1

52.  
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
20 Sep 10
Last Revised:
20 Nov 10
155
(138,958)
 

53.  
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Pistorius, Martijn
Imperial College London
Posted:
25 Mar 14
144
(114,575)
 

54.  
Conserving Capital by Adjusting Deltas for Gamma in the Presence of Skewness | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 06-132
Number of Pages in PDF File: 23
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
20 Sep 10
Last Revised:
23 Nov 10
133
(160,994)
1

55.  
Joint Risk Neutral Laws and Hedging | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 06-140
Number of Pages in PDF File: 27
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
08 May 10
Last Revised:
27 Jan 11
127
(167,877)
2

56.  
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
13 Dec 11
121
(167,877)
1

57.  
Asset Pricing Theory for Two Price Economies | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 2414134
Number of Pages in PDF File: 37
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
25 Mar 14
119
(138,236)
 

58.  
The Distribution of Returns at Longer Horizons | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 06-146
Number of Pages in PDF File: 20
Eberlein, Ernst
University of Freiburg
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
28 Jan 10
Last Revised:
30 Jan 11
118
(175,174)
 

59.  
Two Processes for Two Prices | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper
Number of Pages in PDF File: 25
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Schoutens, Wim
KU Leuven - Department of Mathematics
Posted:
24 Jun 13
116
(158,230)
 

60.  
Execution Costs and Efficient Execution Frontiers | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 06-131
Number of Pages in PDF File: 23
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
20 Sep 10
Last Revised:
23 Nov 10
108
(186,666)
 

61.  
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
18 Mar 13
Last Revised:
25 Mar 14
107
(180,852)
 

62.  
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
16 Apr 13
Last Revised:
25 Mar 14
102
(186,666)
 

63.  
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
26 Mar 14
99
(171,973)
 

64.  
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Schoutens, Wim
KU Leuven - Department of Mathematics
Posted:
20 May 11
Last Revised:
21 Nov 11
93
(202,522)
4

65.  
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
28 Jan 10
Last Revised:
14 May 11
92
(211,074)
5

66.  
Eberlein, Ernst
University of Freiburg
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Pistorius, Martijn
Imperial College London
Yor, Marc
Université Paris VI Pierre et Marie Curie
Posted:
18 Mar 13
88
(194,269)
 

67.  
On Pricing Risky Loans and Collateralized Fund Obligations | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 06-145
Number of Pages in PDF File: 19
Eberlein, Ernst
University of Freiburg
Geman, Hélyette
University of London - Economics, Mathematics and Statistics
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
28 Jan 10
Last Revised:
30 Jan 11
85
(218,637)
 

68.   Incl. Electronic Paper
Eberlein, Ernst
University of Freiburg
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Schoutens, Wim
KU Leuven - Department of Mathematics
Posted:
18 Mar 13
Last Revised:
07 Jun 16
83
(226,744)
 

69.  
Short Positions, Rally Fears and Option Markets | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 06-120
Number of Pages in PDF File: 23
Eberlein, Ernst
University of Freiburg
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
28 Jan 10
Last Revised:
13 May 10
77
(236,992)
2

70.  
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
18 Mar 13
69
(246,382)
2

71.  
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Schoutens, Wim
KU Leuven - Department of Mathematics
Posted:
18 Mar 13
68
(240,688)
 

72.  
Eberlein, Ernst
University of Freiburg
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Pistorius, Martijn
Imperial College London
Schoutens, Wim
KU Leuven - Department of Mathematics
Yor, Marc
Université Paris VI Pierre et Marie Curie
Posted:
18 Mar 13
60
(244,523)
 

73.  
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Yor, Marc
Université Paris VI Pierre et Marie Curie
Posted:
18 Mar 13
47
(283,006)
1

74.  
Eberlein, Ernst
University of Freiburg
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Pistorius, Martijn
Imperial College London
Yor, Marc
Université Paris VI Pierre et Marie Curie
Posted:
18 Mar 13
44
(303,578)
 

75.  
Conic Portfolio Theory | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 2635615
Number of Pages in PDF File: 48
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
25 Jul 15
34
(171,973)
 

76.  
Portfolio Theory for Squared Returns Correlated Across Time | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 2635632
Number of Pages in PDF File: 43
Eberlein, Ernst
University of Freiburg
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
26 Jul 15
Last Revised:
02 Mar 16
33
(264,827)
 

77.  
Three Non-Gaussian Models of Dependence in Returns | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 2635629
Number of Pages in PDF File: 25
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
26 Jul 15
27
(303,578)
 

78.  
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
18 Mar 13
27
(350,010)
 

79.  
Hedging Insurance Books | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 2635602
Number of Pages in PDF File: 23
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
Schoutens, Wim
KU Leuven - Department of Mathematics
Melamed, Michael
Independent
Posted:
26 Jul 15
25
(254,205)
 

80.  
Self-Decomposability and Option Pricing | Show Abstract | Add to Cart |
Mathematical Finance, Vol. 17, No. 1, pp. 31-57, January 2007
Number of Pages in PDF File: 27
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
Geman, Hélyette
University of London - Economics, Mathematics and Statistics
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Yor, Marc
Universite Paris
Posted:
13 Dec 06
24
(383,038)
25

