Dilip B. Madan

University of Maryland - Robert H. Smith School of Business

Professor, Finance

College Park, MD 20742-1815

United States

SCHOLARLY PAPERS

151

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761

CROSSREF CITATIONS

310

Scholarly Papers (151)

1.

Stochastic Volatility for Levy Processes

Number of pages: 35 Posted: 04 Jun 2002
Peter Carr, Hélyette Geman, Dilip B. Madan and Marc Yor
New York University Finance and Risk Engineering, University of London - Economics, Mathematics and Statistics, University of Maryland - Robert H. Smith School of Business and Universite Paris
Downloads 2,099 (9,066)
Citation 76

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2.

Machine Learning for Quantitative Finance: Fast Derivative Pricing, Hedging and Fitting

Number of pages: 15 Posted: 20 Jun 2018
RiskConcile, University of Maryland - Robert H. Smith School of Business, KU Leuven - Department of Mathematics and KU Leuven - Department of Mathematics
Downloads 2,033 (9,566)
Citation 10

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Machine learning, Derivatives, Hedging, Implied volatility

3.
Downloads 1,629 ( 13,621)
Citation 80

Spanning and Derivative-Security Valuation

Number of pages: 34 Posted: 07 Apr 1999
Dilip B. Madan, Gurdip Bakshi and Gurdip Bakshi
University of Maryland - Robert H. Smith School of Business and Temple University - Fox School of Business and ManagementFox School of Business
Downloads 1,629 (13,381)
Citation 80

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Spanning and Derivative-Security Valuation

Journal of Financial Economics, Vol. 55, Iss. 2
Posted: 20 May 1999
Dilip B. Madan, Gurdip Bakshi and Gurdip Bakshi
University of Maryland - Robert H. Smith School of Business and Temple University - Fox School of Business and ManagementFox School of Business

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4.

A Theory of Volatility Spreads

Robert H. Smith School Research Paper No. RHS 06-028
Number of pages: 29 Posted: 02 Feb 2006
Gurdip Bakshi, Gurdip Bakshi and Dilip B. Madan
Temple University - Fox School of Business and ManagementFox School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 1,592 (14,127)
Citation 42

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risk-neutral volatility, physical volatility, pricing kernels, risk aversion, fat-tails

5.

Investigating the Sources of Default Risk: Lessons from Empirically Evaluating Credit Risk Models

Number of pages: 53 Posted: 08 Mar 2001
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 1,573 (14,402)
Citation 16

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6.

Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options

Number of pages: 51 Posted: 10 Oct 2000
University of Massachusetts Amherst - Department of Finance, Temple University - Fox School of Business and ManagementFox School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 1,504 (15,464)
Citation 216

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risk neutral skews, option pricing, individual stock options

7.

Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates

FDIC CFR Working Paper No. 06, EFA 2004 Maastricht Meetings Paper No. 3584, FEDS Working Paper, AFA 20004 Meetings
Number of pages: 32 Posted: 24 Oct 2003
University of Maryland - Robert H. Smith School of Business, Temple University - Fox School of Business and ManagementFox School of Business and Morgan Stanley
Downloads 1,406 (17,185)
Citation 41

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8.
Downloads 1,212 ( 21,475)
Citation 19

New Measures for Performance Evaluation

Number of pages: 41 Posted: 08 Jan 2007 Last Revised: 28 Apr 2008
Alexander S. Cherny and Dilip B. Madan
Moscow State University and University of Maryland - Robert H. Smith School of Business
Downloads 1,212 (21,110)
Citation 19

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New Measures for Performance Evaluation

The Review of Financial Studies, Vol. 22, Issue 7, pp. 2371-2406, 2009
Posted: 22 Jun 2009
Alexander S. Cherny and Dilip B. Madan
Moscow State University and University of Maryland - Robert H. Smith School of Business

Abstract:

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G10, G13, G14

9.

Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options

Number of pages: 49 Posted: 20 Sep 2001
Temple University - Fox School of Business and ManagementFox School of Business, University of Massachusetts Amherst - Department of Finance and University of Maryland - Robert H. Smith School of Business
Downloads 1,153 (23,088)
Citation 107

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10.

Pricing Options on Realized Variance

EFA 2005 Moscow Meetings Paper
Number of pages: 26 Posted: 11 Mar 2005 Last Revised: 30 Jan 2010
Peter Carr, Hélyette Geman, Dilip B. Madan and Marc Yor
New York University Finance and Risk Engineering, University of London - Economics, Mathematics and Statistics, University of Maryland - Robert H. Smith School of Business and Universite Paris
Downloads 875 (34,263)
Citation 12

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Options on Variance Swaps, Options on Time Changes, Self Decomposability and its Hierarchy

11.

Coherent Measurement of Factor Risks

Number of pages: 53 Posted: 30 May 2006
Alexander S. Cherny and Dilip B. Madan
Moscow State University and University of Maryland - Robert H. Smith School of Business
Downloads 849 (35,740)
Citation 14

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Alpha VAR, Beta VAR, capital allocation, coherent risk measure, extreme measure, factor risk, risk contribution, risk trading, tail correlation, Tail VAR, Weighted VAR

12.

Crash Discovery in Stock and Option Markets

Number of pages: 58 Posted: 20 Apr 1999
Dilip B. Madan, Gurdip Bakshi and Gurdip Bakshi
University of Maryland - Robert H. Smith School of Business and Temple University - Fox School of Business and ManagementFox School of Business
Downloads 717 (44,966)
Citation 7

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13.

Sato Processes and the Valuation of Structured Products

Number of pages: 41 Posted: 15 Jan 2007
Dilip B. Madan and Ernst Eberlein
University of Maryland - Robert H. Smith School of Business and University of Freiburg
Downloads 680 (48,301)
Citation 5

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Options on Realized Variance, Forward Starts, Ziggurat for Levy Processes

14.

Accounting to Acceptability: With Applications to the Pricing of Ones Own Credit Risk

Robert H. Smith School Research Paper No. RHS 06-113
Number of pages: 20 Posted: 28 Jan 2010 Last Revised: 03 May 2010
Ernst Eberlein, Thomas Gehrig and Dilip B. Madan
University of Freiburg, University of Vienna and University of Maryland - Robert H. Smith School of Business
Downloads 650 (51,233)
Citation 5

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Concave Distortions, Liability Pricing, Bid and Ask Prices

15.

Illiquid Markets as a Counterparty: An Introduction to Conic Finance

Robert H. Smith School Research Paper No. RHS 06-115
Number of pages: 39 Posted: 28 Jan 2010 Last Revised: 11 May 2010
Dilip B. Madan and Alexander S. Cherny
University of Maryland - Robert H. Smith School of Business and Moscow State University
Downloads 597 (57,136)
Citation 10

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16.

