News at Smith

University of Maryland Finance Professor Named Risks “Quant of the Year”

Jan 31, 2008
World Class Faculty & Research

Comments

College Park, Md. January 31, 2008 The University of Maryland's Robert H. Smith School of Business today announced that Dilip Madan, professor of finance, has been named "Quant of the Year" by Risk, a leading financial risk management magazine. Risk readers and contributors, which include quantitative analysts and financial engineers, voted Madan to receive the honor. Madan was recognized yesterday at the Risk Awards 2008 in London.

Madan was selected for his overall contributions to modern quantitative finance and a groundbreaking technical paper published in Risk in September 2007, Calibrating and Pricing With Embedded Local Volatility Models (co-authored with Yong Ren and Michael Qian). (registration required) The research established a model that is now implemented among Morgan Stanley's trading desks. 

Professor Dilip Madan is well-deserving of this award as one of the worlds most prolific mathematical researchers, said Howard Frank, dean of the Robert H. Smith School of Business. His impact is far-reaching the financial models he has pioneered are literally used every day and in every corner of the globe by analysts and traders.

Madan, an alumnus of the University of Maryland, earned two PhD degrees from the university, the first in economics in 1971 and another in mathematics with a concentration in mathematical logic in 1975. He specializes in mathematical finance, focusing his research on improving the quality of pricing models, enhancing the performance of investment strategies, and advancing the understanding and operation of efficient risk allocation in modern economies.

One of Madan's most well-known papers, written in collaboration with Peter Carr (now at Bloomberg), introduced a new option-pricing model the Variance-Gamma (VG) derivatives valuation model. (PDF) It is one of three pricing models used by Bloomberg (along with the Black-Scholes model and the Stochastic Volatility model developed by Smith professor Steve Heston) to accurately value derivatives securities in financial markets.

Carr, who won Risks Quant of the Year award in 2003, called meeting Madan the most important moment of my career in an article on Madan's award in the current issue of publication. He is one of the few academics that are aware that the future does not behave like the past, said Carr in Risk.

Madan currently serves as a consultant to Citgroup, Morgan Stanley, Caspian Capital LLC and Bloomberg and has previously served as consultant to Wachovia Securities and the FDIC. He is a recipient of the 2006 Alexander von Humboldt Research Award in mathematics, considered among the highest honors given to internationally recognized scholars. He is a founding member and past president of the Bachelier Finance Society, co-editor of Review of Derivatives Research, managing editor of Mathematical Finance and associate editor for the Journal of Credit Risk and Quantitative Finance.

About the Robert H. Smith School of Business
The Robert H. Smith School of Business is an internationally recognized leader in management education and research for the digital economy. One of 14 colleges and schools at the University of Maryland, College Park, the Smith School offers undergraduate, full-time and part-time MBA, executive MBA, MS, PhD, and executive education programs, as well as outreach services to the corporate community. The school offers its degree, custom and certification programs in learning locations in three continents including North America, Europe and Asia.

For more information please contact:  
Carrie Handwerker
301-405-5833
Tags: 

About the University of Maryland's Robert H. Smith School of Business

The Robert H. Smith School of Business is an internationally recognized leader in management education and research. One of 12 colleges and schools at the University of Maryland, College Park, the Smith School offers undergraduate, full-time and part-time MBA, executive MBA, online MBA, specialty master's, PhD and executive education programs, as well as outreach services to the corporate community. The school offers its degree, custom and certification programs in learning locations in North America and Asia.