Professor Michael Dempster

BA (Tor), MA (Oxon, Cantab), MS PhD (CMU), FIMA, Hon FIA Linceo
Professor Emeritus, Statistical Laboratory. Full CV

Research Interests

Mathematical and computational finance and economics, optimization and non-linear analysis, stochastic systems, algorithm analysis and applications software

Positions Held

University of Essex, 1990 - 1995
Professor of Mathematics and Director of the Institute for Studies in Finance

Dalhousie University, 1981 - 1990
R. A. Jodrey Research Professor of Management and Information Sciences and Professor of Mathematics, Statistics and Computing Science

Balliol College, University of Oxford, 1967 - 1981
Fellow and University Lecturer in Industrial Mathematics


Dr Dempster was educated at Toronto, Carnegie Mellon and Oxford and is currently Professor Emeritus at the Statistical Laboratory, Centre for Mathematical Sciences. He founded the Centre for Financial Research at the Judge Business School (1996-2008) in the University of Cambridge, where he is also Professor of Management Studies (Finance and Management Science) Emeritus and was previously Director of Research (1997-2000) and Director of the Doctoral Programme (1997-2002).

From 1974-81 he was Chairman of Oxford Systems Associates Limited and from 1974-79 Managing Director. Currently he is Managing Director (1996 - ) of Cambridge Systems Associates Limited, a financial services consultancy and software company with international patents pending on its Stochastics SuiteTM for optimal financial planning.

He is author of over one hundred published research articles and reports and is author, editor or translator of fourteen books including Introduction to Optimization Methods (with P R Adby), Large Scale Linear Programming (2 vols., with G B Danzig and M Kallio), Stochastic Programming, Deterministic and Stochastic Scheduling (with J K Lenstra and A H G Rinnooy Kan), Mathematics of Derivative Securities (with S R Pliska) and Risk Management: Value at Risk and Beyond, Quantitative Fund Management (with G Mitra and G Pflug), Stochastic Optimization Methods in Finance and Energy (with M Bertocchi and G Consigli) and The Euro in Danger (with J S Chadha and D S Pickford). His latest edited work Commodities (with K Tang) will appear in the Chapman and Hall CRC series on mathematical finance which he co-edits with R Cont and D Madan. He is founding joint Editor-in-Chief of Quantitative Finance with Professor J Doyne Farmer and presently shares this position with Professor Jim Gatheral of CUNY. He was formerly a member of the editorial boards of the Review of Economic Studies, Journal of Economic Dynamics and Control, Mathematical Finance and Computational Economics and is currently an associate editor of Stochastics, Computational Finance and the Journal of Risk Management in Financial Institutions.

Dr Dempster has been a Fellow of the Center of Advanced Study in the Behavioral Sciences, Stanford, California (1974-75), Senior Research Scholar at the International Institute for Applied Systems Analysis, Laxenburg, Austria (1979-81), Italian National Research Council Visiting Professor at the University of Rome 'La Sapienza' (1988-89) and Visiting Professor at the Universities of Toronto, Melbourne, California-Berkeley and Princeton, as well as the Isaac Newton Institute of Mathematical Sciences, Cambridge. His teaching experience is in a broad range of mathematical, decision, information and managerial sciences at major universities on both sides of the Atlantic and he has supervised forty doctoral students in these fields. He has been a consultant to numerous leading international commercial and industrial organizations and several governments and is in demand as a speaker and executive educator around the world.

Together with D G Richards he was the recipient of the D E Shaw Best Paper Award at the 1999 Computational Intelligence in Financial Engineering Conference held in New York City for their work on fast pricing of American exotic options fitting the volatility smile and in 2000 was made an Honorary Fellow of the UK Institute of Actuaries for his work with members of the profession on model-based long-term asset-liability management. In 2004 Dr Dempster was honoured by the Mathematical Programming Society as a Pioneer of Stochastic Programming at the tenth (triennial) international conference in the field held at the University of Arizona - he organised the first conference of the series at the Mathematical Institute, Oxford in 1974. At the thirteenth conference in Bergamo, Italy in 2013 he was honoured as the first plenary speaker and with a special session and dinner. In the same year he was elected a Fellow of the Italian National Lincei Academy, Rome, the first scientific society in the world.

Recent Publications

A selected list of publications is available here