Dilip B. Madan
University of Maryland, College Park(US)
Publications by Year
Research Areas
Stochastic processes and financial applications, Financial Risk and Volatility Modeling, Financial Markets and Investment Strategies, Economic theories and models, Complex Systems and Time Series Analysis
Most-Cited Works
- → Option valuation using the fast Fourier transform(1999)2,262 cited
- → The Variance Gamma Process and Option Pricing(1998)1,888 cited
- → The Fine Structure of Asset Returns: An Empirical Investigation(2002)1,813 cited
- → The Variance Gamma (V.G.) Model for Share Market Returns(1990)1,559 cited
- → Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options(2003)1,452 cited
- → Stochastic Volatility for Lévy Processes(2003)903 cited
- → Spanning and derivative-security valuation(2000)