Dilip Bal Madan

Q: What Schools Are Affiliated With Dilip Bal Madan

Dilip Bal Madan is affiliated with the following schools: University of Maryland, College Park, University of Sydney

Dilip Bal Madan's AcademicInfluence.com Rankings

Dilip Bal Madan

Business

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#637

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Finance

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#64

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Dilip Bal Madan

Mathematics

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#8094

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Measure Theory

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#1212

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Mathematics

Dilip Bal Madan's Degrees

PhD Finance University of California, Berkeley
Masters Finance University of California, Berkeley
Bachelors Mathematics University of California, Berkeley

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Dilip Bal Madan's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Option valuation using the fast Fourier transform (1999) (2191)
The Variance Gamma Process and Option Pricing (1998) (1872)
The fine structure of asset returns: an empirical investigation (2002) (1806)
The Variance Gamma (V.G.) Model for Share Market Returns (1990) (1564)
Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2000) (1296)
Spanning and Derivative-Security Valuation (2000) (778)
Option Pricing, Interest Rates and Risk Management: Towards a Theory of Volatility Trading (2001) (620)
Pricing the risks of default (1998) (540)
Stochastic Volatility for Levy Processes (2001) (481)
Stochastic Volatility for Lévy Processes (2003) (476)
Optimal positioning in derivative securities (2001) (370)
1option Pricing with V. G. Martingale Components (1991) (360)
New Measures for Performance Evaluation (2007) (301)
Pricing and hedging in incomplete markets (2001) (285)
A Theory of Volatility Spreads (2006) (247)
Time Changes for Lévy Processes (2001) (243)
A Two-Factor Hazard Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads (2000) (199)
SELF‐DECOMPOSABILITY AND OPTION PRICING (2007) (185)
CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS (1994) (183)
Returns of Claims on the Upside and the Viability of U-Shaped Pricing Kernels (2009) (182)
Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates (2006) (173)
Pricing American options under variance gamma (2003) (162)
A note on sufficient conditions for no arbitrage (2005) (156)
MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE (2010) (153)
Pricing Continuous Asian Options: A Comparison of Monte Carlo and Laplace Transform Inversion Methods (1998) (151)
Pricing American Options: A Comparison of Monte Carlo Simulation Approaches ⁄ (2001) (145)
Pricing options on realized variance (2005) (138)
Investigating the Role of Systematic and Firm-Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models (2006) (132)
Making Markov martingales meet marginals: with explicit constructions (2002) (123)
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1 (1995) (116)
Option Pricing Using Variance Gamma Markov Chains (2002) (109)
Chebyshev Polynomial Approximations and Characteristic Function Estimation (1987) (98)
Representing the CGMY and Meixner Lévy processes as time changed Brownian motions (2008) (94)
ASSET PRICES ARE BROWNIAN MOTION: ONLY IN BUSINESS TIME (2001) (93)
The multinomial option pricing model and its Brownian and poisson limits (1989) (88)
Machine learning for quantitative finance: fast derivative pricing, hedging and fitting (2018) (86)
Estimation of risk-neutral and statistical densities by Hermite polynomial approximation: with an application to Eurodollar futures options (1996) (80)
A Discrete Time Equivalent Martingale Measure (1998) (75)
Mathematical Finance, Bachelier Congres 2000 (2002) (71)
Saddlepoint methods for option pricing (2009) (71)
An Empirical Examination of the Variance-Gamma Model for Foreign Currency Options (2005) (68)
A Characterization of Complete Security Markets On A Brownian Filtration1 (1991) (64)
Pricing the risk of recovery in default with absolute priority rule violation (2003) (64)
