Overview
Dilip B. Madan is a mathematical-finance scholar (Robert H. Smith School of Business, University of Maryland), known for Lévy-process models of asset returns and characteristic-function-based option pricing.
Key Contributions / Features
- Variance gamma model (Madan-Seneta 1990; Madan-Carr-Chang 1998): a pure-jump Lévy model with a simple characteristic function, used to illustrate Carr-Madan 1999.
- FFT option pricing (Carr-Madan 1999): with Carr, the FFT inversion method for characteristic-function models.
- The Carr-Geman-Madan-Yor (CGMY) Lévy process and conic finance / bid-ask pricing theory.
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