Dilip B. Madan

University of Maryland - Robert H. Smith School of Business

Professor, Finance

College Park, MD 20742-1815

United States

SCHOLARLY PAPERS

118

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CITATIONS
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Top 496

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965

Scholarly Papers (118)

1.

Stochastic Volatility for Levy Processes

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 35 Posted: 04 Jun 2002
Peter Carr, Hélyette Geman, Dilip B. Madan and Marc Yor
New York University (NYU) - Courant Institute of Mathematical Sciences, University of London - Economics, Mathematics and Statistics, University of Maryland - Robert H. Smith School of Business and Universite Paris
Downloads 1,794 (6,115)
Citation 84

Abstract:

2.

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

AFA 2001 New Orleans Meetings
Number of pages: 53 Posted: 08 Mar 2001
Gurdip Bakshi, Dilip B. Madan and Frank Xiaoling Zhang
University of Maryland - Robert H. Smith School of Business, University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 1,466 (8,842)
Citation 12

Abstract:

Spanning and Derivative-Security Valuation

Number of pages: 34 Posted: 07 Apr 1999
Dilip B. Madan and Gurdip Bakshi
University of Maryland - Robert H. Smith School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 1,440 (9,348)
Citation 125

Abstract:

Spanning and Derivative-Security Valuation

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

Abstract:

4.

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
Dilip B. Madan, Gurdip Bakshi and Frank Xiaoling Zhang
University of Maryland - Robert H. Smith School of Business, University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 1,264 (11,205)
Citation 35

Abstract:

5.

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

EFA 0162
Number of pages: 51 Posted: 10 Oct 2000
Nikunj Kapadia, Gurdip Bakshi and Dilip B. Madan
University of Massachusetts Amherst - Department of Finance, University of Maryland - Robert H. Smith School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 1,263 (10,439)
Citation 175

Abstract:

risk neutral skews, option pricing, individual stock options

6.

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 and Dilip B. Madan
University of Maryland - Robert H. Smith School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 1,238 (10,488)
Citation 29

Abstract:

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

7.
Downloads 1,115 ( 14,377)
Citation 31

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 1,115 (14,086)
Citation 31

Abstract:

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:

G10, G13, G14

8.

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 795 (23,142)
Citation 6

Abstract:

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

9.

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 (NYU) - Courant Institute of Mathematical Sciences, University of London - Economics, Mathematics and Statistics, University of Maryland - Robert H. Smith School of Business and Universite Paris
Downloads 774 (23,315)
Citation 24

Abstract:

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

10.

Crash Discovery in Stock and Option Markets

Number of pages: 58 Posted: 20 Apr 1999
Dilip B. Madan and Gurdip Bakshi
University of Maryland - Robert H. Smith School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 669 (29,313)
Citation 3

Abstract:

11.

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 598 (33,070)
Citation 12

Abstract:

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

12.

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 524 (40,736)

Abstract:

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

13.

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 (NYU) - Courant Institute of Mathematical Sciences, University of London - Economics, Mathematics and Statistics, University of Maryland - Robert H. Smith School of Business and Universite Paris
Downloads 499 (41,741)
Citation 13

Abstract:

Hunt Processes, Persistent Skewness, Convolution Transforms

14.

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 488 (41,551)
Citation 12

Abstract:

15.

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

Review of Financial Studies, Forthcoming
Number of pages: 49 Posted: 20 Sep 2001
Gurdip Bakshi, Nikunj Kapadia and Dilip B. Madan
University of Maryland - Robert H. Smith School of Business, University of Massachusetts Amherst - Department of Finance and University of Maryland - Robert H. Smith School of Business
Downloads 448 (42,550)
Citation 178

Abstract:

16.

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 418 (55,103)
Citation 1

Abstract:

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

17.

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

Journal of Business, Forthcoming
Number of pages: 36 Posted: 30 Dec 2004
Dilip B. Madan, Gurdip Bakshi and Frank Xiaoling Zhang
University of Maryland - Robert H. Smith School of Business, University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 417 (51,971)
Citation 37

Abstract:

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

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 276 (89,366)
Citation 5

Abstract:

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 133 (178,478)
Citation 5

Abstract:

risk measurement, deposit insurance

19.

