Dilip Madan

Affiliations: 
Applied Mathematics and Scientific Computation University of Maryland, College Park, College Park, MD 
Area:
Mathematics, Finance
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"Dilip Madan"
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Publications

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MADAN DB. (2016) CONIC PORTFOLIO THEORY International Journal of Theoretical and Applied Finance
Madan DB, Yor M. (2016) On valuing stochastic perpetuities using new long horizon stock price models distinguishing booms, busts, and balanced markets Mathematical Finance. 26: 296-328
Madan DB. (2016) Marking to two-price markets Journal of Asset Management. 17: 100-118
Bakshi G, Madan D, Panayotov G. (2016) Heterogeneity in Beliefs and Volatility Tail Behavior Journal of Financial and Quantitative Analysis. 50: 1389-1414
Madan D, Pistorius M, Stadje M. (2016) Convergence of BSΔEs driven by random walks to BSDEs: The case of (in)finite activity jumps with general driver Stochastic Processes and Their Applications. 126: 1553-1584
Madan DB, Wang K. (2016) Nonrandom price movements Finance Research Letters. 17: 103-109
Madan DB, Pistorius M, Schoutens W. (2016) Dynamic conic hedging for competitiveness Mathematics and Financial Economics. 1-35
Madan DB. (2015) Recovering statistical theory in the context of model calibrations Journal of Financial Econometrics. 13: 260-292
Madan DB, Sharaiha YM. (2015) Option overlay strategies Quantitative Finance. 15: 1175-1190
Kumar R, Madan DK, Sikka JS. (2015) Wave propagation in an irregular fluid saturated porous anisotropic layer sandwiched between a homogeneous layer and half space Wseas Transactions On Applied and Theoretical Mechanics. 10: 62-70
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