Sie sind hier: FRIAS Interdisciplinary … Fellows Dilip Madan

Dilip Madan

Department of Finance
Robert H. Smith School of Business
University of Maryland, USA


Dilip Madan is Professor of Finance at the Robert H. Smith School of Business. He specializes in Mathematical Finance. Currently he serves as a consultant to Morgan Stanley, and Caspian Capital LLC. He has also consulted with Citigroup, Bloomberg, the FDIC and Wachovia Securities. He is a founding member and Past President of the Bachelier Finance Society. He received the 2006 von Humboldt award in applied mathematics, and was the 2007 Risk Magazine Quant of the Year. He is the Managing Editor of Mathematical Finance,

Co-editor of the Review of Derivatives Research, and Associate Editor for the Journal of Credit Risk, and Quantitative Finance. Recent major contributions have appeared in Mathematical Finance, Finance and Stochastics, Quantitative Finance, The Journal of Computational Finance, among other Journals.

(1990) "The V.G. Model for Share Market Returns," Journal of Business, 63, 4, 511-52 (with E. Seneta)

(1998) "The Variance Gamma Process and Option Pricing," (with Peter Carr and Eric Chang) European Finance Review, 2, 79-105

(1999) "Option Valuation Using the Fast Fourier Transform," (with Peter Carr) Journal of Computational Finance, 2, 61- 73

(2001) "Pricing and Hedging in Incomplete Markets," (with P. Carr and H. Geman) Journal of Financial Economics, 62, 131-167

(2002) "The Fine Structure of Asset Returns: An Empirical Investigation," (with P. Carr, H. Geman and M. Yor) Journal of Business, 75, 305-332

(2003) “Stochastic Volatility for Levy Processes,” (with P. Carr, H. Geman, and M. Yor)       Mathematical Finance, 13, 345-382

(2005) “From Local Volatility to Local Levy Models,” (with P. Carr, H. Geman and M. Yor) Quantitative Finance, 4, 581-588

(2007) “Self-Decomposability and Option Pricing,” (with P. Carr, H. Geman, and M. Yor)   Mathematical Finance, 17, 31-57

(2007) “Sato Processes and the Valuation of Structured Products,” (with Ernst Eberlein) forthcoming in Quantitative Finance

(2007)  “New Measures of Performance Evaluation,” (with Alexander Cherny), forthcoming Review of Financial Studies. (Published On Line)

(2008), “Break on Through to the Single Side,” (with Wim Schoutens) Journal of Credit Risk, Fall, 4, 3-20

(2008), “Representing the CGMY and Meixner Levy Processes as time changed Brownian motions,” Journal of Computational Finance, Fall, 27-47

One of the defining characteristics of the ongoing financial crisis is the massive and steady deterioration of liquidity and trust. Even the largest financial institutions have essentially stopped lending to each other, so that central banks are currently obliged to manage the liquidity needs of the most developed economies. The general issues the project attempts to address are: How can markets be made functioning again? How can trust be restored? How can the financial system be repaired? What should be the pillars of a new financial order? Three specific themes will be pursued:

How does market information affect market liquidity and the informational content of market prices? How can such prices be useful for regulatory policies. Which role should they play for accounting purposes?

How should securities be priced, when arbitrage is impaired, e.g. for lack of liquidity?

How do behavioural features such as ambiguity aversion and loss aversion affect market prices and market liquidity?