Elena Medova

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

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 18,231

SSRN RANKINGS

Top 18,231

in Total Papers Downloads

2,597

CITATIONS
Rank 47,323

SSRN RANKINGS

Top 47,323

in Total Papers Citations

9

Scholarly Papers (10)

1.

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 639 (40,051)
Citation 3

Abstract:

Loading...

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

2.

Pricing Equity Default Swaps Using Structural Credit Models

University of Cambridge, Judge Institute of Management Working Paper No. 12/2004
Number of pages: 21 Posted: 21 Feb 2005
Elena Medova and Robert G. Smith
University of Cambridge - Centre for Financial Research and University of Cambridge - Judge Business School
Downloads 611 (42,505)
Citation 6

Abstract:

Loading...

equity-credit hybrid derivatives, equity default swaps, structural credit models

3.

Economic Capital Gauged

University of Cambridge Judge Institute of Management Working Paper No. 07/2004
Number of pages: 42 Posted: 27 Dec 2004
Pia E. K. Berg-Yuen and Elena Medova
University of Cambridge - Judge Business School and University of Cambridge - Centre for Financial Research
Downloads 407 (70,864)
Citation 1

Abstract:

Loading...

Economic capital, risk capital, regulatory capital, capital charge, operational risk

4.

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 317 (94,277)

Abstract:

Loading...

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

5.

Does the Firm-Specific Asset Volatility Process Implied by the Equity Market Revert to a Constant Value?

University of Cambridge, Judge Institute of Management Working Paper No. 11/2004
Number of pages: 31 Posted: 21 Feb 2005
Elena Medova and Robert G. Smith
University of Cambridge - Centre for Financial Research and University of Cambridge - Judge Business School
Downloads 229 (132,575)

Abstract:

Loading...

structural credit models, asset volatility, equity volatility

6.

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 (242,021)
Citation 1

Abstract:

Loading...

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

7.

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 99 (265,285)

Abstract:

Loading...

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

8.

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 98 (267,059)

Abstract:

Loading...

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

9.

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 (294,541)

Abstract:

Loading...

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

10.

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

Abstract:

Loading...

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