SSRN logo
Public User
Advanced Search

M. A. H. Dempster

University of Cambridge - Centre for Financial Research

Centre for Mathematical Sciences

Wilberforce Road

Cambridge, CB3 0WA

United Kingdom

Cambridge Systems Associates Limited

5-7 Portugal Place

Cambridge, CB5 8AF

United Kingdom

  • University of Cambridge - Centre for Financial Research

  • Cambridge Systems Associates Limited

View CV
SCHOLARLY PAPERS

21

DOWNLOADS
Rank 3,083

SSRN RANKINGS

Top 3,083

in Total Papers Downloads

9,926

CITATIONS
Rank 10,738

SSRN RANKINGS

Top 10,738

in Total Papers Citations

39

Scholarly Papers (21)

Actions:
Email selected abstracts
1.

Numerical Valuation of Cross-Currency Swaps and Swaptions

Number of pages: 30 Posted: 06 Dec 1997
M. A. H. Dempster and J.P. Hutton
University of Cambridge - Centre for Financial Research and Nomura Holdings, Inc. (NHI)
Downloads 2,259 (4,138)
Citation 6

Abstract:

2.

Dynamic Stochastic Programming For Asset-liability Management

Number of pages: 42 Posted: 19 Mar 1998
Giorgio Consigli and M. A. H. Dempster
Credito Italiano and University of Cambridge - Centre for Financial Research
Downloads 1,355 (9,531)
Citation 8

Abstract:

3.

Fast Numerical Valuation of American, Exotic and Complex Options

Number of pages: 28 Posted: 28 Jul 1997
M. A. H. Dempster and J.P. Hutton
University of Cambridge - Centre for Financial Research and Nomura Holdings, Inc. (NHI)
Downloads 785 (23,851)
Citation 5

Abstract:

4.

The Joy of Volatility

FINRISK Working Paper No. 374
Number of pages: 6 Posted: 28 Apr 2007
M. A. H. Dempster, Igor V. Evstigneev and Klaus Reiner Schenk-Hoppé
University of Cambridge - Centre for Financial Research, University of Manchester - Economics, School of Social Sciences and University of Manchester - Department of Economics
Downloads 696 (26,839)
Citation 2

Abstract:

Volatility, capital growth, investment, constant proportions strategies

5.

Pricing American Stock Options by Linear Programming

Number of pages: 34 Posted: 06 Dec 1997
M. A. H. Dempster and J.P. Hutton
University of Cambridge - Centre for Financial Research and Nomura Holdings, Inc. (NHI)
Downloads 669 (29,510)
Citation 4

Abstract:

6.

Developing a Practical Yield Curve Model: An Odyssey

Number of pages: 29 Posted: 07 Aug 2013
M. A. H. Dempster, Jack L. Evans and Elena Medova
University of Cambridge - Centre for Financial Research, eValue FE and University of Cambridge - Centre for Financial Research
Downloads 589 (36,533)

Abstract:

Capital markets, 3-factor affine yield curve models, long term horizons, low rate regimes, nonlinear Black model

7.

Exponential Growth of Fixed-Mix Strategies in Stationary Asset Markets

U of Cambridge Working Paper No. WP 01/2002
Number of pages: 16 Posted: 11 Apr 2002
M. A. H. Dempster, Klaus Reiner Schenk-Hoppé and Igor V. Evstigneev
University of Cambridge - Centre for Financial Research, University of Manchester - Department of Economics and University of Manchester - Economics, School of Social Sciences
Downloads 550 (39,892)
Citation 8

Abstract:

Asset allocation, Fixed-mix strategies, Stationary markets, Exponential growth, Products of random matrices, Stochastic version of the Perron-Frobenius theorem

8.

Prospective Earnings per Share

University of Cambridge, Judge Institute of Management Working Paper No. 06/2004
Number of pages: 65 Posted: 21 Feb 2005
Graham Bates, M. A. H. Dempster, Hok Go and Yee Sook Yong
University of Cambridge - Judge Business School, University of Cambridge - Centre for Financial Research, University of Cambridge - Judge Business School and University of Cambridge - Judge Business School
Downloads 437 (51,198)

Abstract:

earnings per share, financial engineering

9.

Growing Wealth with Fixed-Mix Strategies

Swiss Finance Institute Research Paper No. 09-37
Number of pages: 34 Posted: 28 Sep 2009 Last Revised: 14 Dec 2009
M. A. H. Dempster, Igor V. Evstigneev and Klaus Reiner Schenk-Hoppé
University of Cambridge - Centre for Financial Research, University of Manchester - Economics, School of Social Sciences and University of Manchester - Department of Economics
Downloads 419 (41,230)

Abstract:

Volatility, Constant proportions strategies, Fixed-mix strategies, Financial markets, Investment, Exponential growth, Transaction costs

10.

Volatility-Induced Financial Growth

FINRISK Working Paper No. 131
Number of pages: 23 Posted: 14 Jun 2007
M. A. H. Dempster, Igor V. Evstigneev and Klaus Reiner Schenk-Hoppé
University of Cambridge - Centre for Financial Research, University of Manchester - Economics, School of Social Sciences and University of Manchester - Department of Economics
Downloads 396 (58,928)
Citation 4

Abstract:

Volatility, constant proportions strategies, financial markets, investment, exponential growth, transaction costs

11.

Long and Short Term Jumps in Commodity Futures Prices

Number of pages: 52 Posted: 27 Mar 2008 Last Revised: 15 Dec 2010
M. A. H. Dempster, Elena Medova and Ke Tang
University of Cambridge - Centre for Financial Research, University of Cambridge - Centre for Financial Research and Institute of Economics, School of Social Science, Tsinghua University
Downloads 268 (82,533)

Abstract:

commodity futures, convenience yields, jumps, non-Gaussian state space models, extended Kalman …lter, importance sampling

12.