From Local Volatility to Local Levy Models

Quantitative Finance, Vol. 4, No. 5, October 2004
Number of pages: 17 Posted: 15 Jan 2007
Peter Carr, Hélyette Geman, Dilip B. Madan and Marc Yor
New York University Finance and Risk Engineering, University of London - Economics, Mathematics and Statistics, University of Maryland - Robert H. Smith School of Business and Universite Paris
Downloads 573 (60,161)
Citation 3

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Hunt Processes, Persistent Skewness, Convolution Transforms

17.

Pricing and Hedging in Incomplete Markets with Coherent Risk

Number of pages: 21 Posted: 30 May 2006
Alexander S. Cherny and Dilip B. Madan
Moscow State University and University of Maryland - Robert H. Smith School of Business
Downloads 563 (61,495)
Citation 1

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CDO, coherent risk measure, extreme measure, incomplete markets, factor risk, No Strictly Acceptable Opportunities, risk contribution, sensitivity coefficients, valuation measure, Weighted VaR

18.

Investigating the Role of Systematic and Firm-Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models

Number of pages: 36 Posted: 30 Dec 2004
University of Maryland - Robert H. Smith School of Business, Temple University - Fox School of Business and ManagementFox School of Business and Morgan Stanley
Downloads 472 (76,580)
Citation 11

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Default risk models, reduced-form, leverage, distance-to-default, hedging

19.

CAPM, Rewards, and Empirical Asset Pricing with Coherent Risk

Number of pages: 20 Posted: 30 May 2006
Alexander S. Cherny and Dilip B. Madan
Moscow State University and University of Maryland - Robert H. Smith School of Business
Downloads 444 (82,334)
Citation 4

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CAPM, coherent risk measure, contact measure, empirical asset pricing, extreme measure, No Better Choice pricing, real-world measure, reward, risk-neutral measure, security market line, sensitivity

20.

Hedge Fund Replication Beyond Alphas and Betas

Number of pages: 22 Posted: 13 Jan 2007
Ernst Eberlein and Dilip B. Madan
University of Freiburg and University of Maryland - Robert H. Smith School of Business
Downloads 438 (83,665)
Citation 3

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Concave Distortions, Acceptable Cash Flows, Skewness and Kurtosis

Risk-Neutralizing Statistical Distributions: With an Application to Pricing Reinsurance Contracts on Fdic Losses

Number of pages: 37 Posted: 03 Jun 2004
Dilip B. Madan and Haluk Unal
University of Maryland - Robert H. Smith School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 289 (132,446)
Citation 3

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Default Risk, Reinsurance, Bank Losses, Extreme Value Distributions, Risk Neutral Density

Risk-Neutralizing Statistical Distributions: With an Application to Pricing Reinsurance Contracts on Fdic Losses

FDIC Center For Financial Research Working Paper No. 2004-01
Number of pages: 38 Posted: 04 Apr 2005
Dilip B. Madan and Haluk Unal
University of Maryland - Robert H. Smith School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 142 (256,054)
Citation 3

Abstract:

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risk measurement, deposit insurance

22.

Conic Coconuts: The Pricing of Contingent Capital Notes Using Conic Finance

Robert H. Smith School Research Paper No. RHS 06-135
Number of pages: 21 Posted: 08 Jul 2010 Last Revised: 23 Nov 2010
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 408 (90,914)
Citation 3

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Contingent capital, conic finance, acceptability, distorted expectations, capital requirements

23.

Efficient Pricing of Contingent Convertibles Under Smile Conform Models

Number of pages: 13 Posted: 05 Nov 2011
University of Barcelona, RiskConcile, Universidad Autonoma de Madrid, University of Bath, University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 406 (91,419)
Citation 5

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Wiener-Hopf factorization, Lévy processes, CoCo pricing, Monte-Carlo simulation

24.

The S&P 500 Index as a Sato Process Travelling at the Speed of the VIX

Robert H. Smith School Research Paper No. RHS 06-117
Number of pages: 22 Posted: 28 Jan 2010 Last Revised: 13 May 2010
Dilip B. Madan and Marc Yor
University of Maryland - Robert H. Smith School of Business and Universite Paris
Downloads 402 (92,445)

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Exponential Compound Poisson, Asian Option, Laplace Transform

25.

Implied Liquidity - Towards Stochastic Liquidity Modeling and Liquidity Trading

Number of pages: 11 Posted: 14 Feb 2011
University of Barcelona - Faculty of Mathematics, Independent, University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 400 (92,972)
Citation 7

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Liquidity, bid-ask pricing, conic finance

26.

Variance Swap Portfolio Theory

Robert H. Smith School Research Paper No. RHS 06-114
Number of pages: 13 Posted: 28 Jan 2010 Last Revised: 03 May 2010
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 373 (101,082)

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SPSA, Concave Distortion, Correlated Levy Processes

27.

Conic Financial Markets and Corporate Finance

Robert H. Smith School Research Paper No. RHS 06-121
Number of pages: 23 Posted: 04 Feb 2010 Last Revised: 13 May 2010
Wim Schoutens and Dilip B. Madan
KU Leuven - Department of Mathematics and University of Maryland - Robert H. Smith School of Business
Downloads 368 (102,338)
Citation 1

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Optimal Debt, Bid Ask Price, Capital Requirements, Pricing to Acceptability

28.

Local Volatility Enhanced by a Jump to Default

Robert H. Smith School Research Paper No. RHS 06-119
Number of pages: 17 Posted: 28 Jan 2010 Last Revised: 13 May 2010
Peter Carr and Dilip B. Madan
New York University Finance and Risk Engineering and University of Maryland - Robert H. Smith School of Business
Downloads 344 (110,291)
Citation 4

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Hazard Rates, CDS Curves, Weibull Distribution, VGSSD Sato Process

29.

The Valuation of Structured Products Using Markov Chain Models

Robert H. Smith School Research Paper No. RHS 06-142
Number of pages: 24 Posted: 04 Mar 2010 Last Revised: 14 May 2011
Dilip B. Madan, Martijn Pistorius and Wim Schoutens
University of Maryland - Robert H. Smith School of Business, Imperial College London and KU Leuven - Department of Mathematics
Downloads 334 (114,033)
Citation 5

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Variance Gamma, Local Levy, Barrier Pricing, Sato Process

30.

Jointly Modeling of VIX and SPX Options at a Single and Common Maturity with Risk Management Applications

Number of pages: 17 Posted: 18 Mar 2013
Peter Carr and Dilip B. Madan
New York University Finance and Risk Engineering and University of Maryland - Robert H. Smith School of Business
Downloads 327 (116,665)
Citation 4

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31.

