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

SCHOLARLY PAPERS

23

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Scholarly Papers (23)

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 2,456 (5,097)
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 1,508 (11,536)
Citation 7

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3.

The Joy of Volatility

FINRISK Working Paper No. 374
Number of pages: 6 Posted: 28 Apr 2007
University of Cambridge - Centre for Financial Research, University of Manchester - Economics, School of Social Sciences and University of Manchester - Department of Economics
Downloads 842 (27,716)

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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 810 (29,233)
Citation 1

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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 696 (36,021)
Citation 1

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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 640 (40,272)
Citation 3

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

7.

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
University of Cambridge - Centre for Financial Research, University of Manchester - Economics, School of Social Sciences and University of Manchester - Department of Economics
Downloads 624 (41,707)
Citation 1

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

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
University of Cambridge - Centre for Financial Research, University of Manchester - Department of Economics and University of Manchester - Economics, School of Social Sciences
Downloads 557 (48,384)
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.

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 463 (61,074)

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earnings per share, financial engineering

10.

Volatility-Induced Financial Growth

FINRISK Working Paper No. 131
Number of pages: 23 Posted: 14 Jun 2007
University of Cambridge - Centre for Financial Research, University of Manchester - Economics, School of Social Sciences and University of Manchester - Department of Economics
Downloads 437 (65,477)
Citation 3

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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 Sciences, Tsinghua University
Downloads 318 (94,637)

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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 169 (176,880)

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

13.

Risk Measures and Financial Innovation with Backward Stochastic Difference Equations

Number of pages: 44 Posted: 01 Apr 2016 Last Revised: 22 Apr 2019
Ezequiel Antar and M. A. H. Dempster
University of Cambridge - Centre for Financial Research and University of Cambridge - Centre for Financial Research
Downloads 149 (196,677)
Citation 1

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

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
University of Cambridge - Centre for Financial Research, University of Cambridge - Centre for Financial Research, Cambridge Systems Associates Limited and Cambridge Systems Associates Limited
Downloads 113 (243,663)
Citation 1

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

15.

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 108 (251,626)
Citation 3

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16.

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 104 (258,283)
Citation 2

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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 100 (265,304)

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

18.

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 99 (267,078)

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

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 84 (296,521)

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

20.

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 55 (372,395)

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money, banking, global economy

21.

Bond Flotation with Exotic Commodity Collateral

Number of pages: 50 Posted: 13 Jun 2019
M. A. H. Dempster
University of Cambridge - Centre for Financial Research
Downloads 14 (558,077)

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

22.

Pricing American Options Fitting the Smile

Mathematical Finance, Vol. 10, No. 2, April 2000
Number of pages: 21 Posted: 17 Mar 2001 Last Revised: 05 Aug 2018
M. A. H. Dempster and Darren G. Richards
University of Cambridge - Centre for Financial Research and University of Cambridge - Judge Business School
Downloads 4 (622,743)

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23.

Life Cycle Goal Achievement or Portfolio Volatility Reduction?

Posted: 20 May 2019
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

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