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Efficient estimation of expected stock price returns

Madan, Dilip B. - In: Finance research letters 23 (2017), pp. 31-38

Persistent link: https://www.econbiz.de/10011808349

Stochastic processes in finance

Madan, Dilip B. - In: Annual review of financial economics 2 (2010), pp. 277-314

Persistent link: https://www.econbiz.de/10008797755

The S&P 500 index as a Sato process travelling at the speed of the VIX

Madan, Dilip B.; Yor, Marc - In: Applied mathematical finance 18 (2011) 3/4, pp. 227-244

Persistent link: https://www.econbiz.de/10009381935

Deducing the implications of jump models for the structure of stock market crashes, rallies, jump arrival rates, and extremes

Bakshi, Gurdip S.; Madan, Dilip B.; Panayotov, George - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 3, pp. 380-396

Persistent link: https://www.econbiz.de/10008736201

Markets as a counterparty : an introduction to conic finance

Madan, Dilip B.; Cherny, Alexander - In: International journal of theoretical and applied finance 13 (2010) 8, pp. 1149-1177

Persistent link: https://www.econbiz.de/10008906182

Conic finance and the corporate balance sheet

Madan, Dilip B.; Schoutens, Wim - In: International journal of theoretical and applied finance 14 (2011) 5, pp. 587-610

Persistent link: https://www.econbiz.de/10009298528

Heterogeneity in beliefs and volatility tail behavior

Bakshi, Gurdip S.; Madan, Dilip B.; Panayotov, George - In: Journal of financial and quantitative analysis : JFQA 50 (2015) 6, pp. 1389-1414

Persistent link: https://www.econbiz.de/10011479441

Nonrandom price movements

Madan, Dilip B.; Wang, King - In: Finance research letters 17 (2016), pp. 103-109

Persistent link: https://www.econbiz.de/10011596246

On valuing stochastic perpetuities using new long horizon stock price models distinguishing booms, busts, and balanced markets

Madan, Dilip B.; Yor, Marc - In: Mathematical finance : an international journal of … 26 (2016) 2, pp. 296-328

Persistent link: https://www.econbiz.de/10011577146

Stochastic Processes in Finance

Madan, Dilip B. - 2010

Stochastic processes arising in the description of the risk-neutral evolution of equity prices are reviewed. Starting with Brownian motion, I review extensions to Lévy and Sato processes. These processes have independent increments; the former are homogeneous in time, whereas the latter are...

Persistent link: https://www.econbiz.de/10013136139