Options on Realized Variance and Convex Orders

Number of pages: 28 Posted: 28 Jan 2010
Peter Carr, Hélyette Geman, Marc Yor and Dilip B. Madan
New York University Finance and Risk Engineering, University of London - Economics, Mathematics and Statistics, Universite Paris and University of Maryland - Robert H. Smith School of Business
Downloads 314 (121,900)
Citation 2

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reverse martingale, quadratic variation, stochastic volatility

32.

On Correlating Lévy Processes

Robert H. Smith School Research Paper No. RHS 06-118
Number of pages: 17 Posted: 28 Jan 2010 Last Revised: 13 May 2010
Ernst Eberlein and Dilip B. Madan
University of Freiburg and University of Maryland - Robert H. Smith School of Business
Downloads 313 (122,301)
Citation 6

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Dependence Modeling, Levy Copulas, Multivariate Subordination, Long-Short vs. Long only Portfolios, Variance Gamma, Time Changed Brownian Motion

33.

Risk Premia in Option Markets

Robert H. Smith School Research Paper No. RHS 2635650
Number of pages: 27 Posted: 26 Jul 2015
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 303 (126,571)
Citation 1

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Variance Gamme, Self Decomposable Law, Vector Auto Regression, Long Horizon Returna

34.

Joint Calibration of SPX and VIX Option Surfaces: With Applications to Pricing and Hedging Equity and Volatility Linked Hybrid Notes

Robert H. Smith School Research Paper No. RHS 2414150
Number of pages: 31 Posted: 25 Mar 2014
Dilip B. Madan and Martijn Pistorius
University of Maryland - Robert H. Smith School of Business and Imperial College London
Downloads 296 (129,800)

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35.

Equilibrium Asset Pricing: With Non-Gaussian Factors and Exponential Utilities

Quantitative Finance, Vol. 6, No. 6, pp. 455-463, December 2006
Number of pages: 22 Posted: 15 Jan 2007
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 285 (135,052)

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Factor analysis via independent components analysis, Self similarity and Scaling in Returns, Lévy processes, Variance Gamma model

36.

Markets, Profits, Capital, Leverage and Return

Number of pages: 31 Posted: 20 Sep 2010
New York University Finance and Risk Engineering, Morgan Stanley and University of Maryland - Robert H. Smith School of Business
Downloads 282 (136,528)
Citation 26

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Acceptable Risks, Bid and Ask Prices, Variance Gamma Model, Variance Swaps

Returns of Claims on the Upside and the Viability of U-Shaped Pricing Kernels

Robert H. Smith School Research Paper No. RHS 06-107
Number of pages: 56 Posted: 28 Aug 2009 Last Revised: 30 Sep 2018
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 189 (200,515)
Citation 22

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U-shaped pricing kernels, claims on the upside, negative call returns, short-selling, heterogeneity in beliefs

Returns of Claims on the Upside and the Viability of U-Shaped Pricing Kernels

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 55 Posted: 19 Mar 2010
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 91 (351,937)
Citation 2

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U-shaped pricing kernels, claims on the upside, monotonically declining pricing kernels,

Pricing the Risk of Recovery in Default with Apr Violation

Number of pages: 41 Posted: 14 Apr 2002
Haluk Unal, Levent Guntay and Dilip B. Madan
University of Maryland - Robert H. Smith School of Business, Federal Deposit Insurance Corporation (FDIC) and University of Maryland - Robert H. Smith School of Business
Downloads 280 (136,843)
Citation 12

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Recovery rates, APR violation, Risky debt pricing, Credit risk, Credit derivatives

Pricing the Risk of Recovery in Default with Apr Violation

Posted: 26 Jun 2002
Haluk Unal, Levent Guntay and Dilip B. Madan
University of Maryland - Robert H. Smith School of Business, Federal Deposit Insurance Corporation (FDIC) and University of Maryland - Robert H. Smith School of Business

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Recovery rates, APR violation, Risky debt pricing, Credit risk, Credit derivatives

39.

Break on Through to the Single Side

Number of pages: 20 Posted: 26 Jul 2007
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 275 (140,132)
Citation 10

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Default Probabilities, Levy Models, CDS pricing

40.

Unified Treatment of Average-Rate Contingent Claims with Applications

Number of pages: 40 Posted: 30 Jul 1999
Dilip B. Madan, Gurdip Bakshi and Gurdip Bakshi
University of Maryland - Robert H. Smith School of Business and Temple University - Fox School of Business and ManagementFox School of Business
Downloads 271 (142,222)
Citation 1

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41.

A Simple Approach to Infer Recovery Rates with Apr Violation from Debt Spreads

Number of pages: 27 Posted: 10 Jul 2001
Haluk Unal, Levent Guntay and Dilip B. Madan
University of Maryland - Robert H. Smith School of Business, Federal Deposit Insurance Corporation (FDIC) and University of Maryland - Robert H. Smith School of Business
Downloads 265 (145,559)
Citation 7

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42.
Downloads 254 (151,743)
Citation 3

Heterogeneity in Beliefs and Volatility Tail Behavior

Number of pages: 37 Posted: 20 Mar 2012
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 254 (151,213)
Citation 3

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traded volatility, VIX option returns, tails of pricing and physical distributions

Heterogeneity in Beliefs and Volatility Tail Behavior

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Posted: 26 Jul 2014
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)

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traded volatility, VIX option returns, tails of pricing and physical distributions, heterogeneiry

43.

Designing Countercyclical and Risk Based Aggregate Deposit Insurance Premia

FDIC, Center For Financial Research Working Paper No. WP 2007-02
Number of pages: 31 Posted: 22 Feb 2007
Robert A. Jarrow, Dilip B. Madan and Haluk Unal
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Maryland - Robert H. Smith School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 249 (154,853)
Citation 4

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Deposit insurance, Procyclicality, Default probabilty, Loss distributions

44.

Conic Portfolio Theory

Robert H. Smith School Research Paper No. RHS 2635615
Number of pages: 48 Posted: 25 Jul 2015
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 247 (156,074)
Citation 2

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Acceptable Risks, Distorted Expectations, Fast ICA, Variance Gamma Model, Long Horizon Return

45.

MaMaMoMaMa: BTC Options

Number of pages: 15 Posted: 09 Oct 2018
Dilip B. Madan, Sofie Reyners and Wim Schoutens
University of Maryland - Robert H. Smith School of Business, KU Leuven - Department of Mathematics and KU Leuven - Department of Mathematics
Downloads 237 (163,062)

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cryptocurrency, bitcoin, modelling, calibration

46.

Capital Requirements, the Option Surface, Market, Credit and Liquidity Risk

Robert H. Smith School Research Paper No. RHS 06-136
Number of pages: 57 Posted: 31 Jan 2011 Last Revised: 25 Oct 2011
Dilip B. Madan, Ernst Eberlein and Wim Schoutens
University of Maryland - Robert H. Smith School of Business, University of Freiburg and KU Leuven - Department of Mathematics
Downloads 237 (162,435)

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Conic Finance, Bid and Ask Prices, Sato Process, Weibull Distribution

47.