Conic coconuts: the pricing of contingent capital notes using conic finance (2010) (62)
On Correlating Lévy Processes (2009) (62)
Ito's Integrated Formula for Strict Local Martingales (2006) (52)
Investigating the Sources of Default Risk: Lessons from Empirically Evaluating Credit Risk Models (2001) (52)
Break on Through to the Single Side (2007) (51)
Sato processes and the valuation of structured products (2007) (51)
Asset pricing theory for two price economies (2014) (49)
Stochastic volatility, jumps and hidden time changes (2002) (46)
Pricing the Risk of Recovery in Default with Apr Violation (2001) (46)
Applied Conic Finance (2016) (45)
Hedging contingent claims on semimartingales (1999) (44)
Pricing Equity Default Swaps under an approximation to the CGMY L\'{e}% vy Model (2007) (44)
CGMY and Meixner Subordinators are Absolutely Continuous with respect to One Sided Stable Subordinators. (2006) (43)
Average Rate Claims with Emphasis on Catastrophe Loss Options (2002) (43)
Option prices as probabilities (2008) (42)
Simulation of estimates using the empirical characteristic function (1987) (41)
Option Pricing, Interest Rates and Risk Management: Purely Discontinuous Asset Price Processes (2001) (41)
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? (1997) (39)
Local Volatility Enhanced by a Jump to Default (2010) (36)
The Effect of Model Risk on the Valuation of Barrier Options (2003) (36)
Markets, Profits, Capital, Leverage and Return (2010) (36)
Structured products equilibria in conic two price markets (2011) (36)
A two price theory of financial equilibrium with risk management implications (2012) (35)
Estimating Parametric Models of Probability Distributions (2014) (33)
Asymmetries in Financial Returns (2017) (31)
Bid and ask prices as non-linear continuous time G-expectations based on distortions (2013) (31)
Unlimited Liabilities, Reserve Capital Requirements and the Taxpayer Put Option (2010) (31)
Coherent Measurement of Factor Risks (2006) (30)
From Black-Scholes formula, to local times and last passage times for certain submartingales (2008) (30)
Tenor Specific Pricing (2011) (29)
Credit and basket default swaps (2006) (29)
HEDGE FUND PERFORMANCE: SOURCES AND MEASURES (2009) (28)
Implied Liquidity - Towards Stochastic Liquidity Modeling and Liquidity Trading (2010) (28)
The Second Fundamental Theorem of Asset Pricing (1999) (28)
Pricing of contingent convertibles under smile conform models (2013) (28)
Two price economies in continuous time (2013) (27)
Equilibrium asset pricing: with non-Gaussian factors and exponential utilities (2006) (27)
Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying (1993) (27)
Measuring and Monitoring the Efficiency of Markets (2017) (26)
Unbounded liabilities, capital reserve requirements and the taxpayer put option (2012) (25)
From Local Volatility to Local Levy Models (2004) (24)
Heterogeneity in Beliefs and Volatility Tail Behavior (2011) (24)
The Distribution of Returns at Longer Horizons (2010) (24)
Bilateral Multiple Gamma Returns: Their Risks and Rewards (2018) (24)
Efficient Pricing of Contingent Convertibles Under Smile Conform Models (2011) (22)
The valuation of structured products using Markov chain models (2013) (22)
Capital requirements, acceptable risks and profits (2009) (22)
Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions (2016) (22)
Conserving Capital by Adjusting Deltas for Gamma in the Presence of Skewness (2010) (22)
Pricing and hedging basket options to prespecified levels of acceptability (2009) (21)
Arbitrage, martingales, and private monetary value (2000) (20)
Optimal investment in derivative securities (2001) (20)
Joint modeling of VIX and SPX options at a single and common maturity with risk management applications (2014) (20)
Hedging and Coordinated Risk Management : Evidence from Thrift Conversion 1 First Draft : May 1995 Current Draft : December 1995 (1996) (20)
Chapter 23 Asset Allocation with Multivariate Non-Gaussian Returns (2007) (20)
Pricing Asian Options: A Comparison Of Analytical And Monte Carlo Methods (1997) (19)
DETERMINING VOLATILITY SURFACES AND OPTION VALUES FROM AN IMPLIED VOLATILITY SMILE (2001) (19)