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 406 (55,782)

Abstract:

Concave Distortions, Acceptable Cash Flows, Skewness and Kurtosis

20.

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 345 (63,003)
Citation 8

Abstract:

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

21.

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 334 (68,931)

Abstract:

SPSA, Concave Distortion, Correlated Levy Processes

22.

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 324 (68,497)
Citation 1

Abstract:

Exponential Compound Poisson, Asian Option, Laplace Transform

23.

Implied Liquidity - Towards Stochastic Liquidity Modeling and Liquidity Trading

Number of pages: 11 Posted: 14 Feb 2011
University of Barcelona - Faculty of Mathematics, University of Antwerp, University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 310 (70,100)

Abstract:

Liquidity, bid-ask pricing, conic finance

24.

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 300 (72,532)
Citation 7

Abstract:

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

25.

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 - Faculty of Business, Economics, and Statistics and University of Maryland - Robert H. Smith School of Business
Downloads 300 (37,215)
Citation 1

Abstract:

Concave Distortions, Liability Pricing, Bid and Ask Prices

26.

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 287 (79,718)
Citation 3

Abstract:

Variance Gamma, Local Levy, Barrier Pricing, Sato Process

27.

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 (NYU) - Courant Institute of Mathematical Sciences and University of Maryland - Robert H. Smith School of Business
Downloads 271 (84,024)
Citation 8

Abstract:

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

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 267 (92,671)
Citation 17

Abstract:

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

Pricing the Risk of Recovery in Default with APR Violation

Journal of Banking and Finance, Forthcoming
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

Abstract:

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

29.

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 260 (93,511)
Citation 2

Abstract:

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

30.

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 (NYU) - Courant Institute of Mathematical Sciences, University of London - Economics, Mathematics and Statistics, Universite Paris and University of Maryland - Robert H. Smith School of Business
Downloads 254 (89,827)
Citation 22

Abstract:

reverse martingale, quadratic variation, stochastic volatility

31.

Unified Treatment of Average-Rate Contingent Claims with Applications

Number of pages: 40 Posted: 30 Jul 1999
Dilip B. Madan and Gurdip Bakshi
University of Maryland - Robert H. Smith School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 254 (95,774)
Citation 1

Abstract:

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 247 (90,166)
Citation 4

Abstract:

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

33.

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

EFA 2001 Barcelona Meetings
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 246 (97,782)
Citation 4

Abstract:

34.

Efficient Pricing of Contingent Convertibles Under Smile Conform Models

Number of pages: 13 Posted: 05 Nov 2011
University of Barcelona, RiskConcile & KU Leuven, Universidad Autonoma de Madrid, University of Bath, University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 240 (77,459)
Citation 3

Abstract:

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

Heterogeneity in Beliefs and Volatility Tail Behavior

Number of pages: 37 Posted: 20 Mar 2012
Gurdip Bakshi, Dilip B. Madan and George Panayotov
University of Maryland - Robert H. Smith School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 231 (107,905)

Abstract:

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
Gurdip Bakshi, Dilip B. Madan and George Panayotov
University of Maryland - Robert H. Smith School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)

Abstract:

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

36.

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 225 (105,041)
Citation 9

Abstract:

Default Probabilities, Levy Models, CDS pricing

37.

Markets, Profits, Capital, Leverage and Return

Number of pages: 31 Posted: 20 Sep 2010
New York University (NYU) - Courant Institute of Mathematical Sciences, Morgan Stanley and University of Maryland - Robert H. Smith School of Business
Downloads 224 (106,449)
Citation 3

Abstract:

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: 29 Feb 2012
Gurdip Bakshi, Dilip B. Madan and George Panayotov
University of Maryland - Robert H. Smith School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 154 (157,896)
Citation 13

Abstract:

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
Gurdip Bakshi, Dilip B. Madan and George Panayotov
University of Maryland - Robert H. Smith School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 58 (306,757)
Citation 13

Abstract:

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

39.