81.  
Financial Jeorpardy | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 2635635
Number of Pages in PDF File: 21
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
26 Jul 15
23
(350,010)
 

82.  
On Dynamic Spectral Risk Measures and a Limit Theorem | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 2635636
Number of Pages in PDF File: 53
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Pistorius, Martijn
Imperial College London
Stadje, Mitja
Tilburg University - Department of Econometrics & Operations Research
Posted:
26 Jul 15
22
(300,827)
 

83.  
Dynamic Conic Hedging for Competitiveness | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 2635600
Number of Pages in PDF File: 60
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Pistorius, Martijn
Imperial College London
Schoutens, Wim
KU Leuven - Department of Mathematics
Posted:
25 Jul 15
21
(306,342)
 

84.  
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Pistorius, Martijn
Imperial College London
Posted:
18 Mar 13
21
(392,401)
 

85.  
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
18 Mar 13
20
(378,322)
 

86.  
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
Khanna, Ajay
New York University (NYU)
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
26 Jul 15
17
(326,816)
 

87.  
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Wang, King
Morgan Stanley
Posted:
26 Jul 15
11
(397,322)
 

88.  
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
25 Jul 15
9
(411,964)
 

89.  
Adjusting Exponential Lévy Models Toward the Simultaneous Calibration of Market Prices for Crash Cliquets | Show Abstract | Add to Cart |
Journal of Computational Finance, 20(1), 89-111, DOI:10.21314/JCF.2016.309
Number of Pages in PDF File: 24
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
Khanna, Ajay
New York University (NYU)
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
28 Jul 16
0
(513,504)
 

90.  
Instantaneous Portfolio Theory | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 2804718
Number of Pages in PDF File: 41
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
06 Jul 16
0
(287,937)
 

91.  
Adapted Hedging | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 2796599
Number of Pages in PDF File: 35
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
18 Jun 16
0
(267,014)
 

92.  
Pricing Options on Mean Reverting Underliers | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 2747131
Number of Pages in PDF File: 35
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
14 Mar 16
Last Revised:
12 Aug 16
0
(254,205)
 

93.  
Relativities in Financial Markets | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 2732825
Number of Pages in PDF File: 21
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
15 Feb 16
0
(293,047)
 

94.  
Conic Trading in Markovian Steady State | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 2732826
Number of Pages in PDF File: 22
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Pistorius, Martijn
Imperial College London
Schoutens, Wim
KU Leuven - Department of Mathematics
Posted:
15 Feb 16
Last Revised:
25 May 16
0
(250,291)
 

95.  
Conic CVA and DVA | Show Abstract | Download This Paper | Open PDF in Browser |
Robert H. Smith School Research Paper No. RHS 2715403
Number of Pages in PDF File: 17
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Schoutens, Wim
KU Leuven - Department of Mathematics
Posted:
15 Jan 16
0
(144,339)
 

96.  
Stochastic Processes in Finance | Show Abstract |
Annual Review of Financial Economics, Vol. 2, pp. 277-314, 2010
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
12 Nov 10
 

97.  
Hedge Fund Performance: Sources and Measures | Show Abstract |
International Journal of Theoretical and Applied Finance, Vol. 12, No. 3, pp. 267-282, 2009
Eberlein, Ernst
University of Freiburg
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
28 Jan 10
 

98.  
Geman, Hélyette
University of London - Economics, Mathematics and Statistics
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Yor, Marc
Universite Paris
Posted:
03 May 02
 

99.  
Unal, Haluk
University of Maryland - Robert H. Smith School of Business
Guntay, Levent
Federal Deposit Insurance Corporation (FDIC)
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
14 May 01
 

100.  
Optimal Investment in Derivative Securities | Show Abstract |
Finance and Stochastics, Vol. 5 Issue 1
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
Jin, Xing
University of Maryland - Robert H. Smith School of Business
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
19 Mar 01
 

101.  
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Unal, Haluk
University of Maryland - Robert H. Smith School of Business
Posted:
19 Apr 00
 

102.  
Acharya, Sankarshan
University of Illinois at Chicago - Department of Finance
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
10 Aug 99
 

103.  
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Soubra, Badih
affiliation not provided to SSRN
Senbet, Lemma W.
University of Maryland - Robert H. Smith School of Business
Posted:
03 Aug 99
 

104.  
Hedging Contingent Claims on Semimartingales | Show Abstract |
Finance and Stochastics, Vol. 3, Iss. 1, 1999
Jarrow, Robert A.
Cornell University - Samuel Curtis Johnson Graduate School of Management
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
11 Dec 98
 

105.  
Acharya, Sankarshan
University of Illinois at Chicago - Department of Finance
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Posted:
25 Aug 98
 

106.  
Abken, Peter A.
Bank of America
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Ramamurtie, Buddhavarapu Sailesh
Independent
Posted:
02 May 97
 

107.  
Abken, Peter A.
Bank of America
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Ramamurtie, Buddhavarapu Sailesh
Independent
Posted:
05 Sep 96
 

108.  
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
Unal, Haluk
University of Maryland - Robert H. Smith School of Business
Posted:
05 May 95
 


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