A Simple Stochastic Rate Model for Rate Equity Hybrid Products (2013) (18)
Conic Portfolio Theory (2015) (18)
Joint Risk Neutral Laws and Hedging (2010) (18)
A note on the estimation of nonsymmetric dynamic factor demand models (1989) (17)
Non Gaussian Models of Dependence in Returns (2009) (17)
Investing in Skews (2000) (17)
Instantaneous portfolio theory (2016) (17)
Convergence of BSΔEs driven by random walks to BSDEs: The case of (in)finite activity jumps with general driver (2014) (17)
Continuous‐time finance, by Merton, R.C., Basil Blackwell Inc., Cambridge, Ma, 1990 (1993) (16)
The Reduction Method for Valuing Derivative Securities (2002) (16)
CONIC FINANCE AND THE CORPORATE BALANCE SHEET (2011) (16)
On Dynamic Spectral Risk Measures and a Limit Theorem (2015) (16)
General Pareto Optimal Allocations and Applications to Multi-period Risks (2008) (15)
Making Markov Martingales Meet Marginals (2001) (14)
Modeling and Monitoring Risk Acceptability in Markets: The Case of the Credit Default Swap Market (2014) (14)
SIMPLE PROCESSES AND THE PRICING AND HEDGING OF CLIQUETS (2010) (14)
Factor Models for Option Pricing (2012) (14)
Pricing to acceptability: with applications to valuation of one’s own credit risk (2012) (14)
Pricing S&P 500 Index Options Using a Hilbert Space Basis (1997) (13)
Risk measurement in semimartingale models with multiple consumption goods (1988) (13)
Designing Countercyclical and Risk Based Aggregate Deposit Insurance Premia (2006) (12)
The Chebyshev Method for the Implied Volatility (2017) (12)
Advanced model calibration on bitcoin options (2019) (12)
Stochastic Processes in Finance (2010) (12)
Efficient Estimation of Expected Stock Price Returns (2017) (12)
A Simple Approach to Infer Recovery Rates with Apr Violation from Debt Spreads (2001) (12)
Benchmarking in two price financial markets (2016) (12)
What Type of Process Underlies Options ? (2002) (11)
Unifying Black–Scholes Type Formulae Which Involve Brownian Last Passage Times up to a Finite Horizon (2008) (11)
The S&P 500 Index as a Sato Process Travelling at the Speed of the VIX (2010) (11)
Conic Option Pricing (2017) (11)
Crash Discovery in Stock and Option Markets (1999) (11)
Multivariate Distributions for Financial Returns (2020) (11)
Short Positions, Rally Fears and Option Markets (2009) (11)
Adapted hedging (2016) (11)
An alternative expression for the Black-Scholes formula in terms of Brownian first and last passage times (2008) (10)
Conic Financial Markets and Corporate Finance (2010) (10)
The Distribution of Risk Aversion (2006) (10)
Pricing and Hedging in Incomplete Markets with Coherent Risk (2006) (10)
Risk-Neutralizing Statistical Distributions: With an Application to Pricing Reinsurance Contracts on Fdic Losses (2004) (10)
Self-decomposability of weak variance generalised gamma convolutions (2017) (10)
Calibration for Weak Variance-Alpha-Gamma Processes (2018) (10)
Cash Stream Valuation in the Face of Transaction Costs and Taxes (1991) (9)
Conic asset pricing and the costs of price fluctuations (2017) (9)
Self‐similarity in long‐horizon returns (2020) (9)
Informational Content in Interest Rate Term Structures (1993) (9)
On the Nature of Options (2000) (9)
Chebyshev polynomial approximations for characteristic function estimation: some theoretical supplements (1989) (9)
Selfsimilarity in Long Horizon Asset Returns (2018) (9)
Deducing the Implications of Jump Models for the Structure of Stock Market Crashes, Rallies, Jump Arrival Rates, and Extremes (2008) (9)
Decision theory with complex uncertainties (1988) (9)
Filtering Derivative Security Valuations from Market Prices (1997) (9)
Correlation and the pricing of risks (2007) (8)
Probing Option Prices for Information (2007) (8)
Systemic Risk Tradeoffs and Option Prices (2012) (8)
CAPM, Rewards, and Empirical Asset Pricing with Coherent Risk (2006) (8)
Put option prices as joint distribution functions in strike and maturity: the Black-Scholes case (2009) (8)
Options on realized variance and convex orders (2009) (8)
A tale of two volatilities (2008) (8)
Modeling Risk Weighted Assets and the Risk Sensitivity of Related Capital Requirements (2012) (8)
Risks in Return: a pure Jump Perspective (2005) (7)