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 (NYU) - Courant Institute of Mathematical Sciences and University of Maryland - Robert H. Smith School of Business
Downloads 211 (93,884)

Abstract:

40.

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 207 (93,511)

Abstract:

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

41.

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 207 (114,714)

Abstract:

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

42.

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 206 (114,714)
Citation 6

Abstract:

Deposit insurance, Procyclicality, Default probabilty, Loss distributions

43.

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 196 (119,020)
Citation 1

Abstract:

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

44.

Average Rate Contingent Claims with Emphasis on Catastrophe Loss Options

Journal of Financial and Quantitative Analysis
Number of pages: 31 Posted: 07 Aug 2001
Dilip B. Madan and Gurdip Bakshi
University of Maryland - Robert H. Smith School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 196 (122,957)
Citation 6

Abstract:

45.

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 186 (128,825)
Citation 1

Abstract:

46.

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
Gurdip Bakshi, Dilip B. Madan and George Panayotov
University of Maryland - Robert H. Smith School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 183 (129,448)
Citation 2

Abstract:

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

47.

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 182 (125,879)
Citation 6

Abstract:

Concave Distortions, Correlated Levy Processes, Bid and Ask Prices

48.

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 177 (130,134)
Citation 1

Abstract:

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

49.

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 175 (134,789)
Citation 9

Abstract:

Concave Distortions, Spread Options, Correlated Levy Processes

50.

An Asset Pricing Theory of Volatility Tail Behavior

Number of pages: 37 Posted: 15 Mar 2011
Gurdip Bakshi, Dilip B. Madan and George Panayotov
University of Maryland - Robert H. Smith School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 167 (134,789)
Citation 1

Abstract:

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

51.

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 163 (139,621)
Citation 1

Abstract:

Variance Gamma, Square Root Process, Volatility and Skewness

52.

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 155 (147,046)

Abstract:

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

53.

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 144 (113,661)

Abstract:

54.

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 133 (174,770)
Citation 1

Abstract:

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

55.

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 127 (179,022)
Citation 2

Abstract:

56.

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 121 (180,159)
Citation 1

Abstract:

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

57.

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 119 (133,416)

Abstract:

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

58.

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 118 (183,431)

Abstract:

self similarity, independent increments, term structure of moments

59.

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 116 (158,580)

Abstract:

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

60.

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 108 (196,498)

Abstract:

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

61.

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 107 (191,573)

Abstract:

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

62.

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 102 (194,054)

Abstract:

Variance Gamma, Markov Chains, Hunt Process, Reverse Expectations

63.

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 99 (172,771)

Abstract:

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

64.

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 93 (212,620)
Citation 4

Abstract:

65.

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 92 (229,317)
Citation 5

Abstract:

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

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 89 (239,443)

Abstract:

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
Downloads 0

Abstract:

capital requirements, risk-weighted assets

67.

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 88 (204,314)

Abstract:

68.

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 85 (234,265)

Abstract:

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

69.

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 77 (257,708)
Citation 2

Abstract:

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

70.

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 69 (265,966)
Citation 2

Abstract:

71.

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 68 (263,860)

Abstract:

72.

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 60 (251,989)

Abstract:

73.

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 47 (305,092)
Citation 1

Abstract:

74.

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 44 (324,523)

Abstract:

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 36 (377,533)

Abstract:

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
Downloads 0

Abstract:

distorted expectation, duality, convex optimization, acceptable risks, martingale conditions

76.

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 34 (153,383)

Abstract:

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

77.

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 33 (265,966)

Abstract:

Correlated Gamma Processes, Distorted Expectations, Conic Portfolio Theory

78.

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 27 (310,342)

Abstract:

Full Gaussian Copula, Independent Components Analysis, Correlated Variance Gamma

79.

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 27 (373,016)

Abstract:

80.

