Dilip B. Madan

University of Maryland

SCHOLARLY PAPERS

8

DOWNLOADS

241

SSRN CITATIONS

1

CROSSREF CITATIONS

7

Scholarly Papers (8)

1.

Capital Adequacy of Financial Enterprises

Number of pages: 22 Posted: 14 Feb 2011
Piet De Jong and Dilip B. Madan
Macquarie University - Department of Applied Finance and Actuarial Studies and University of Maryland
Downloads 156 (204,797)
Citation 1

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Capital adequacy ratios, acceptable risks, Basel accords, capital requirements, reserve requirements

2.

Analytical Pricing of Swaption in Affine Term Structures with Stochastic Volatility

Number of pages: 20 Posted: 20 Apr 2017
Massoud Heidari, Ali Hirsa and Dilip B. Madan
Caspian Capital Management, LLC, Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and University of Maryland
Downloads 35 (479,380)

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Affine Term Structure Models; Charateristic Function; FFT; Swaptions; Straddles

3.

Double Gamma Stochastic Volatility Model in Discrete Time

Number of pages: 21 Posted: 22 Apr 2017
Ali Hirsa, Massoud Heidari and Dilip B. Madan
Columbia University - Department of Industrial Engineering and Operations Research (IEOR), Caspian Capital Management, LLC and University of Maryland
Downloads 33 (488,818)

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Affine Term Structure Models; Characteristic Function; FFT; Swaptions; Gamma Process

4.

Cash Stream Valuation in the Face of Transaction Costs and Taxes

Mathematical Finance, Vol. 1, Issue 3, pp. 31-43, July 1991
Number of pages: 24 Posted: 18 Apr 2008
Robert A. Jarrow and Dilip B. Madan
Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Maryland
Downloads 6 (656,181)
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5.

1option Pricing with V. G. Martingale Components

Mathematical Finance, Vol. 1, Issue 4, pp. 39-55, October 1991
Number of pages: 17 Posted: 18 Apr 2008
Dilip B. Madan and Frank Milne
University of Maryland and Queen's University - Department of Economics
Downloads 6 (656,181)
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6.

Pricing Reinsurance Contracts on FDIC Losses

Financial Markets, Institutions & Instruments, Vol. 17, Issue 3, pp. 225-247, August 2008
Number of pages: 23 Posted: 18 Jul 2008
Dilip B. Madan and Haluk √únal
University of Maryland and affiliation not provided to SSRN
Downloads 4 (670,730)
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7.

Simple Processes and the Pricing and Hedging of Cliquets

Mathematical Finance, Vol. 23, Issue 1, pp. 198-216, 2013
Number of pages: 19 Posted: 10 Jan 2013
Dilip B. Madan and Wim Schoutens
University of Maryland and KU Leuven - Department of Mathematics
Downloads 1 (700,957)
Citation 1
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Levy process, Sato process, pricing to acceptability

8.

On Valuing Stochastic Perpetuities Using New Long Horizon Stock Price Models Distinguishing Booms, Busts, and Balanced Markets

Mathematical Finance, Vol. 26, Issue 2, pp. 296-328, 2016
Number of pages: 33 Posted: 10 Mar 2016
Dilip B. Madan and Marc Yor
University of Maryland and Université Paris VI Pierre et Marie Curie
Downloads 0 (719,296)
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martingale limits, variance gamma, generalized gamma convolution, discounting process, abnormal earnings