Discover open access scientific publications

Search, annotate, share and cite publications

Publications by Dilip B. Madan

Local Volatility Enhanced by a Jump to Default

SIAM Journal on Financial Mathematics

Applied Mathematics

Numerical Analysis

English

Leveraged Lévy Processes as Models for Stock Prices

Quantitative Finance

English

Is Mean-Variance Analysis Vacuous: Or Was Beta Still Born?

Review of Finance

English

Understanding the Role of Recovery in Default Risk Models : Empirical Comarisons and Implied Recovery Rates

Finance and Economics Discussion Series

English

The Fine Structure of Asset Returns: An Empirical Investigation

The Journal of Business

English

Investigating the Sources of Default Risk: Lessons From Empirically Evaluating Credit Risk Models

SSRN Electronic Journal

English