Papers
This page lists some papers and working papers by members of the centre over the last few years. They are organized chronologically by year. To download the paper click on the pdf icon (
) to the right of the title. Some papers only have an abstract available, downloadable by clicking on the abstract icon to the right of the title (
). Scroll through this page or click on a year below to see papers from each year.
1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2014 2015 2016
2016
Risk measures and financial innovation with backward stochastic difference equations
E Antar and M A H Dempster
Submitted
Stabilizing implementable decisions in dynamic stochastic programming
M A H Dempster, E A Medova and Y S Yong
Published in: Optimal Financial Decision Making Under Uncertainty, G Consigli, D Kuhn & P Brandimarte, eds. International Series in Operations Research and Management Science, New York: Springer Verlag (2016), to appear
Life cycle goal achievement or portfolio volatility reduction?
M A H Dempster, Dwayne Kloppers, E A Medova, Igor Osmolovskiy and Philipp Ustinov
Published in: Journal of Portfolio Management, 42.1 (2016) 99-117
2015
Review of The Bankers' New Clothes, What's Wrong with Banking and What to Do About It, by Anat Amati and Martin Hellwig
M A H Dempster
Published in: Quantitative Finance 15.4 (2015) 579-582
2014
Developing a practical yield curve model: An odyssey
M A H Dempster, J Evans and E A Medova
Published in: New Developments in Macro-Finance Yield Curves, J Chadha, A Durre, M Joyce & L Sarnio, eds., Cambridge University Press (2014) 251-290
2012
Determinants of oil futures prices and convenience yields
M A H Dempster, E A Medova and K Tang
Published in: Quantitative Finance 12.12 (2012) 1795-1809
Review of Emmanuel Derman's Models Behaving Badly: Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life
M A H Dempster
Published in: Quantitative Finance 12.4 (2012) 511-513
Economic and monetary union: The reset option
M A H Dempster, J S Chadha and D Pickford
Essay submitted to the Wolfson Economics Prize Competition, January 2012
2011
Comparison of sampling methods for dynamic stochastic programming
M A H Dempster, E A Medova and Y S Yong
Published in: Stochastic Optimization Methods in Finance and Energy, M Bertocchi, G Consigli, and M A H Dempster, eds. International Series in Operations Research & Management Science, New York: Springer Verlag (2011) 389-425
Asset liability management for individual households, with discussion
M A H Dempster and E A Medova
Published in: British Actuarial Journal 16.2 (2011) 405-464
Wavelet optimized valuation of financial derivatives
M A H Dempster and B Carton de Wiart
Published in: International Journal of Theoretical and Applied Finance 14.7 (2011) 1113-1137
Regulating complex derivatives: Can the opaque be made transparent?
M A H Dempster, E A Medova and J F Roberts
Published in: Journal of Banking Regulation 12.4 (2011) 308-330
Planning for retirement: Asset liability management for individuals
M A H Dempster and E A Medova
Published in: Asset Liability Management Handbook, G Mitra and K Schwaiger, eds. London: Palgrave Macmillan (2011) 409-432
Estimating exponential affine models with correlated measurement errors: Applications to fixed income and commodities
M A H Dempsterand and K Tang
Published in: Journal of Banking and Finance 35.3 (2011) 639-652
Growing wealth with fixed mix strategies
M A H Dempster, I V Evstigneev and K R Schenk-Hoppé
Published in: The Kelly Capital Growth Investment Criterion, L C MacLean, E O Thorpe and W T Ziemba,eds. Singapore: World Scientific (2011) 427-458
Benoit B Mandelbrot (1924-2010): A father of Quantitative Finance
M A H Dempster
Published in: Quantitative Finance 11.2 (2011) 155-156
2010
Long term interest rates and consol bond valuation
