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Conic coconuts : the pricing of contingent capital notes using conic finance
Madan, Dilip B.; Schoutens, Wim - In: Mathematics and financial economics 4 (2011) 2, pp. 87-106
Persistent link: https://www.econbiz.de/10008987827
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The S&P 500 index as a Sato process travelling at the speed of the VIX
Madan, Dilip B.; Yor, Marc - In: Applied mathematical finance 18 (2011) 3/4, pp. 227-244
Persistent link: https://www.econbiz.de/10009381935
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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
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Markets, profits, capital, leverage and return
Carr, Peter; Madan, Dilip B.; Alvarez, Juan Jose Vicente - In: Journal of risk 14 (2011/12) 1, pp. 95-122
Persistent link: https://www.econbiz.de/10011301314
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Pricing to acceptability : with applications to valuation of one’s own credit risk
Eberlein, Ernst; Gehrig, Thomas; Madan, Dilip B. - In: Journal of risk 15 (2012/13) 1, pp. 91-120
Persistent link: https://www.econbiz.de/10009657963
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Factor models for option pricing
Carr, Peter; Madan, Dilip B. - In: Asia-Pacific financial markets 19 (2012) 4, pp. 319-329
Persistent link: https://www.econbiz.de/10009705364
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Implied liquidity: towards stochastic liquidity modelling and liquidity trading
Corcuera, José Manuel; Guillaume, Florence; Madan, Dilip B. - In: International Journal of Portfolio Analysis and Management 1 (2012) 1, pp. 80-91
Persistent link: https://www.econbiz.de/10009706521
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Simple processes and the pricing and hedging of Cliquets
Madan, Dilip B.; Schoutens, Wim - In: Mathematical finance : an international journal of … 23 (2013) 1, pp. 198-216
Persistent link: https://www.econbiz.de/10009712550
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A simple stochastic rate model for rate equity hybrid products
Eberlein, Ernst; Madan, Dilip B.; Pistorius, Martijn; … - In: Applied mathematical finance 20 (2013) 5/6, pp. 461-488
Persistent link: https://www.econbiz.de/10010235587
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Modeling risk-weighted assets and the risk sensitivity of related capital requirements
Eberlein, Ernst; Madan, Dilip B.; Schoutens, Wim - In: Journal of risk 16 (2013) 2, pp. 3-23
Persistent link: https://www.econbiz.de/10010237932