Option Implied VIX, Skew and Kurtosis Term Structures (2020) (7)
Additive Processes with Bilateral Gamma Marginals (2020) (7)
Pricing in Incomplete Markets: From Absence of Good Deals to Acceptable Risk (2004) (7)
Stochastic Processes, Finance And Control: A Festschrift In Honor Of Robert J Elliott (2012) (7)
Illiquid Markets as a Counterparty: An Introduction to Conic Finance (2010) (7)
Pricing equity default swaps under the CGMY Lévy model (2005) (6)
Execution Costs and Efficient Execution Frontiers (2010) (6)
Capital Requirements, the Option Surface, Market, Credit and Liquidity Risk (2011) (6)
Equilibrium Asset Returns in Financial Markets (2018) (6)
Pricing and Hedging Options on Assets with Options on Related Assets (2020) (6)
TIME CHANGES HIDDEN IN BROWNIAN SUBORDINATION (2000) (6)
Jointly Modeling of VIX and SPX Options at a Single and Common Maturity with Risk Management Applications (2013) (6)
Two Processes for Two Prices (2013) (6)
Stochastic Stability in Macro Models (1989) (6)
From credit valuation adjustments to credit capital commitments (2012) (5)
ON VALUING STOCHASTIC PERPETUITIES USING NEW LONG HORIZON STOCK PRICE MODELS DISTINGUISHING BOOMS, BUSTS, AND BALANCED MARKETS (2016) (5)
Option overlay strategies (2015) (5)
Approaches to the Solution of Stochastic Intertemporal Consumption Models (1995) (5)
Laplacian Risk Management (2016) (5)
Inconsistent Theories as Scientific Objectives (1983) (5)
Recovering Statistical Theory in the Context of Model Calibrations (2013) (5)
Measures of risk aversion with many commodities (1983) (5)
On Pricing Contingent Capital Notes (2012) (5)
Nonlinear Valuation and Non-Gaussian Risks in Finance (2022) (5)
Pricing Reinsurance Contracts on FDIC Losses (2008) (5)
Dynamic conic hedging for competitiveness (2015) (5)
Understanding option prices (2004) (5)
The Structure of Financial Returns (2019) (5)
Conic Trading in Markovian Steady State (2016) (5)
Signed Infinitely Divisible Signed Probability Models in Finance (2019) (5)
Pricing of Swaptions in Affine Term Structures with Stochastic Volatility (2007) (4)
On the Pricing of Contingent Capital Notes (2011) (4)
Relativities in Financial Markets (2016) (4)
Risk premia in option markets (2015) (4)
Semi-Static Hedging of Path-Dependent Securities (2001) (4)
Spanning and derivative-security valuation q (2000) (4)
On the modelling of option prices (2001) (4)
Two price economic equilibria and financial market bid/ask prices (2020) (4)
Robust Replication of Default Contingent Claims (2008) (4)
Arbitrage Free Approximations to Candidate Volatility Surface Quotations (2019) (4)
Nonrandom price movements (2016) (4)
Introduction: Special Issue on Pricing the Risks of Deposit Insurance (2003) (4)
Optimal Derivative Investment in Continuous Time (1999) (4)
Resurrecting the Discounted Cash Equivalent Flow (1982) (4)
Hedging Insurance Books (2015) (4)
Accounting to Acceptability: With Applications to the Pricing of Ones Own Credit Risk (2009) (4)
Variance Swap Portfolio Theory (2009) (4)
High Dimensional Markovian Trading of a Single Stock (2021) (4)
Testing for Random Pairing (1983) (4)
Pricing options on mean reverting underliers (2016) (3)
Average Rate Contingent Claims with Emphasis on Catastrophe Loss Options (2001) (3)
Quadratic Variation (2020) (3)
A 'Gormanesque' Approach to the Solution of Intertemporal Consumption Models (1989) (3)
Monotone and 1–1 sets (1982) (3)
Hedge Fund Replication Beyond Alphas and Betas (2007) (3)
Project Evaluation and Accounting Income Forecasts (1985) (3)
Utility correlations in probabilistic choice modelling (1986) (3)
Capital Adequacy of Financial Enterprises (2011) (3)
Capital Structure and the Design of Managerial Compensation (1994) (3)
Average-Rate Contingent Claims (1998) (3)
Financial equilibrium with non-linear valuations (2017) (3)
Tenor Specic Pricing (2011) (3)
Zero covariation returns (2017) (3)
Differentiating Asset Classes (2017) (3)
Marking to two-price markets (2016) (2)
Moments of Wiener integrals for subordinators (2012) (2)
Bid and ask prices as non-linear continuous time G-expectations based on distortions (2014) (2)
An Asset Pricing Theory of Volatility Tail Behavior (2010) (2)