M A H Dempster, E A Medova and M Villaverde
Published in: Journal of Asset Management 11 (2-3) (2010) 113-135
2009
Risk-profiling defined benefit pension schemes
Dempster M A H, Germano M, Medova E A, Murphy J K, Ryan D and Sandrini F
Published in: Journal of Portfolio Management 35.4 (2009) 76-93
Banking capital and operational risks: Comparative analysis of regulatory approaches for a bank
Medova E A and Berg-Yuen P E K
Published in: Journal of Financial Transformation 26 (2009) 85-96
2008
Individual asset liability management
Medova E A, Murphy J K, Owen A P and Rehman K
Published in: Quantitative finance 8.6 (2008) 547-560
Financial markets: The joy of volatility
Dempster M A H, Evstigneev I V and Schenk-Hoppé K R
Published in: Quantitative Finance 8.1 (2008) 1-3
2007
DC pension fund benchmarking with fixed-mix portfolio optimization
Dempster M A H, Germano M, Medova E A, Rietbergen M I, Sandrini F and Scrowston M
Published in: Quantitative Finance 7.4 (2007) 365-370
Designing minimum guarantee funds
Dempster M A H, Germano M, Medova E A, Rietbergen M I, Sandrini F and Scrowston M
Published in: Quantitative Finance 7.2 (2007) 245-256
Volatility induced financial growth
Dempster M A H, Evstigneev I V and Schenk-Hoppé K R
Published in: Quantitative Finance 7.2 (2007) 151-160
Empirical copulas for CDO tranche pricing using relative entropy
Dempster M A H , Medova E A and Yang S W
Judge Business School Working Paper WP12/2007.
Published in: International Journal of Theoretical and Applied Finance 10.4 (2007) 679-702
A wavelet optimised method for financial derivatives
Carton de Wiart B and Dempster M A H
Judge Business School Working Paper WP11/2007.
Bayesian analysis and Markov chain Monte Carlo simulation
Medova E A
Judge Business School Working Paper WP10/2007.
Published in: Encyclopedia of Quantitative Risk Assessment, eds. Brian Everitt and Ed Melnick, Wiley, Chichester (2008)
2006
Managing guarantees
Dempster M A H, Germano M, Medova E A, Rietbergen M I, Sandrini F and Scrowston M
Published in: Journal of Portfolio Management 32.2 (2006) 51-61
Long term spread option valuation and hedging
Dempster M A H, Medova E A and Tang K
Judge Business School Working Paper WP25/2006.
Published in: Journal of Banking and Finance 33.2 (2008) 2530-2540
Modelling the long-term dynamics of yield curves
Medova E A, Rietbergen M I, Villaverde M and Yong Y S
Judge Business School Working Paper WP24/2006.
Published in: Journal of Asset Management (2009), to appear
2005
Asset pricing and hedging in financial markets with transaction costs: An approach based on the von Neumann-Gale model
M A H Dempster and I V Evstigneev & M I Taksar
Judge Institute of Management Working Paper WP06/2005.
Published in: Annals of Finance 2.2 (2006) 327-355
2004
An automated FX trading system using adaptive reinforcement learning
M A H Dempster and V Leemans
Judge Institute of Management Working Paper WP18/2004.
Published in: Expert Systems with Applications: Special Issue on Financial Engineering 30 (2006) 534-552
Designing minimum guaranteed return funds
M A H Dempster, M Germano, E A Medova, M I Rietbergen, F Sandrini and M Scrowston
Judge Institute of Management Working Paper WP17/2004.
Published in: Quantitative Finance 7.2 (2007) 245-256
Pricing equity default swaps using structural credit models
E A Medova and R G Smith
Judge Institute of Management Working Paper WP12/2004.
Published as: A structural approach to EDS pricing. Risk 19.4 (2006) 84-88
Does the firm-specific asset volatility process implied by the equity market revert to a constant value?
E A Medova and R G Smith
Judge Institute of Management Working Paper WP11/2004.
Volatility-induced financial growth
M A H Dempster, I V Evstigneev & K R Schenk-Hoppé
Judge Institute of Management Working Paper WP10/2004.
