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Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying
Chesney, Marc; Elliott, Robert J.; Madan, Dilip B.; … - In: Mathematical finance : an international journal of … 3 (1993) 2, pp. 85-99
Persistent link: https://www.econbiz.de/10001333352
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Contingent claims valued and hedged by pricing and investing in a basis
Madan, Dilip B. - In: Mathematical finance : an international journal of … 4 (1994) 3, pp. 223-245
Persistent link: https://www.econbiz.de/10001185098
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Option pricing using the term structure of interest rates to hedge systematic discontinuities in asset returns
Jarrow, Robert A. - In: Mathematical finance : an international journal of … 5 (1995) 4, pp. 311-336
Persistent link: https://www.econbiz.de/10001189278
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Mean-variance hedging and numéraire
Gouriéroux, Christian - In: Mathematical finance : an international journal of … 8 (1998) 3, pp. 179-200
Persistent link: https://www.econbiz.de/10001245923
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A discrete time equivalent martingale measure
Elliott, Robert J. - In: Mathematical finance : an international journal of … 8 (1998) 2, pp. 127-152
Persistent link: https://www.econbiz.de/10001242839
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Modeling and monitoring risk acceptability in markets : the case of the credit default swap market
Madan, Dilip B. - In: Journal of banking & finance 47 (2014), pp. 63-73
Persistent link: https://www.econbiz.de/10010506505
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Pricing the risk of recovery in default with absolute priority rule violation
Unal, Haluk; Madan, Dilip B.; Güntay, Levent - In: Journal of banking & finance 27 (2003) 6, pp. 1001-1025
Persistent link: https://www.econbiz.de/10001757805
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Time changes for Lévy processes
Geman, Hélyette; Madan, Dilip B.; Yor, Marc - In: Mathematical finance : an international journal of … 11 (2001) 1, pp. 79-96
Persistent link: https://www.econbiz.de/10001650919
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The second fundamental theorem of asset pricing
Jarrow, Robert A.; Jin, Xing; Madan, Dilip B. - In: Mathematical finance : an international journal of … 9 (1999) 3, pp. 255-273
Persistent link: https://www.econbiz.de/10001444170
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Migration correlation : definition and efficient estimation
Gagliardini, Patrick; Gouriéroux, Christian - In: Journal of banking & finance 29 (2005) 4, pp. 865-894
Persistent link: https://www.econbiz.de/10002600307