Dilip Madan

15 catalog papers. Identity-linked publications and additional name matches are distinguished below.

ORCID: 0000-0002-0033-9077

University of Maryland, Smith School of Business, College Park, MD 20742

Publications

• Heterogeneity in Beliefs and Volatility Tail Behavior — Journal of Financial and Quantitative Analysis 2015
• Returns of claims on the upside and the viability of U-shaped pricing kernels — Journal of Financial Economics 2010 (name-matched, not ORCID-linked)
• New Measures for Performance Evaluation — The Review of Financial Studies 2009
• A Theory of Volatility Spreads — Management Science 2006
• Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options — The Review of Financial Studies 2003
• Average Rate Claims with Emphasis on Catastrophe Loss Options — Journal of Financial and Quantitative Analysis 2002
• A Two-Factor Hazard Rate Model for PricingRisky Debt and the Term Structure of CreditSpreads — Journal of Financial and Quantitative Analysis 2000
• Spanning and derivative-security valuation — Journal of Financial Economics 2000
• The Variance Gamma Process and Option Pricing — Review of Finance 1998
• Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? — Review of Finance 1997
• Chebyshev Polynomial Approximations for Characteristic Function Estimation: Some Theoretical Supplements — Journal of the Royal Statistical Society: Series B (Statistical Methodology) 1989
• The Multinomial Option Pricing Model and Its Brownian and Poisson Limits — The Review of Financial Studies 1989
• Optimal Duration and Speed in the Long Run — The Review of Economic Studies 1987
• Chebyshev Polynomial Approximations and Characteristic Function Estimation — Journal of the Royal Statistical Society: Series B (Statistical Methodology) 1987
• Testing for Random Pairing — Journal of the American Statistical Association 1983