Estimating Exponential Affine Models with Correlated Measurement Errors: Applications to Fixed Income and Commodities

22nd Australasian Finance and Banking Conference 2009
Number of pages: 38 Posted: 24 Aug 2009
M. A. H. Dempster and Ke Tang
University of Cambridge - Centre for Financial Research and Institute of Economics, School of Social Science, Tsinghua University
Downloads 143 (155,372)
Citation 1

Abstract:

exponential affine model, state space form, Kalman filter, EM algorithm, measurement errors, serial correlation, commodity futures, yield curves

13.

Life Cycle Goal Achievement or Portfolio Volatility Reduction?

Number of pages: 34 Posted: 29 Mar 2015 Last Revised: 08 Oct 2015
M. A. H. Dempster, Dwayne Kloppers, Igor Osmolovskiy, Elena Medova and Philipp Ustinov
University of Cambridge - Centre for Financial Research, Alexander Forbes Financial Services (Pty) Ltd, Cambridge Systems Associates Limited, University of Cambridge - Centre for Financial Research and Cambridge Systems Associates Limited
Downloads 119 (105,461)

Abstract:

Decision support system, Dynamic stochastic programming, Financial planning, Financial advice, Goals,Life cycle model, Retirement, Sustainable wealth, Risk management

14.

EVPI-Based Importance Sampling Solution Procedures for Multistage Stochastic Linear Programmes on Parallel MIMD Architectures

Number of pages: 29 Posted: 27 Nov 1997
M. A. H. Dempster and R. T. Thompson
University of Cambridge - Centre for Financial Research and University of Cambridge
Downloads 94 (216,743)
Citation 1

Abstract:

15.

Parallelization and Aggregation of Nested Benders Decomposition

Number of pages: 23 Posted: 19 Nov 1997
M. A. H. Dempster and R. T. Thompson
University of Cambridge - Centre for Financial Research and University of Cambridge
Downloads 93 (222,775)

Abstract:

16.

Comparison of Sampling Methods for Dynamic Stochastic Programming

Number of pages: 49 Posted: 31 Dec 2014 Last Revised: 03 Jan 2015
M. A. H. Dempster, Elena Medova and Yee Sook
University of Cambridge - Centre for Financial Research, University of Cambridge - Centre for Financial Research and Credit Suisse AG, Singapore
Downloads 49 (245,773)

Abstract:

scenario generation, sampling methods, discretization error, scenario-based approximation, stochastic programming, in-sample and out-of-sample tests

17.

Stabilizing Implementable Decisions in Dynamic Stochastic Programming

Number of pages: 29 Posted: 08 Jan 2015
M. A. H. Dempster, Elena Medova and Yee Sook
University of Cambridge - Centre for Financial Research, University of Cambridge - Centre for Financial Research and Credit Suisse AG, Singapore
Downloads 28 (242,206)

Abstract:

discretization bias, stability, implementable decisions, sampling errror, dynamic stochastic programming

18.

A Practical Robust Long Term Yield Curve Model

High Performance Computing in Finance, J Kanniainen, J Keane and E Vynckier, eds. Chapman & Hall CRC Financial Mathematics Series (2015), Forthcoming
Number of pages: 49 Posted: 02 Jul 2015 Last Revised: 26 Jan 2016
M. A. H. Dempster, Elena Medova, Igor Osmolovskiy and Philipp Ustinov
University of Cambridge - Centre for Financial Research, University of Cambridge - Centre for Financial Research, Cambridge Systems Associates Limited and Cambridge Systems Associates Limited
Downloads 20 (269,156)

Abstract:

yield curve, Gaussian affine models, Black correction, nonnegative rates, unscented Kalman filter, long term Monte Carlo simulation

19.

Latent Jump Diffusion Factor Estimation for Commodity Futures

Number of pages: 45 Posted: 30 Jul 2015
M. A. H. Dempster, Elena Medova and Ke Tang
University of Cambridge - Centre for Financial Research, University of Cambridge - Centre for Financial Research and Tsinghua University - School of Economics & Management
Downloads 15 (291,401)

Abstract:

latent factors, jumps, non-Gaussian state space models, modified Kalman filter, commodity futures

20.

Risk Measures and Financial Innovation with Backward Stochastic Difference Equations

Number of pages: 41 Posted: 01 Apr 2016
Ezequiel Antar and M. A. H. Dempster
University of Cambridge - Centre for Financial Research and University of Cambridge - Centre for Financial Research
Downloads 0 (196,468)

Abstract:

BSΔEs, risk measures, dynamic trading equilibria, equilibrium pricing, unpriced risks, optimal securities, risk transfer

21.

Pricing American Options Fitting the Smile

Mathematical Finance, Vol. 10, No. 2, April 2000
Posted: 17 Mar 2001
M. A. H. Dempster and Darren G. Richards
University of Cambridge - Centre for Financial Research and University of Cambridge - Judge Business School

Abstract:

Submit a Paper Section 508 Text Only Pages

Quick Links

Research Paper Series Conference Papers Partners in Publishing Organization Homepages Newsletter Sign Up

Rankings

Top Papers Top Authors Top Organizations

About

SSRN Objectives Network Directors Presidential Letter Announcements Contact us FAQs
Elsevier logo
Copyright Terms and Conditions Privacy Policy

Cookies are used by this site. To decline or learn more, visit our Cookies page. This page was processed by apollobot1 in 0.866 seconds

Relx Group logo