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Stochastic processes in finance

Madan, Dilip B. - In: Annual review of financial economics 2 (2010), pp. 277-314

Persistent link: https://www.econbiz.de/10008797755

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

Asset pricing theory for two price economies

Madan, Dilip B. - In: Annals of finance 11 (2015) 1, pp. 1-35

Persistent link: https://www.econbiz.de/10011376162

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

Marking to two-price markets

Madan, Dilip B. - In: The journal of asset management 17 (2016) 2, pp. 100-118

Persistent link: https://www.econbiz.de/10011442967

Risk premia in option markets

Madan, Dilip B. - In: Annals of finance 12 (2016) 1, pp. 71-94

Persistent link: https://www.econbiz.de/10011555434

Benchmarking in two price financial markets

Madan, Dilip B. - In: Annals of finance 12 (2016) 2, pp. 201-219

Persistent link: https://www.econbiz.de/10011555706

Conserving capital by adjusting deltas for gamma in the presence of skewness

Madan, Dilip B. - In: Journal of risk and financial management : JRFM 3 (2010) 1, pp. 1-25

An argument for adjusting Black Scholes implied call deltas downwards for a gamma exposure in a left skewed market is presented. It is shown that when the objective for the hedge is the conservation of capital ignoring the gamma for the delta position is expensive. The gamma adjustment factor in...

Persistent link: https://www.econbiz.de/10011555954

Modeling and monitoring risk acceptability in markets : the case of the credit default swap market

Madan, Dilip B. - In: Journal of banking & finance 47 (2014), pp. 63-73

Persistent link: https://www.econbiz.de/10010506505

Variance swap portfolio theory

Madan, Dilip B. - In: Contemporary quantitative finance : essays in honour of …, (pp. 183-194). 2010

Persistent link: https://www.econbiz.de/10008749280