Asset Pricing Theory for Two Price Economies

Robert H. Smith School Research Paper No. RHS 2414134
Number of pages: 37 Posted: 25 Mar 2014
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 235 (163,768)
Citation 8

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Multi-curve discounting, Acceptable Risks, Distorted Expectations, Cliquets, DVA

48.

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 228 (168,564)
Citation 5

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

49.

Conic CVA and DVA

Robert H. Smith School Research Paper No. RHS 2715403
Number of pages: 17 Posted: 15 Jan 2016
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 219 (175,208)

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CVA, DVA, conic finance, bid and ask pricing

50.

Pricing and Hedging Basket Options to Prespecified Levels of Acceptability

Robert H. Smith School Research Paper No. RHS 06-147
Number of pages: 25 Posted: 28 Jan 2010 Last Revised: 30 Jan 2011
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 214 (179,000)
Citation 5

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Concave Distortions, Correlated Levy Processes, Bid and Ask Prices

51.

Average Rate Contingent Claims with Emphasis on Catastrophe Loss Options

Number of pages: 31 Posted: 07 Aug 2001
Dilip B. Madan, Gurdip Bakshi and Gurdip Bakshi
University of Maryland - Robert H. Smith School of Business and Temple University - Fox School of Business and ManagementFox School of Business
Downloads 214 (179,000)
Citation 4

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52.

Option Implied VIX, Skew and Kurtosis Term Structures

Number of pages: 16 Posted: 20 Aug 2020 Last Revised: 26 Dec 2020
Dilip B. Madan and King Wang
University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 212 (180,592)
Citation 4

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Characteristic Exponent, Bilateral Gamma Model, Self Decomposable Law, Sato Process

53.

Tenor Specific Pricing

Robert H. Smith School Research Paper No. RHS-06-143
Number of pages: 23 Posted: 31 Jan 2011 Last Revised: 23 Feb 2012
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 211 (181,440)
Citation 5

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Nonlinear Expectations, Concave Distortions, Variance Gamma Process, Conic Finance

54.

Unlimited Liabilities, Reserve Capital Requirements and the Taxpayer Put Option

Number of pages: 41 Posted: 28 Jan 2010 Last Revised: 10 May 2010
Ernst Eberlein and Dilip B. Madan
University of Freiburg and University of Maryland - Robert H. Smith School of Business
Downloads 209 (183,068)
Citation 16

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Concave Distortions, Spread Options, Correlated Levy Processes

55.

Simple Processes and the Pricing and Hedging of Cliquets

Robert H. Smith School Research Paper No. RHS 06-111
Number of pages: 21 Posted: 03 Feb 2010 Last Revised: 03 May 2010
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 206 (185,467)
Citation 1

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56.

Deducing the Implications of Jump Models for the Structure of Stock Market Crashes, Rallies, Jump Arrival Rates, and Extremes

Number of pages: 37 Posted: 07 Jan 2009
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 203 (188,038)
Citation 2

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jump structure, pure-jump price, crashes, arrival rate, extremes

57.

An Asset Pricing Theory of Volatility Tail Behavior

Number of pages: 37 Posted: 15 Mar 2011
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 201 (189,753)
Citation 1

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Traded Volatility, VIX Option Returns, Tails of Pricing and Physical Distributions, Heterogeneity

58.

S&P 500 Index Option Surface Drivers and their Real World and Risk Neutral Covariations

Robert H. Smith School Research Paper No. RHS 06-130
Number of pages: 35 Posted: 20 Sep 2010 Last Revised: 20 Nov 2010
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 200 (190,700)

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Background PDE, Sato Process, Trading Parameters, Constraining for positive semidefiniteness

59.

Asymmetries in Financial Returns

Number of pages: 30 Posted: 31 Mar 2017
Dilip B. Madan and King Wang
University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 198 (192,403)
Citation 21

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Variance Gamma, Bilateral Gamma, OU Equation, Delta Hedging

60.

A Tale of Two Volatilities

Number of pages: 19 Posted: 28 Jan 2010 Last Revised: 13 May 2010
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 192 (197,739)

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Variance Gamma, Square Root Process, Volatility and Skewness

61.

Two Processes for Two Prices

Robert H. Smith School Research Paper
Number of pages: 25 Posted: 24 Jun 2013
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 183 (206,383)
Citation 2

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comonotone, Sato process, variance gamma, Markov Martingale, variance swap

62.

Modeling and Monitoring Risk Acceptability in Markets: The Case of the Credit Default Swap Market

Robert H. Smith School Research Paper No. RHS 2414722
Number of pages: 35 Posted: 26 Mar 2014
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 170 (219,923)

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separating hyperplanes, measure changes, minmaxvar distortion, bid and ask prices.

63.

Option Surfaces Through the Lens of the Black Merton Scholes Model

Robert H. Smith School Research Paper No. RHS 2888977
Number of pages: 13 Posted: 22 Dec 2016
Dilip B. Madan and King Wang
University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 162 (229,001)
Citation 1

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Fundamental Review of Trading Book, Sticky Strike, Sato Process, Vega Vanna Volga

64.

Instantaneous Portfolio Theory

Robert H. Smith School Research Paper No. RHS 2804718
Number of pages: 44 Posted: 06 Jul 2016 Last Revised: 18 May 2017
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 155 (237,759)
Citation 6

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Lévy measure, Weak Subordination, Gamma distributed Elliptical Radius, Measure Distortion

65.

The Distribution of Returns at Longer Horizons

Robert H. Smith School Research Paper No. RHS 06-146
Number of pages: 20 Posted: 28 Jan 2010 Last Revised: 30 Jan 2011
Ernst Eberlein and Dilip B. Madan
University of Freiburg and University of Maryland - Robert H. Smith School of Business
Downloads 152 (241,638)
Citation 8

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self similarity, independent increments, term structure of moments

66.

Pricing Options on Mean Reverting Underliers

Robert H. Smith School Research Paper No. RHS 2747131
Number of pages: 35 Posted: 14 Mar 2016 Last Revised: 12 Aug 2016
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 149 (245,590)
Citation 1

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Measure Change, Numeraire Selection, Variance Gamma, Square Root Process

67.

Momentum and Reversion in Risk Neutral Martingale Probabilities

Number of pages: 27 Posted: 16 Apr 2013 Last Revised: 25 Mar 2014
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 145 (251,015)

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Variance Gamma, Markov Chains, Hunt Process, Reverse Expectations

68.

