Ajay Khanna

New York University (NYU)

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United States

SCHOLARLY PAPERS

3

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285

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Scholarly Papers (3)

1.

Non Gaussian Models of Dependence in Returns

Robert H. Smith School Research Paper No. RHS 06-112
Number of pages: 27 Posted: 28 Jan 2010 Last Revised: 14 May 2010
Ajay Khanna and Dilip B. Madan
New York University (NYU) and University of Maryland - Robert H. Smith School of Business
Downloads 221 (135,653)

Abstract:

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Gaussian Copula, Correlated Levy Process, Linear Mixture of Levy, Independent Components Analysis

2.

Adjusting Exponential Levy Models Towards the Simultaneous Calibration of Market Prices for Crash Cliquets

Number of pages: 23 Posted: 26 Jul 2015
Peter Carr, Ajay Khanna and Dilip B. Madan
New York University Finance and Risk Engineering, New York University (NYU) and University of Maryland - Robert H. Smith School of Business
Downloads 64 (339,112)

Abstract:

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Completely monotone function, Gauss Laguerre quadrature, Gap Risk Pricing

3.

A Generalization of the Mutual Fund Theorem

Finance and Stochastics, Vol. 3, Issue 2, 1999
Posted: 19 Feb 1999
Ajay Khanna and Martin Kulldorff
New York University (NYU) and Uppsala University - Department of Information Science

Abstract:

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