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Local Volatility Enhanced by a Jump to Default

Carr, Peter; Madan, Dilip B. - 2010

procedure is implemented on prices of credit default swaps and equity options for GM and FORD over the period October 2004 to …

Persistent link: https://www.econbiz.de/10014045765

Variance Swap Portfolio Theory

Madan, Dilip B. - 2010

Optimal portfolios of variance swaps are constructed taking account of both autocorrelation and cross asset dependencies. Market prices of variance swaps are extracted from option surface calibrations. The methods developed permit simulation of cash flows to arbitrary portfolios of variance...

Persistent link: https://www.econbiz.de/10014045767

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

Eberlein, Ernst; Gehrig, Thomas; Madan, Dilip B. - 2010

The theory of pricing to acceptability developed for incomplete markets by Cherny and Madan (2009b) is applied to marking ones own default risk. It is observed in agreement with Heckman (2004), that assets and liabilities are not to be priced under fair value accounting principles at the same...

Persistent link: https://www.econbiz.de/10014045769

Pricing and Hedging Basket Options to Prespecified Levels of Acceptability

Madan, Dilip B. - 2011

The concept of stress levels embedded in S&P 500 options are defined and illustrated with explicit constructions. The … scaling to the option maturity. Static hedging of basket options to a particular level of acceptability is shown to …

Persistent link: https://www.econbiz.de/10014045771

Pricing Options on Mean Reverting Underliers

Madan, Dilip B. - 2016

equation driven by centered variance gamma shocks. VIX options are calibrated using the square root process. The OU equation … driven by centered variance gamma shocks is applied in pricing options on the ratio of the stock price for J. P. Morgan Chase … option pricing model to market data, we indirectly infer the prices for stock options on JPM from the prices for options on …

Persistent link: https://www.econbiz.de/10012996895

Relativities in Financial Markets

Madan, Dilip B. - 2016

in deflated price processes is then addressed. Applications include the pricing of options on relativities and the asset …

Persistent link: https://www.econbiz.de/10012998891

Financial Jeorpardy

Madan, Dilip B. - 2016

by the solution of a partial integro differential equation. Options on the stock are then options on this function of the …

Persistent link: https://www.econbiz.de/10013004139

Portfolio Theory for Squared Returns Correlated Across Time

Eberlein, Ernst - 2016

modeling permits access to skewness via randomized drifts. Optimal portfolios maximize a conservative market value seen as a …

Persistent link: https://www.econbiz.de/10013004140

Option Surfaces Through the Lens of the Black Merton Scholes Model

Madan, Dilip B. - 2017

Summarizing option surfaces using parametric representations, their movements are decomposed into a number of effects. Arguments are presented for treating traditional sensitivity attribution terms as regression factors leading to significant attribution improvements

Persistent link: https://www.econbiz.de/10012966857

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

Madan, Dilip B. - 2017

Prices in financial markets must move continuously and surprisingly to support their levels with returns. Consequently the function announcing the arrival rate of moves of different sizes becomes the equilibrium object, necessitating a reformulation of risk reward concepts in these terms. It is...

Persistent link: https://www.econbiz.de/10012967217