Conserving Capital by Adjusting Deltas for Gamma in the Presence of Skewness

Robert H. Smith School Research Paper No. RHS 06-132
Number of pages: 23 Posted: 20 Sep 2010 Last Revised: 23 Nov 2010
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 143 (253,823)
Citation 2

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Acceptable Risks, Distorted Expectations, Non Linear Expectations, Markov Chains

69.

Joint Risk Neutral Laws and Hedging

Robert H. Smith School Research Paper No. RHS 06-140
Number of pages: 27 Posted: 08 May 2010 Last Revised: 27 Jan 2011
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 142 (255,246)
Citation 3

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70.

On the Pricing of Contingent Capital Notes

Number of pages: 24 Posted: 13 Dec 2011
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 139 (259,593)
Citation 2

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Quanto Option Surface, ADR Option Surface, Spread Option, Two Price Theory, Analytical Risk Weighted Assets

71.

Efficient Estimation of Expected Stock Price Returns

Robert H. Smith School Research Paper No. RHS 2894499
Number of pages: 13 Posted: 09 Jan 2017 Last Revised: 23 Jan 2017
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 137 (262,563)
Citation 1

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variance gamma model, digital moment estimation, self decomposable laws, limit laws

72.

Laplacian Risk Management

Robert H. Smith School Research Paper No. RHS 2888882
Number of pages: 22 Posted: 23 Dec 2016
Dilip B. Madan and King Wang
University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 136 (264,112)
Citation 2

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Local Volatility, Compound Poisson, Theta, Gamma, Vega, Volga and Vanna

73.

Hedging Insurance Books

Robert H. Smith School Research Paper No. RHS 2635602, NYU Tandon Research Paper No. 2635602
Number of pages: 23 Posted: 26 Jul 2015
University of Maryland - Robert H. Smith School of Business, New York University Finance and Risk Engineering, KU Leuven - Department of Mathematics and Independent
Downloads 136 (264,112)
Citation 1

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Acceptable Risks, Probability Distortions, Variance Gamma Model

74.

Measuring and Monitoring the Efficiency of Markets

Number of pages: 36 Posted: 22 Jun 2017
Dilip B. Madan, Wim Schoutens and King Wang
University of Maryland - Robert H. Smith School of Business, KU Leuven - Department of Mathematics and Morgan Stanley
Downloads 133 (268,613)
Citation 1

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Acceptable Risks, Distorted Expectations, Bilateral Gamma Model, Escalator Elevator Metric

75.

Recovering Statistical Theory in the Context of Model Calibrations

Number of pages: 28 Posted: 18 Mar 2013 Last Revised: 25 Mar 2014
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 133 (268,613)
Citation 2

Abstract:

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Static Arbitrage, Dirichlet Distribution, Minkowski-Weyl decomposition, Variance Gamma model, Sato Process, Stochastic Volatility models

76.

Execution Costs and Efficient Execution Frontiers

Robert H. Smith School Research Paper No. RHS 06-131
Number of pages: 23 Posted: 20 Sep 2010 Last Revised: 23 Nov 2010
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 133 (268,613)
Citation 1

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Convex sets of acceptable risks, Nonlinear Expectations, Scale and Direction Dependent Pricing

77.

Bid and Ask Prices as Non-Linear Continuous Time G-Expectations Based on Distortions

Number of pages: 31 Posted: 18 Mar 2013
University of Freiburg, University of Maryland - Robert H. Smith School of Business, Imperial College London and Université Paris VI Pierre et Marie Curie
Downloads 129 (274,832)
Citation 4

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78.

Enhancing Enterprise Value by Trading Options

Number of pages: 31 Posted: 22 Apr 2017
Dilip B. Madan and Yazid Sharaiha
University of Maryland - Robert H. Smith School of Business and Norges Bank Investment Management (NBIM)
Downloads 128 (276,417)

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Conic Finance, Distorted Expectations, Variance Gamma Model, Probability Distortions Calibrated

79.

Bilateral Multiple Gamma Returns: Their Risks and Rewards

Number of pages: 26 Posted: 22 Aug 2018 Last Revised: 10 Nov 2018
Dilip B. Madan, Wim Schoutens and King Wang
University of Maryland - Robert H. Smith School of Business, KU Leuven - Department of Mathematics and Morgan Stanley
Downloads 123 (284,796)
Citation 16

Abstract:

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Entropy Maximization, Variance Gamma, Distorted Expectation, Measure Distortion, Skewness Premia

80.

Structured Products Equilibria in Conic Two Price Markets

Number of pages: 52 Posted: 20 May 2011 Last Revised: 21 Nov 2011
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 121 (288,237)
Citation 5

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81.

Adapted Hedging

Robert H. Smith School Research Paper No. RHS 2796599
Number of pages: 35 Posted: 18 Jun 2016
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 120 (289,991)
Citation 2

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Fat tails, Bid prices, Non-additive probability, Dynamic Volatility Indices

82.

Selfsimilarity in Long Horizon Asset Returns

Number of pages: 51 Posted: 23 Jan 2018 Last Revised: 13 Aug 2018
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 116 (296,911)
Citation 3

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Asset Return Modeling, Selfsimilarity and Scaling, Equilibrium Return Distributions, Equity Bias for Horizons, Long Horizon Risk Free Rates

83.

Machine Learning Based Trading Strategies

Number of pages: 26 Posted: 25 Mar 2021
Dilip B. Madan and Yazid Sharaiha
University of Maryland - Robert H. Smith School of Business and Norges Bank Investment Management (NBIM)
Downloads 112 (304,401)

Abstract:

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Self Financing, Distorted Expectations, Active Portfolio Management, Zero covariation covariance

Modeling Risk Weighted Assets and the Risk Sensitivity of Related Capital Requirements

Number of pages: 22 Posted: 18 Mar 2013
Ernst Eberlein, Dilip B. Madan and Wim Schoutens
University of Freiburg, University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 112 (306,054)
Citation 2

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Modeling Risk-Weighted Assets and the Risk Sensitivity of Related Capital Requirements

Journal of Risk, Vol. 16, No. 2, 2013
Number of pages: 22 Posted: 07 Jun 2016
Ernst Eberlein, Dilip B. Madan and Wim Schoutens
University of Freiburg, University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
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capital requirements, risk-weighted assets

85.

Conic Trading in Markovian Steady State

Robert H. Smith School Research Paper No. RHS 2732826
Number of pages: 22 Posted: 15 Feb 2016 Last Revised: 25 May 2016
Dilip B. Madan, Martijn Pistorius and Wim Schoutens
University of Maryland - Robert H. Smith School of Business, Imperial College London and KU Leuven - Department of Mathematics
Downloads 111 (306,290)
Citation 3

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non-additive probability; acceptable risks; nonlinear martingales; nonlinear expectation; measure distortions

86.