Published in: Quantitative Finance 7.2 (2007) 151-160
Empirical Bayes estimation with dynamic portfolio models
L C Maclean, M E Foster and W T Ziemba
Judge Institute of Management Working Paper WP09/2004.
Building a risk measurement framework for hedge funds and funds of funds
T R J Goodworth and C M Jones
Judge Institute of Management Working Paper WP08/2004.
Economic capital gauged
P E K Berg-Yuen and E A Medova
Judge Institute of Management Working Paper WP07/2004.
Published in: Journal of Banking Regulation 6.4 (2005) 353-378
Prospective earnings per share
R G Bates, M A H Dempster, H G Go and Y S Yong
Judge Institute of Management Working Paper WP06/2004
2003
Adaptive systems for foreign exchange trading
M P Austin, R G Bates, M A H Dempster and S N Williams
Judge Institute of Management Working Paper WP15/2003.
Published in: Eclectic 18 (Autumn 2004) 21-26
Also published in: Quantitative Finance 4.4 (2004) 37-45
(links on right are from left to right in order shown above)
Hedging european and barrier options using stochastic optimization
M Villaverde
Judge Institute of Management Working Paper WP14/2003.
Submitted to: Quantitative Finance
Econometric modelling for global asset liability management
S Arbeleche and M A H Dempster
Judge Institute of Management Working Paper WP13/2003.
Global fund management using stochastic optimization
M Villaverde
Judge Institute of Management Working Paper WP12/2003.
A framework to measure integrated risk
E A Medova and R G Smith
Judge Institute of Management Working Paper WP09/2003.
Presented to: EURO Working Group on Financial Modeling Conference, Imperial College, 25 April, 2003
Published in: Quantitative Finance 5.1 (2005) 105-121
Structured products for pension funds
M A H Dempster, M Germano, E A Medova and M Villaverde
Judge Institute of Management Working Paper WP07/2003.
Published in: Dynamic Stochastic Optimization, K Marti, Y Ermoliev & G Pflug (eds.) Berlin, Springer Verlag (2003) 115-130
Evolutionary reinforcement learning in FX order book and order flow analysis
R G Bates, M A H Dempster and Y S Romahi
Judge Institute of Management Working Paper WP06/2003.
Published in: Proceedings of the 2003 IEEE International Conference on Computational Intelligence for Financial Engineering, Hong Kong, (2003) 355-362.
Portfolio management for pension funds
S Arbeleche, M A H Dempster, E A Medova, G Thompson, and M Villaverde
Judge Institute of Management Working Paper WP05/2003.
Published in: Proceedings of IDEAL 2003 International Conference (4th), Hong Kong. Spring Verlag, Berlin (2003) 462-466
2002
Global asset liability management
M A H Dempster, M Germano, E A Medova and M Villaverde
Introduces strategic DFA, employing dynamic stochastic optimization. Presented to the Institute of Actuaries on November 25, 2002.
Judge Institute of Management Working Paper WP20/2002
Published in: British Actuarial Journal 9 (2003) 137-216
Asset allocation using quasi Monte Carlo methods
P Boyle, Junichi Imai
Judge Institute of Management Working Paper WP13/2002
Markov properties of stationary Gaussian term structure models
G W P Thompson
Judge Institute of Management Working Paper WP12/2002.
Optimal trading of an asset driven by a hidden Markov process in the presence of fixed transaction costs
G W P Thompson
Judge Institute of Management Working Paper WP11/2002.
Bounds on the value of barrier options with curved boundaries
G W P Thompson
Judge Institute of Management Working Paper WP10/2002.
Fast narrow bounds on the value of Asian options
G W P Thompson
Judge Institute of Management Working Paper WP09/2002.
Stochastic modeling and optimization using STOCHASTICS
M A H Dempster, J E Scott and G W P Thompson
Judge Institute of Management Working Paper WP07/2002.
