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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

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SCHOLARLY PAPERS

21

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39

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 2,259 (4,093)
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 (9,421)
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 (23,564)
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 (26,554)
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 (29,266)
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 584 (36,482)

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 (39,379)
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 (50,859)

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 (41,762)

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 (58,362)
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 (81,484)

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 (154,322)
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 (105,116)

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 (214,185)
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 (220,205)

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 (246,535)

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 (239,462)

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 (274,517)

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 (300,119)

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 (209,919)

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:

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