On Pricing Risky Loans and Collateralized Fund Obligations

Robert H. Smith School Research Paper No. RHS 06-145
Number of pages: 19 Posted: 28 Jan 2010 Last Revised: 30 Jan 2011
Ernst Eberlein, Hélyette Geman and Dilip B. Madan
University of Freiburg, University of London - Economics, Mathematics and Statistics and University of Maryland - Robert H. Smith School of Business
Downloads 105 (318,290)

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first passage times, Merton compound option model, spectrally negative process

87.

Portfolio Theory for Squared Returns Correlated Across Time

Robert H. Smith School Research Paper No. RHS 2635632
Number of pages: 43 Posted: 26 Jul 2015 Last Revised: 02 Mar 2016
Ernst Eberlein and Dilip B. Madan
University of Freiburg and University of Maryland - Robert H. Smith School of Business
Downloads 100 (328,733)

Abstract:

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Correlated Gamma Processes, Distorted Expectations, Conic Portfolio Theory

88.

Capital Requirements, Acceptable Risks and Profits

Number of pages: 14 Posted: 28 Jan 2010 Last Revised: 14 May 2011
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 100 (328,733)

Abstract:

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Risk Distortions of Limited Liability, Correlated Variance Gamma, Spread Option, Concave Distortions

89.

Conic Asset Pricing and the Costs of Price Fluctuations

Robert H. Smith School Research Paper No. RHS 2921365
Number of pages: 34 Posted: 23 Feb 2017
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 98 (332,995)
Citation 6

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Probability Distortion, Measure Distortion, Self Decomposable Law, Variance Gamma Model

90.

On Dynamic Spectral Risk Measures and a Limit Theorem

Robert H. Smith School Research Paper No. RHS 2635636
Number of pages: 53 Posted: 26 Jul 2015
Dilip B. Madan, Martijn Pistorius and Mitja Stadje
University of Maryland - Robert H. Smith School of Business, Imperial College London and Tilburg University - Department of Econometrics & Operations Research
Downloads 98 (332,995)
Citation 12

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91.

Pricing and Hedging Options on Assets with Options on Related Assets

Number of pages: 26 Posted: 28 Jul 2020
Dilip B. Madan and King Wang
University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 96 (337,480)
Citation 1

Abstract:

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Multivariate bilateral gamma, Gaussian and t-copula, Acceptable Risks, Distorted Expectations

92.

Two Price Economies in Continuous Time

Number of pages: 31 Posted: 18 Mar 2013
University of Freiburg, University of Maryland - Robert H. Smith School of Business, Imperial College London, KU Leuven - Department of Mathematics and Université Paris VI Pierre et Marie Curie
Downloads 93 (344,317)
Citation 2

Abstract:

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93.

Relativities in Financial Markets

Robert H. Smith School Research Paper No. RHS 2732825
Number of pages: 21 Posted: 15 Feb 2016
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 88 (356,410)
Citation 1

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non-additive probability; acceptable risks; nonlinear martingales; nonlinear expectation; measure distortions

94.

Dynamic Conic Hedging for Competitiveness

Robert H. Smith School Research Paper No. RHS 2635600
Number of pages: 60 Posted: 25 Jul 2015
Dilip B. Madan, Martijn Pistorius and Wim Schoutens
University of Maryland - Robert H. Smith School of Business, Imperial College London and KU Leuven - Department of Mathematics
Downloads 88 (356,410)
Citation 1

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Static and Semi Static Hedging, Nonlinear Expectation, Variance Gamma Model, Distorted Expectation

95.

Systemic Risk Tradeoffs and Option Prices

Number of pages: 28 Posted: 18 Mar 2013
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 87 (358,887)
Citation 2

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96.

Differentiating Asset Classes

Number of pages: 18 Posted: 23 Aug 2017
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 86 (361,455)
Citation 1

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Bilateral Gamma Model, Digital Moment Estimation, Asset Allocation

97.

Short Positions, Rally Fears and Option Markets

Robert H. Smith School Research Paper No. RHS 06-120
Number of pages: 23 Posted: 28 Jan 2010 Last Revised: 13 May 2010
Ernst Eberlein and Dilip B. Madan
University of Freiburg and University of Maryland - Robert H. Smith School of Business
Downloads 86 (361,455)
Citation 2

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U-shaped measure change, Spectrally Negative Process, Scale Functions

98.

A Two Price Theory of Financial Equilibrium with Risk Management Implications

Number of pages: 19 Posted: 18 Mar 2013
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 84 (366,702)
Citation 1

Abstract:

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99.

Multivariate Distributions for Financial Returns

Number of pages: 39 Posted: 04 Jun 2020
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 83 (369,326)
Citation 2

Abstract:

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Bilateral Gamma, Multivariate Variance Gamma, Empirical Characteristic Function, Skewness via Cumulants

100.

Zero Covariation Returns

Number of pages: 41 Posted: 17 Nov 2017
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 77 (385,865)
Citation 1

Abstract:

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Bilateral Gamma Process, Minmaxvar Distortion, Conic Portfolio Theory

101.

Risks and Their Rewards in Financial Markets: A Two Price Perspective

Robert H. Smith School Research Paper No. RHS 2879100
Number of pages: 27 Posted: 06 Dec 2016
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 73 (397,594)
Citation 3

Abstract:

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Distorted Expectations, Measure Distortions, Variance Gamma Model, Acceptable Risks, Non-Additive Probability, Choquet Capacity

102.

Estimating Parametric Models of Probability Distributions

Number of pages: 12 Posted: 25 Jul 2015
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 73 (397,594)
Citation 4

Abstract:

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Maximum Likelihood, Variance Gamma, Gamma Distribution

103.

Equilibrium Asset Returns in Financial Markets

Number of pages: 44 Posted: 13 Mar 2018
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 72 (400,618)
Citation 3

Abstract:

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Bilateral Gamma, Power Variation, Support Vector Machine Regression, Acceptability Index

104.

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 72 (400,618)
Citation 1

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Completely monotone function, Gauss Laguerre quadrature, Gap Risk Pricing

105.

A Simple Stochastic Rate Model for Rate Equity Hybrid Products

Number of pages: 34 Posted: 18 Mar 2013
University of Freiburg, University of Maryland - Robert H. Smith School of Business, Imperial College London and Université Paris VI Pierre et Marie Curie
Downloads 72 (400,618)
Citation 2

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106.

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

Number of pages: 34 Posted: 18 Mar 2013
Dilip B. Madan and Marc Yor
University of Maryland - Robert H. Smith School of Business and Université Paris VI Pierre et Marie Curie
Downloads 70 (406,854)
Citation 1

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107.