S&P 500 Index Option Surface Drivers and their Real World and Risk Neutral Covariations (2010) (2)
Unified Treatment of Average-Rate Contingent Claims with Applications (1999) (2)
Joint risk-neutral laws and hedging (2011) (2)
Nonlinear equity valuation using conic finance and its regulatory implications (2018) (2)
A two price theory of financial equilibrium with risk management implications (2012) (2)
Option Surface Econometrics with Applications (2021) (2)
On consistent valuations based on distorted expectations: from multinomial random walks to L\'{e}vy processes (2013) (2)
Monitored financial equilibria (2004) (2)
Adjusting Exponential Lévy Models Toward the Simultaneous Calibration of Market Prices for Crash Cliquets (2016) (2)
Momentum and reversion in risk neutral martingale probabilities (2014) (2)
Multivariate Bilateral Gamma, Copulas, CoSkews and CoKurtosis (2020) (2)
Acceptability Bounds for Forward Starting Options Using Disciplined Convex Programming (2014) (2)
General Financial Economic Equilibria (2020) (2)
Portfolio theory for squared returns correlated across time (2016) (2)
Joint Calibration of SPX and VIX Option Surfaces: With Applications to Pricing and Hedging Equity and Volatility Linked Hybrid Notes (2014) (2)
AN ALTERNATIVE APPROACH FOR VALUING CONTINUOUS CASH FLOWS (2002) (2)
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP) (2021) (2)
Conic CVA and DVA: Conic CVA and DVA (2016) (2)
Financial Mathematics Principles (2016) (2)
Implied Price Processes Anchored in Statistical Realizations (2021) (2)
Conic CVA and DVA (2015) (2)
Two price economies in continuous time (2013) (2)
Errata: Instantaneous Portfolio theory (2021) (2)
Optimal Duration and Speed in the Long Run (1987) (1)
Measure distorted arrival rate risks and their rewards (2017) (1)
Risk-neutralizing a loss distribution: Pricing the FDIC's reinsurance risk (2003) (1)
COMPOUND POISSON MODELS FOR ECONOMIC VARIABLE MOVEMENTS (2016) (1)
Differentiating a Determinant (1982) (1)
On the monotonicity of the labour-capital ratio in Sraffa's model (1990) (1)
Risks and Their Rewards in Financial Markets: A Two Price Perspective (2016) (1)
Maximally Acceptable Portfolios (2014) (1)
STOCHASTIC STABILITY IN A RATIONAL EXPECTATIONS MODEL OF A SMALL OPEN ECONOMY (1986) (1)
Jointly Modeling American Depository Receipts, the Local Stock and the Local Price of the US Dollar (2012) (1)
On Valuing Stochastic Perpetuities Using New Long Horizon Stock Price Models Distinguishing Booms, Busts and Balanced Markets (2012) (1)
Parameter Estimation for Weak Variance-Alpha-Gamma Processes (2018) (1)
Spectral and Cubature Methods in Finance and Econometrics (2009) (1)
Price-to-Earnings Ratio and Expected Earnings Growth Rate in Global Equity Markets (2000) (1)
Pricing Product Options and Using Them to Complete Markets for Functions of Two Underlying Asset Prices (2021) (1)
Optimal Positioning in Derivative Securities 1 (1998) (1)
Two price economic equilibria and financial market bid/ask prices (2020) (1)
Incomplete Diversification and Asset Pricing (2002) (1)
The theory of good-deal pricing in financial markets (2002) (1)
On Pricing Risky Loans and Collateralized Fund Obligations (2009) (1)
Jointly modeling the prices of American depository receipts, the local stock and the US dollar (2012) (1)
Risk Neutral Jump Arrival Rates Implied in Option Prices and Their Models (2021) (1)
Estimating Parametric Models of Probability Distributions (2014) (1)
Structured products equilibria in conic two price markets (2012) (1)
Enhancing Enterprise Value by Trading Options (2017) (1)
Signal Densities for Financial Return Data∗ (2020) (1)
Stochastic intertemporal utility maximization and the consumption function (1986) (1)
Exposure Valuations and their Capital Requirements (2021) (1)
Lower and Upper Pricing of Financial Assets (2020) (1)
Financial Institutions Center Pricing the Risks of Default (1994) (0)
Equity quantile upper and lower swaps (2011) (0)
The measurement of capital utilisation rates (1985) (0)
Marking to two-price markets (2015) (0)
Asset pricing theory for two price economies (2014) (0)
Strike asymptotics for Laplace implied volatilities (2017) (0)
Nonlinear equity valuation using conic finance and its regulatory implications (2018) (0)
