University of Maryland Business School Professor Wins Prestigious Von Humboldt Award

College Park, Md. – February 21, 2006 – Today the University of Marylands Robert H. Smith School of Business announced that Dilip Madan, professor of finance, has been selected to receive a 2006 Alexander von Humboldt Research Award in mathematics. Humboldt Awards are considered among the highest honors given to internationally recognized scholars. Forty past recipients have received the Nobel Prize in their fields, including five of the 2005 Nobel Laureates. Madan will receive his award from the President of the Humboldt Foundation this July in Berlin, Germany. He will also attend a reception given by the President of the Federal Republic of Germany. The award carries a cash prize of 50,000 euros, or about US $60,000 at current exchange rates.

The Humboldt Award recognizes Madan's impressive body of work in the field of mathematical finance. His research focuses 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.

Madan's achievements in the field of mathematical finance are remarkable and underscore the stellar reputation of the Smith Schools finance department, said Howard Frank, dean of the Robert H. Smith School of Business. With the contributions of faculty such as Dilip, the department has made a name for its research and contributions on the international level.

Hundreds of variations of derivative valuation models have been developed since the Black-Scholes model was developed in the early 1970s, yet few have had as significant an impact as Madan's Variance-Gamma (VG) model, developed with Eugene Seneta of the University of Sydney. Their model, which uses a more accurate methodology in accounting to determine how underlying asset prices move through time, is one of only three pricing models used by Bloomberg. The others are the Black-Scholes model and the Stochastic Volatility model developed by Steve Heston, Smith School assistant professor of finance.

Humboldt award recipients must be nominated by established researchers working at German universities or other research institutions there. Madan was nominated by Ernst Eberlein, a professor at the University of Freiburg Germany, with whom he plans to collaborate on future research.

Madan is the managing editor of Mathematical Finance, and serves as an associate editor for the Review of Derivatives Research, Journal of Credit Risk and Quantitative Finance.