Three Non-Gaussian Models of Dependence in Returns

Robert H. Smith School Research Paper No. RHS 2635629
Number of pages: 25 Posted: 26 Jul 2015
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 68 (413,187)

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Full Gaussian Copula, Independent Components Analysis, Correlated Variance Gamma

Acceptability Bounds for Forward Starting Options Using Disciplined Convex Programming

Robert H. Smith School Research Paper No. RHS 2635649
Number of pages: 12 Posted: 26 Jul 2015
Dilip B. Madan and King Wang
University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 60 (446,704)

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Distorted Expectation, CVXOPT, Conic Duality

Acceptability Bounds for Forward Starting Options Using Disciplined Convex Programming

Journal of Risk, Forthcoming
Number of pages: 13 Posted: 12 Oct 2016
Dilip B. Madan and King Wang
University of Maryland - Robert H. Smith School of Business and Morgan Stanley
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Citation 1
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distorted expectation, duality, convex optimization, acceptable risks, martingale conditions

109.

Correlated Squared Returns

Number of pages: 58 Posted: 14 Apr 2020 Last Revised: 26 Dec 2020
Dilip B. Madan and King Wang
University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 56 (455,004)

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Correlated Gamma Processes, Joint Characteristic Functions, Digital Moment Estimation, Path Simulation

110.

Arrival Rate Functions

Robert H. Smith School Research Paper No. RHS 2879083
Number of pages: 22 Posted: 05 Dec 2016
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 54 (462,505)

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Variance Gamma, Hunt Process, Markov Chain Approximation, Matrix Exponentiation, Momentum Function, Measure Distortion

111.

Measuring the Benefits of Diversification Across Portfolios

Number of pages: 24 Posted: 29 Mar 2021 Last Revised: 05 Aug 2021
Dilip B. Madan and King Wang
University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 50 (478,464)

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Bilateral Gamma, Acceptable Risks, Distorted Expectations.

112.

Jointly Modeling American Depository Receipts, the Local Stock and the Local Price of the US Dollar

Number of pages: 20 Posted: 18 Mar 2013
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 50 (478,464)
Citation 1

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113.

Enterprise, Capital and Risk

Number of pages: 44 Posted: 07 Aug 2017
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 49 (482,574)

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114.

The Structure of Financial Returns

Number of pages: 14 Posted: 05 Jun 2020
Dilip B. Madan and King Wang
University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 47 (491,045)
Citation 4

Abstract:

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Bilateral Gamma, CGMY, Sato Process, Random Walk

115.

Filtering Response Directions

Number of pages: 29 Posted: 19 Jun 2020 Last Revised: 26 Dec 2020
Robert J. Elliott, Dilip B. Madan and King Wang
University of Calgary - Haskayne School of Business, University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 46 (495,394)

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Bilateral Gamma, Change of Measure, Self Decomposable

116.

Quadratic Variation

Number of pages: 31 Posted: 23 Feb 2021
Dilip B. Madan and King Wang
University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 45 (499,832)

Abstract:

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Bilateral Gamma, Sato Process, Volatility of Variance, Self Decomposable Laws, Sato Lévy Mixtures

117.

Additive Processes with Bilateral Gamma Marginals

Number of pages: 23 Posted: 25 Feb 2020 Last Revised: 08 May 2020
Dilip B. Madan and King Wang
University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 45 (499,832)
Citation 3

Abstract:

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Bilateral Gamma, Self Decomposable Laws, Sato Process

118.

Option Surface Econometrics with Applications

Number of pages: 18 Posted: 23 Feb 2021
Dilip B. Madan and King Wang
University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 43 (508,785)
Citation 1

Abstract:

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Bilateral Gamma, Tempered Stable, Self Decomposable, Sato Process

119.

Financial Jeorpardy

Robert H. Smith School Research Paper No. RHS 2635635
Number of pages: 22 Posted: 26 Jul 2015 Last Revised: 23 Dec 2016
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 43 (508,785)

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uniformly integrable martingale, variance gamma, stochastic perpetuity

120.

It Takes Two to Tango: Estimation of the Zero-Risk Premium Strike of a Call Option Via Joint Physical and Pricing Density Modeling

Number of pages: 19 Posted: 27 Apr 2021 Last Revised: 17 Sep 2021
Technische Universität München (TUM), University of Maryland - Robert H. Smith School of Business, KU Leuven - Department of Mathematics and KU Leuven - Department of Accounting, Finance and Insurance
Downloads 42 (513,338)

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Pricing density, Physical density, Stock models, Bilateral Gamma, Tilted Bilateral Gamma, Calibration, Risk premium, Call options, S\&P500, DAX

121.

Multivariate Bilateral Gamma, Copulas, CoSkews and CoKurtosis

Number of pages: 18 Posted: 22 Jun 2020
Dilip B. Madan and King Wang
University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 41 (518,073)

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Multivariate Variance Gamma, Tail Probabilities, Bivariate Characteristic Function Estimation.

122.

Financial Equilibrium with Non-Linear Valuations

Number of pages: 12 Posted: 07 Aug 2017
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 41 (518,073)

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123.

Signed Infinitely Divisible Signed Probability Models in Finance

Number of pages: 30 Posted: 05 Dec 2019 Last Revised: 24 Jun 2020
Dilip B. Madan and King Wang
University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 40 (522,801)

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Lévy Tails, Bilateral Gamma, CGMY model, Quantization, Negative Quadratic Variation

124.

Lower and Upper Pricing of Financial Assets

Number of pages: 26 Posted: 03 Dec 2020 Last Revised: 05 Aug 2021
Robert J. Elliott, Dilip B. Madan and Ken Siu
University of Calgary - Haskayne School of Business, University of Maryland - Robert H. Smith School of Business and Macquarie University
Downloads 37 (537,503)

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Bilateral Gamma Model, Acceptable Risks, Probability Distortions, Hidden Markov Model, Filtered Markets.

125.

From Credit Valuation Adjustments to Credit Capital Commitments

Number of pages: 17 Posted: 18 Mar 2013
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 35 (547,902)

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126.

Two Price Economic Equilibria and Financial Market Bid/Ask prices

Number of pages: 23 Posted: 15 Jul 2020
Dilip B. Madan, Robert J. Elliott and Ken Siu
University of Maryland - Robert H. Smith School of Business, University of Calgary - Haskayne School of Business and Macquarie University
Downloads 34 (553,248)
Citation 1

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Acceptable Risks, Distorted Expectations, Minmaxvar Distortion, Convex Risk Measures

127.

Equity Quantile Upper and Lower Swaps

Number of pages: 20 Posted: 18 Mar 2013
Dilip B. Madan and Martijn Pistorius
University of Maryland - Robert H. Smith School of Business and Imperial College London
Downloads 27 (593,576)

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128.

Self-Decomposability and Option Pricing

Mathematical Finance, Vol. 17, No. 1, pp. 31-57, January 2007
Number of pages: 27 Posted: 13 Dec 2006
Peter Carr, Hélyette Geman, Dilip B. Madan and Marc Yor
New York University Finance and Risk Engineering, University of London - Economics, Mathematics and Statistics, University of Maryland - Robert H. Smith School of Business and Universite Paris
Downloads 25 (606,588)
Citation 7
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129.

