Dilip B. Madan

Publication Activity (10 Years)

Years Active: 1999-2021
Publications (10 Years): 1

Top Topics

Filtering Process

Frequency Domain

Top Venues

SIAM J. Financial Math.

Publications

Robert J. Elliott, Dilip B. Madan, King Wang
Filtering Response Directions. SIAM J. Financial Math. 12 (3) (2021)
Peter Carr, Dilip B. Madan
Local Volatility Enhanced by a Jump to Default. SIAM J. Financial Math. 1 (1) (2010)
Gurdip Bakshi, Dilip B. Madan
A Theory of Volatility Spreads. Manag. Sci. 52 (12) (2006)
Peter Carr, Hélyette Geman, Dilip B. Madan, Marc Yor
Pricing options on realized variance. Finance Stochastics 9 (4) (2005)
Hélyette Geman, Dilip B. Madan, Marc Yor
Stochastic volatility, jumps and hidden time changes. Finance Stochastics 6 (1) (2002)
Peter Carr, Xing Jin, Dilip B. Madan
Optimal investment in derivative securities. Finance Stochastics 5 (1) (2001)
Robert Jarrow, Dilip B. Madan
Hedging contingent claims on semimartingales. Finance Stochastics 3 (1) (1999)