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 - Judge Business School

Trumpington Street

Cambridge, CB2 1AG

United Kingdom

  • University of Cambridge - Centre for Financial Research

  • Cambridge Systems Associates Limited

  • University of Cambridge - Judge Business School

SCHOLARLY PAPERS

21

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12,268

TOTAL CITATIONS
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Top 34,723

in Total Papers Citations

50

Scholarly Papers (21)

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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 2,738 (10,410)
Citation 11

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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 1,700 (22,162)
Citation 12

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3.

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 The University of Manchester - Department of Economics
Downloads 1,178 (38,168)

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Volatility, capital growth, investment, constant proportions strategies

4.

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 853 (60,128)
Citation 1

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5.

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 The University of Manchester - Department of Economics
Downloads 842 (61,292)
Citation 2

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

6.

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 766 (69,492)
Citation 5

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7.

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 751 (71,382)
Citation 5

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

8.

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, The University of Manchester - Department of Economics and University of Manchester - Economics, School of Social Sciences
Downloads 570 (101,510)
Citation 3

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

9.

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 The University of Manchester - Department of Economics
Downloads 522 (113,235)
Citation 3

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

10.

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 509 (116,714)

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earnings per share, financial engineering

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 Sciences, Tsinghua University
Downloads 451 (135,008)

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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 Sciences, Tsinghua University
Downloads 207 (306,892)

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

13.

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 197 (321,355)

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

14.

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 Man Group plc
Downloads 182 (345,552)
Citation 1

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

15.

Review of Mervyn King's The End of Alchemy: Money, Banking and the Future of the Global Economy

Number of pages: 15 Posted: 16 Jul 2018
M. A. H. Dempster
University of Cambridge - Centre for Financial Research
Downloads 172 (363,236)

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money, banking, global economy

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 153 (401,647)

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

17.

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 146 (417,244)
Citation 3

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18.

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 140 (431,278)
Citation 4

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19.

Latent Jump Diffusion Factor Estimation for Commodity Futures

Number of pages: 47 Posted: 30 Jul 2015 Last Revised: 18 Dec 2017
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 126 (468,777)

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

20.

Bond Flotation with Exotic Commodity Collateral

Number of pages: 50 Posted: 13 Jun 2019 Last Revised: 02 Jan 2020
M. A. H. Dempster
University of Cambridge - Centre for Financial Research
Downloads 65 (713,573)

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risk free bond issuance, high tech metal collateral, nickel wire, rare earth oxides, titanium, option exchange, illiquid commodity market trading

21.

Life Cycle Goal Achievement or Portfolio Volatility Reduction?

https://doi.org/10.3905/jpm.2016.42.2.099
Posted: 20 May 2019
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 Man Group plc

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