Published in: Applications of Stochastic Programming, S.W.Wallace & W.T Ziemba (eds). MPS-SIAM Series in Optimization, (2005) 131-150
Intraday FX trading: An evolutionary reinforcement learning approach
M A H Dempster and Y S Romahi
Judge Institute of Management Working Paper WP03/2002.
Published in: Intelligent Data Engineering and Automated Learning 2002, Lecture Notes in Computer Science 2412, H Yin et al. (eds.) Springer Verlag (2002) 347-358
Exponential growth of fixed-mix strategies in stationary asset markets
M A H Dempster, I V Evstigneev and K R Schenk-Hoppé
Judge Institute of Management Working Paper WP01/2002.
Published in: Finance and Stochastics 7 (2003) 263-276
2001
Solution of PDEs by wavelet methods
M A H Dempster and A Eswaran
Judge Institute of Management Working Paper WP25/2001.
Intraday FX trading: Reinforcement vs evolutionary learning
M A H Dempster, T W Payne and Y S Romahi
Judge Institute of Management Working Paper WP23/2001.
Operational risk capital allocation and integration of risks
E A Medova
Judge Institute of Management Working Paper WP10/2001.
Published in: Advances in Operational Risk: Firmwide Issues for Financial Institutions, RiskBooks (2001).
Extremes in operational risk management
E A Medova and M N Kyriacou
Judge Institute Working Paper WP05/2001.
Published in: Risk Management: Value at Risk and Beyond. MAH Dempster (ed). Cambridge University Press (2002).
2000
A real-time adaptive trading system using genetic programming
M A H Dempster and C M Jones
Judge Institute of Management Working Paper WP36/2000.
Published in: Quantitative Finance 1 (2001) 397-413
The profitability of intra-day FX trading using technical indicators.
M A H Dempster and C M Jones
Judge Institute of Management Working Paper WP35/2000.
Wavelet methods in PDE valuation of financial derivatives.
M A H Dempster, A Eswaran and D G Richards
Judge Institute of Management Working Paper WP31/2000
Published in: Data Mining, Financial Engineering, and Intelligent Agents: Intelligent Data Engineering and Automated Learning - IDEAL 2000 International Conference, K S Leung, L W Chan & H Meng (eds.), Hong Kong, China (December 2000), 215-238
Computational learning techniques for intraday FX trading using popular technical indicators
M A H Dempster, T W Payne, Y S Romahi and G W P Thompson
Judge Institute of Management Working Paper WP30/2000
Published in: IEEE Transactions on Neural Networks, special issue on Computational Finance, 12.4 (2001), 744-754.
Spread option valuation and the fast fourier transform
M A H Dempster and S S G Hong
Judge Institute of Management Working Paper WP26/2000.
Published in: Proceedings of the First World Congress of the Bachelier Finance Society, H Gemen, D Madan & S R Pliska (eds.), Berlin, Springer-Verlag (2002), 203-220
Measuring risk by extreme values
E A Medova
Published in: Operational Risk Special Report, Risk Magazine, November 2000, 20-25.
Extreme values and the measurement of operational risk
E A Medova and M N Kyriacou
Judge Institute of Management Working Paper WP26/2000.
Published in: Operational Risk, Risk Publications 1.7 (July) and 1.8 (August) 2000.
Dynamic portfolio replication via stochastic programming,
M A H Dempster and G W P Thompson
Judge Institute of Management Working Paper WP25/2000.
Published in: Risk Management: Value at Risk and Beyond. MAH Dempster (ed). Cambridge University Press (2002) 100-128
Price protection strategies for an oil company
E A Medova and A Sembos
Judge Institute of Management Working Paper WP24/2000.
Pricing American options fitting the smile
M A H Dempster and D G Richards
Published in: Mathematical Finance 10(2) (2000) 157-177
1999
Pricing exotic American options fitting the volatility smile
M A H Dempster and D G Richards
Judge Institute of Management Working Paper WP17/1999.