Corporate Valuation: Analyzing the Theoretical Valuations of Stylized Corporates

Number of pages: 23 Posted: 11 May 2021
Dilip B. Madan and King Wang
University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 24 (613,392)

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Multivariate Bilateral Gamma, Nonlinear Valuation, Gaussian Process Regression, Quantization

130.

Product Options

Number of pages: 24 Posted: 12 Jul 2021
Dilip B. Madan and King Wang
University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 18 (655,536)

Abstract:

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Multivariate Bilateral Gamma, Fast Fourier Transform, Distorted Expectations, Acceptable Risks.

131.

General Financial Economic Equilibria

Number of pages: 39 Posted: 01 May 2020 Last Revised: 05 Feb 2021
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Downloads 17 (662,665)
Citation 1

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Acceptable Risks, Distorted Expectations, Equilibrium Unemployment, Equilibrium Unemployment Insurance

132.

Implied Price Processes Anchored in Statistical Realizations

Number of pages: 25 Posted: 11 Jun 2021
Dilip B. Madan and King Wang
University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 14 (685,116)

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Equivalent Lévy Processes, V Shaped Measure Change, Valuation Equilibria.

133.

Two Sided Efficient Frontiers at Multiple Time Horizons

Number of pages: 31 Posted: 08 Jul 2021
Dilip B. Madan and King Wang
University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 11 (708,546)

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Acceptable Risks, Distorted Expectations, Q self-decomposable laws, Vector OU Equations, Multivariate Bilateral Gamma Process.

134.

Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)

Number of pages: 37 Posted: 20 Sep 2021
Dilip B. Madan and King Wang
University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 5 (755,842)

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Multivariate Bilateral Gamma, Q-Selfdecomposable, Digital Moments

135.

The Chebyshev Method for the Implied Volatility

Journal of Computational Finance, Vol. 23, No. 3, 2019
Number of pages: 32 Posted: 23 Dec 2019
Queen Mary University of London, Technical University Munich, University of Maryland - Robert H. Smith School of Business and Queen Mary University of London
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,comma separated,

136.

Self‐Similarity in Long‐Horizon Returns

Mathematical Finance, Vol. 30, Issue 4, pp. 1368-1391, 2020
Number of pages: 24 Posted: 07 Oct 2020
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 0 (808,953)
Citation 6
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asset return modeling, equity bias for longer horizons, self‐similarity and scaling

137.

Conic Option Pricing

Posted: 20 May 2019
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 0 (808,953)

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138.

Adjusting Exponential Lévy Models Toward the Simultaneous Calibration of Market Prices for Crash Cliquets

Journal of Computational Finance, 20(1), 89-111, DOI:10.21314/JCF.2016.309
Number of pages: 24 Posted: 28 Jul 2016
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
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completely monotone function, Gauss Laguerre quadrature, gap risk pricing, beta exposure pricing, CGMY model, negative binomial process

139.

Stochastic Processes in Finance

Annual Review of Financial Economics, Vol. 2, pp. 277-314, 2010
Posted: 12 Nov 2010
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business

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140.

Hedge Fund Performance: Sources and Measures

International Journal of Theoretical and Applied Finance, Vol. 12, No. 3, pp. 267-282, 2009
Posted: 28 Jan 2010
Ernst Eberlein and Dilip B. Madan
University of Freiburg and University of Maryland - Robert H. Smith School of Business

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Sharpe ratios, investment alphas, skewness, kurtosis in returns

141.

The Fine Structure of Asset Returns: An Empirical Investigation

Posted: 03 May 2002
Hélyette Geman, Peter Carr, Dilip B. Madan and Marc Yor
University of London - Economics, Mathematics and Statistics, New York University Finance and Risk Engineering, University of Maryland - Robert H. Smith School of Business and Universite Paris

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142.

A Simple Approach to Estimate Recovery Rates with Apr Violation from Debt Spreads

Wharton Financial Institutions Center Working Paper No. 01-07
Posted: 14 May 2001
Haluk Unal, Levent Guntay and Dilip B. Madan
University of Maryland - Robert H. Smith School of Business, Federal Deposit Insurance Corporation (FDIC) and University of Maryland - Robert H. Smith School of Business

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143.

Optimal Investment in Derivative Securities

Posted: 19 Mar 2001
Peter Carr, Xing Jin and Dilip B. Madan
New York University Finance and Risk Engineering, University of Maryland - Robert H. Smith School of Business and University of Maryland - Robert H. Smith School of Business

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Levy process, market completeness, stochastic duality, option pricing, variance gamma model

144.

A Two-Factor Hazard-Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads

Posted: 19 Apr 2000
Dilip B. Madan and Haluk Unal
University of Maryland - Robert H. Smith School of Business and University of Maryland - Robert H. Smith School of Business

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145.

Asset Pricing in an Incomplete Market with a Locally Risky Discount Factor

Posted: 10 Aug 1999
Sankarshan Acharya and Dilip B. Madan
University of Illinois at Chicago - Department of Finance and University of Maryland - Robert H. Smith School of Business

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146.

Capital Structure and the Design of Managerial Compensation

Posted: 03 Aug 1999
Dilip B. Madan, Badih Soubra and Lemma W. Senbet
University of Maryland - Robert H. Smith School of Business, affiliation not provided to SSRN and University of Maryland - Robert H. Smith School of Business

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147.

Hedging Contingent Claims on Semimartingales

Posted: 11 Dec 1998
Robert A. Jarrow and Dilip B. Madan
Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Maryland - Robert H. Smith School of Business

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148.

Pricing by Arbitrage When All Assets are Risky: A Theory of Latent Interest Rate and Evidence

FEDS Paper Number: 95-19
Posted: 25 Aug 1998
Sankarshan Acharya and Dilip B. Madan
University of Illinois at Chicago - Department of Finance and University of Maryland - Robert H. Smith School of Business

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149.

Pricing S&P 500 Index Options Using a Hilbert Space Basis

FRB Atlanta Working Paper #96-21
Posted: 02 May 1997
Bank of America, University of Maryland - Robert H. Smith School of Business and Independent

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150.

Estimation of Risk-Neutral and Statistical Densities by Hermite Polynomial Approximation: With an Application to Eurodollar Futures Options

Working Paper No. 96-5
Posted: 05 Sep 1996
Bank of America, University of Maryland - Robert H. Smith School of Business and Independent

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151.

Pricing the Risks of Default

94-16-B
Posted: 05 May 1995
Dilip B. Madan and Haluk Unal
University of Maryland - Robert H. Smith School of Business and University of Maryland - Robert H. Smith School of Business

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