Hedging Insurance Books

Robert H. Smith School Research Paper No. RHS 2635602
Number of pages: 23 Posted: 26 Jul 2015
University of Maryland - Robert H. Smith School of Business, New York University (NYU) - Courant Institute of Mathematical Sciences, KU Leuven - Department of Mathematics and Independent
Downloads 25 (241,011)

Abstract:

Acceptable Risks, Probability Distortions, Variance Gamma Model

81.

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 (NYU) - Courant Institute of Mathematical Sciences, University of London - Economics, Mathematics and Statistics, University of Maryland - Robert H. Smith School of Business and Universite Paris
Downloads 24 (415,434)
Citation 25

Abstract:

82.

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 23 (369,388)

Abstract:

uniformly integrable martingale, variance gamma, stochastic perpetuity

83.

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 22 (283,281)

Abstract:

84.

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 21 (290,255)

Abstract:

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

85.

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 21 (425,446)

Abstract:

86.

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 20 (405,981)

Abstract:

87.

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 (NYU) - Courant Institute of Mathematical Sciences, New York University (NYU) and University of Maryland - Robert H. Smith School of Business
Downloads 17 (330,489)

Abstract:

Completely monotone function, Gauss Laguerre quadrature, Gap Risk Pricing

88.

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 9 (380,597)

Abstract:

Maximum Likelihood, Variance Gamma, Gamma Distribution

89.

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 0

Abstract:

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

90.

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 0 (397,055)

Abstract:

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

91.

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 0 (232,560)

Abstract:

Variance Gamma, Bilateral Gamma, OU Equation, Delta Hedging

92.

Conic Option Pricing

Number of pages: 33 Posted: 21 Mar 2017
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 0 (362,317)

Abstract:

93.

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 0 (324,523)

Abstract:

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

94.

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 0 (265,966)

Abstract:

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

95.

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 0 (272,191)

Abstract:

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

96.

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 0 (263,860)

Abstract:

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

97.

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 0 (345,765)

Abstract:

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

98.

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 0 (397,055)

Abstract:

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

99.

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 (NYU) - Courant Institute of Mathematical Sciences, New York University (NYU) and University of Maryland - Robert H. Smith School of Business
Downloads 0 (552,972)

Abstract:

completely monotone function, Gauss Laguerre quadrature, gap risk pricing, beta exposure pricing, CGMY model, negative binomial process

100.

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 0 (255,854)

Abstract:

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

101.

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 0 (246,402)

Abstract:

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

102.

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 0 (232,560)

Abstract:

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

103.

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 0 (246,402)

Abstract:

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

104.

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 0 (278,775)

Abstract:

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

105.

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 0 (138,899)

Abstract:

CVA, DVA, conic finance, bid and ask pricing

106.

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

Abstract:

107.

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

Abstract:

Sharpe ratios, investment alphas, skewness, kurtosis in returns

108.

The Fine Structure of Asset Returns: An Empirical Investigation

Journal of Business, Vol. 75, No. 2, April 2002
Posted: 03 May 2002
Hélyette Geman, Peter Carr, Dilip B. Madan and Marc Yor
University of London - Economics, Mathematics and Statistics, New York University (NYU) - Courant Institute of Mathematical Sciences, University of Maryland - Robert H. Smith School of Business and Universite Paris

Abstract:

109.

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

Abstract:

110.

Optimal Investment in Derivative Securities

Finance and Stochastics, Vol. 5 Issue 1
Posted: 19 Mar 2001
Peter Carr, Xing Jin and Dilip B. Madan
New York University (NYU) - Courant Institute of Mathematical Sciences, University of Maryland - Robert H. Smith School of Business and University of Maryland - Robert H. Smith School of Business

Abstract:

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

111.

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

Journal of Financial and Quantitative Analysis, March 2000
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

Abstract:

112.

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

Abstract:

113.

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

Abstract:

114.

Hedging Contingent Claims on Semimartingales

Finance and Stochastics, Vol. 3, Iss. 1, 1999
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

Abstract:

115.

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

Abstract:

116.

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

Abstract:

117.

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

Abstract:

118.

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

Abstract: