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Folly and Fantasy in Finance

September 29, 2023 @ 2:00 pm - 3:00 pm CDT

Speaker: Prof. Dilip Madan, Robert H. Smith School of Business, University of Maryland

Abstract: Strategies for selecting hedging measures that both respect certain market values of cash flows and yet maintain control on their distance from physical measures are advocated, proposed and implemented. The hedging criterion is the maximization of a conservative valuation of the hedged position. Such values are modeled as nonlinear expectations based on measure distortions. Measure selections and conservative value maximizing hedges are illustrated for options on SPY and nine sector ETFs.

Speaker Bio: Dilip Madan is Emeritus 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, Meru Capital and Caspian Capital. 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, was the 2007 Risk Magazine Quant of the year, received the 2008 Medal for Science from the University of Bologna and held the 2010 Eurandom Chair. He is managing editor of Mathematical Finance, co-editor of the Review of Derivatives Research, associate editor of the Journal of Credit Risk and Quantitative Finance. His work is dedicated to improving the quality of financial valuation models, enhancing the performance of investment strategies, and advancing the efficiency of risk allocation in modern economies. Recent major contributions have appeared in Mathematical Finance, Finance and Stochastics, Quantitative Finance, the Journal of Computational Finance, The International Journal of Theoretical and Applied Finance, The Journal of Risk, The Journal of Credit Risk among other journals.


September 29, 2023
2:00 pm - 3:00 pm CDT
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