Certainty in an uncertain world

www.cambridge-systems.com

Publications

Advanced financial thought

Selected Recent Publications

M A H Dempster, Dwayne Kloppers, Elena Medova, Igor Osmolovskiy & Philipp Ustinov (2016). Lifecycle goal achievement of portfolio volatility reduction? Journal of Portfolio Management 42.2 99-117

M.A.H. Dempster, J. Evans & E.A. Medova (2013). Developing a practical yield curve model: An odyssey. In: J. Chadha, A. Durre, M. Joyce & L. Sarnio, eds. Developments in Macro-Finance Yield Curves. Cambridge University Press

M.A.H. Dempster, E.A. Medova & K. Tang (2012). Determinants of oil futures prices and convenience yields. Quantitative Finance 12.12 1795-1809

M.A.H. Dempster, E.A. Medova & Y.S. Yong (2011). Comparison of sampling methods for dynamic stochastic programming. Chapter 16 in Stochastic Optimization Methods in Finance and Energy, M. Bertocchi, G. Consigli & M.A.H. Dempster, eds. Springer, New York 389-425

M.A.H. Dempster & K. Tang (2011). Estimating exponential affine models with correlated measurement errors: Applications to fixed income and commodities. Journal of Banking and Finance 35 639-652

M.A.H. Dempster, E.A. Medova & M. Villaverde (2010). Long-term interest rates and consol bond valuation. Journal of Asset Management 11.2-3 113-135

M.A.H. Dempster, M. Germano, E.A. Medova, J.K. Murphy, D. Ryan & F. Sandrini (2009). Risk profiling defined benefit pension schemes. Journal of Portfolio Management 35.4 76-93

E.A. Medova & P. Berg-Yuen (2009) Banking capital and operational risks: Comparative analysis of regulatory approaches for a bank. Journal of Financial Transformation 26 (Summer 2009) 85-96

M.A.H. Dempster, G. Mitra & G. Pflug, eds. (2009). Quantitative Fund Management. Financial Mathematics Series, Chapman and Hall / CRC, Boca Raton, FL., 467pp.

M.A.H. Dempster, E.A. Medova, K. Tang (2008). Long term spread option valuation and hedging. Journal of Banking and Finance 33.2 2530-2540

M.A.H. Dempster, I.V. Evstigneev & K.R. Schenck-Hopp� (2008). Financial markets: The joy of volatility. Quantitative Finance 8.1 1-3

M.A.H. Dempster, M. Germano, E.A. Medova, M.I. Rietbergen, F. Sandrini, M. Scrowston & N. Zhang (2007). Defined contribution pension fund benchmarking with fixed-mix portfolio optimization. Quantitative Finance 7.4 365-370

M.A.H. Dempster, E.A. Medova & S.W. Yang (2007). Empirical copulas for CDO tranche pricing using relative entropy. International Journal of Theoretical and Applied Finance 10.4 679-702

M.A.H. Dempster, M. Germano, E.A. Medova, M.I. Rietbergen, F. Sandrini & M. Scrowston (2007). Designing minimum guarantee funds. Quantitative Finance 7.2 245-256

M.A.H. Dempster, I.V. Evstigneev & K.R. Schenck-Hopp� (2007). Volatility-induced financial growth. Quantitative Finance 7.2 151-160

E.A. Medova & R.G. Smith (2006) Pricing equity default swaps using structural credit models Risk 19.4 85-88

M.A.H. Dempster (2006) Sequential importance sampling algorithms for dynamic stochastic programming Journal of Mathematical Sciences 133.4 1422-1444

M.A.H. Dempster, M. Germano, E.A. Medova, M.I. Rietbergen, F. Sandrini & M. Scrowston (2006) Managing guarantees Journal of Portfolio Management 51-61

M.A.H. Dempster & V. Leemans (2006) An automated FX trading system using adaptive reinforcement learning. Special Issue on Financial Engineering Expert Systems with Applications 30 543-552

M.A.H. Dempster, J.E. Scott & G.W.P. Thompson (2005) Stochastic modelling and optimization using STOCHASTICS� Applications of Stochastic Programming (MPS-SIAM Series on Optimization) 131-150

E.A. Medova & P. Berg-Yuen (2005) Economic capital gauged Journal of Banking Regulation 6.4 353-378

E.A. Medova & A. Sembos (2005) Price protection strategies for an oil company Applications of Stochastic Programming (MPS-SIAM series on optimization) 575-608

Further Reading

For more publications by CSA's principals see www.cfr.statslab.cam.ac.uk