Winner - D.E. Shaw Best Paper award at the IEEE/IAFE CIFEr Conference, New York, April 1999.
Published in: Mathematical Finance 10(2) (April 2000) 157-177
Can technical pattern trading be profitably automated: 2. The head and shoulders.
M A H Dempster and C M Jones
Judge Institute of Management Working Paper WP12/1999.
Can technical pattern trading be profitably automated: 1. The channel.
M A H Dempster and C M Jones
Judge Institute of Management Working Paper WP11/1999.
Published in: European Journal of Finance 8(3) (2002) 275-301
Planning logistics operations in the oil industry: 2. Stochastic Modeling
M A H Dempster, N Hicks Pedron, E A Medova, J E Scott and A Sembos.
Judge Institute of Management Working Paper WP04/1999.
Published (with Part 1) in: Journal of the Operational Research Society 51(11) (2000) 1271-1288
EVPI-based importance sampling solution procedures for multistage stochastic linear programmes on parallel MIMD architectures
M A H Dempster and R T Thompson
Published in: Annals of Operations Research 90 (1999) 161-184
1998
Planning logistics operations in the oil industry: 1. Deterministic Modeling
M A H Dempster, N Hicks Pedron, E A Medova, J E Scott and A Sembos.
Judge Institute of Management Working Paper WP33/1998.
Published (with Part 2) in: Journal of the Operational Research Society 51(11) (2000) 1271-1288
Sequential importance sampling algorithms for dynamic stochastic programming
M A H Dempster
Judge Institute of Management Working Paper WP32/1998.
Published in: Journal of Mathematical Sciences 133.4 (2006) 1422-1444
The CALM stochastic programming model for dynamic asset-liability management
M A H Dempster and G Consigli
Published in: World Wide Asset and Liability Modeling J M Mulvey and W T Ziemba, eds. Cambridge: Cambridge University Press (1998) 464-500
On the martingale problem for jumping diffusions
M A H Dempster and G Ch Gotsis
Judge Institute of Management Working Paper WP29/1998.
LP valuation of exotic American options exploiting structure
M A H Dempster, D G Richards and J P Hutton
Judge Institute of Management Working Paper WP27/1998.
Published in: Journal of Computational Finance 2.1 (1998) 61-84
Stochastic simulation of international economic variables and asset returns: The Falcon asset model
M A H Dempster and A E Thorlacius
Judge Institute of Management Working Paper WP24/1998
Published in: Proceedings of the 8th International AFIR Colloquium. London: Institute of Actuaries (1998) 29-45
Evolving system architectures for multimedia network design
E A Medova and J Scott
Judge Institute of Management Working Paper WP23/1998
Published in: Annals of Operations Research 104 (2001) 163-180
Pricing american stock options by linear programming
M A H Dempster and J P Hutton
Judge Institute of Management Working Paper WP11/1998.
Published in: Mathematical Finance 9.3 (1999) 229-254
Dynamic stochastic programming for asset-liability management
G Consigli and M A H Dempster
Published in: Annals of Operations Research 81 (1998) 131-161
Parallelization and aggregation of nested benders decomposition
M A H Dempster and R T Thompson
Published in: Annals of Operations Research 81 (1998) 163-187
Towards sequential sampling algorithms for dynamic portfolio management
Z Chen, G Consigli, M A H Dempster and N Hicks Pedrón
Published in: Operational tools in the Management of Financial Risks, C. Zopounidis, ed. Kluwer Academic, Netherlands. (1998) 197-211
1997
Numerical valuation of cross-currency swaps and swaptions
M A H Dempster and J P Hutton
Published in: Mathematics of Derivative Securities, M.A.H. Dempster and S.R. Pliska (eds.). Cambridge University Press (1997) 473-503
Fast numerical valuation of American, exotic and complex options
M A H Dempster and J P Hutton
Published in: Applied Mathematical Finance 4.1 (1997) 1-20