Financial equilibrium with non-linear valuations (2017) (0)
Cutting Edge. Option Pricing Local Volatility (0)
Dynamic conic hedging for competitiveness (2016) (0)
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation (2017) (0)
Financial jeopardy (2017) (0)
OPTION SURFACE STATISTICS WITH APPLICATIONS (2022) (0)
Measuring the Benefits of Diversification Across Portfolios (2021) (0)
Advanced model calibration on bitcoin options (2019) (0)
Measuring Dependence in a Set of Asset Returns (2022) (0)
Product Options (2021) (0)
2 The Marginal Default Time Density (2004) (0)
Option Surfaces Through the Lens of the Black Merton Scholes Model (2016) (0)
Diversi ̄ cation and Asset Pricing (2002) (0)
Conic asset pricing and the costs of price fluctuations (2018) (0)
Incomplete Diversication and Asset Pricing (2002) (0)
Adapted hedging (2016) (0)
Financial Time (2022) (0)
Filtering Response Directions (2020) (0)
A New Dawn (2022) (0)
Volume Information (1983) (0)
Validation of profit and loss attribution models for equity derivatives (2018) (0)
Simplicity notions in recursion theory (1975) (0)
85 @bullet Risk @bullet August 2000 Model Set-up (0)
Calibration for Weak Variance-Alpha-Gamma Processes (2018) (0)
Factor Models for Option Pricing (2011) (0)
MULTI-ASSET STOCHASTIC LOCAL VARIANCE CONTRACTS PETER CARR New York University (2010) (0)
Enterprise, Capital and Risk (2017) (0)
Applications of Conic Finance (2016) (0)
Title of dissertation: THREE CHAPTERS ON HEDGE FUND RESERVE CAPITAL AND SYSTEMIC RISK (2011) (0)
Multiple Priors and Asset Pricing (2009) (0)
Risk premia in option markets (2016) (0)
Risk Attractiveness (2023) (0)
Double Gamma Stochastic Volatility Model in Discrete Time (2010) (0)
Option Returns (2022) (0)
Optimal Positioning in Derivative Securities 1 Introduction (1999) (0)
Time‐Changed Lévy Process (2010) (0)
Anchoring Options on Variance and Volatility to Terminal Risk Neutral Distribution (2022) (0)
Hedging Insurance Contracts (2016) (0)
Analytical Pricing of Swaption in Affine Term Structures with Stochastic Volatility (2010) (0)
Correlated Squared Returns (2020) (0)
Machine Learning Based Trading Strategies (2019) (0)
The valuation of corporations: a derivative pricing perspective (2023) (0)
Dynamic signal selection strategies (2022) (0)
MaMaMoMaMa: BTC Options (2018) (0)
Adjusting Exponential Levy Models Towards the Simultaneous Calibration of Market Prices for Crash Cliquets (2014) (0)
Three Non-Gaussian Models of Dependence in Returns (2015) (0)
S&P 500 index option surface drivers and their risk neutral and real world quadratic covariations (2012) (0)
Benchmarking in two price financial markets (2016) (0)
Stochastic Processes and Financial Models (2016) (0)
Asset Pricing In An Incomplete Market With A Locally Risky Discount Factor (1994) (0)
The economics of time as it is embedded in the prices of options§ (2023) (0)
Risky debt prices and term-structure of credit spreads (1998) (0)
Modeling the Bid and Ask Prices of Options (2021) (0)
Financial Jeorpardy (2016) (0)
Leveraged Lévy processes as models for stock prices (2010) (0)
It Takes Two to Tango: Estimation of the Zero-Risk Premium Strike of a Call Option Via Joint Physical and Pricing Density Modeling (2020) (0)
Erratum (2009) (0)
Risk Conscious Investment (2022) (0)
Machine Trading: Theory, Advances, and Applications (2020) (0)
Quadratic variation, models, applications and lessons (2021) (0)
Stochastic Power Variations in Financial Returns (2022) (0)
Arrival Rate Functions (2016) (0)
The relevance of a probabilistic form of invertibility (1980) (0)
Pricing by Arbitrage When All Assets Are Risky: A Theory of Latent Interest Rate and Evidence (1998) (0)
Corporate Valuation: Analyzing the Theoretical Valuations of Stylized Corporates (2021) (0)
Tempered Fractional Lévy Processes and Option Pricing (2022) (0)
Two sided efficient frontiers at multiple time horizons (2021) (0)
Negative Jump Intensities in Financial Return Data (2019) (0)
Folly and Fantasy in Finance (2022) (0)

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Published Works

What Schools Are Affiliated With Dilip Bal Madan?

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