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Mathematical finance - Bachelier Congress, 2000 : selected papers from the first World Congress of the Bachelier Finance Society, Paris, June 29 - July 1, 2000

Geman, Hélyette (contributor); Madan, Dilip B. (contributor) - 2002

Persistent link: https://www.econbiz.de/10001597059

Machine learning for quantitative finance : fast derivative pricing, hedging and fitting

De Spiegeleer, Jan; Madan, Dilip B.; Reyners, Sofie; … - In: Quantitative finance 18 (2018) 10, pp. 1635-1643

Persistent link: https://www.econbiz.de/10012259802

Applied conic finance

Madan, Dilip B.; Schoutens, Wim - 2016

numerous real-world applications, including portfolio theory, option positioning, hedging, and trading contexts. This book …-world applications, including portfolio theory, option positioning, hedging, and trading contexts. This book offers a quantitative and …

Persistent link: https://www.econbiz.de/10013547026

Asymmetries in financial returns

Madan, Dilip B.; Wang, King - In: International journal of financial engineering 4 (2017) 4, pp. 1-37

Persistent link: https://www.econbiz.de/10011807103

Pricing and hedging options on assets with options on related assets

Madan, Dilip B.; Wang, King - In: The journal of derivatives : JOD 29 (2021) 1, pp. 27-47

Persistent link: https://www.econbiz.de/10012612942

Pricing and Hedging Options on Assets with Options on Related Assets

Madan, Dilip B.; Wang, King - 2020

The problem studied is the pricing of options on the CBOE Skew index. The option pricing theory developed seeks to hedge the risk using positions in the market for options on a related asset and the option is then priced at the cost of this hedge. The theory is applied to pricing VIX options...

Persistent link: https://www.econbiz.de/10014095529

Self-decomposability and option pricing

Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc - In: Mathematical finance : an international journal of … 17 (2007) 1, pp. 31-57

Persistent link: https://www.econbiz.de/10003543101

On pricing contingent capital notes

Madan, Dilip B. - In: Recent advances in financial engineering 2011: …, (pp. 21-42). 2012

Persistent link: https://www.econbiz.de/10009573490

Representing the CGMY and Meixner Lévy processes as time changed Brownian motions

Madan, Dilip B.; Yor, Marc - In: The journal of computational finance 12 (2008) 1, pp. 27-47

Persistent link: https://www.econbiz.de/10009534636

Recovering statistical theory in the context of model calibrations

Madan, Dilip B. - In: Journal of financial econometrics : official journal of … 13 (2015) 2, pp. 260-292

Persistent link: https://www.econbiz.de/10011339334

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