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CFR publications archive 1

CFR Publications Archive:

Author

Publication Title

Date

Dempster MAH, Evstigneev IV & Schenk-Hoppé KR

Financial markets: the joy of volatility

2008

Medova EA, Murphy JK, Owen AP & Rehman K

Individual asset liability management

2008

Carton de Wiart B & Dempster MAH

WP11/2007: A wavelet optimised method for financial derivatives

2007

Dempster M H, Germano M, Medova EA, Rietbergen M I, Sandrini F & Scrowston M

Designing minimum guarantee funds

2007

Dempster MAH, Evstigneev IV & Schenk-Hoppé KR

Volatility induced financial growth

2007

Dempster MAH, Germano M, Medova EA, Rietbergen M I, Sandrini F & Scrowston M

DC pension fund benchmarking with fixed-mix portfolio optimization

2007

Dempster MAH, Medova EA & Yang SW

WP12/2007: Empirical copulas for CDO tranche pricing using relative entropy

2007

Medova EA

WP10/2007: Bayesian analysis & Markov chain Monte Carlo simulation

2007

Carmona RA & Tehranchi M

Interest Rate Models: An Infinite Dimensional Stochastic Analysis Perspective

2006

Dempster MAH, Germano M, Medova EA, Rietbergen MI, Sandrini F & Scrowston M

Managing guarantees

2006

Dempster MAH, Medova EA & Tang K

WP25/2006: Long term spread option valuation & hedging

2006

Medova EA, Rietbergen MI, Villaverde M & Yong YS

WP24/2006: Modelling the long-term dynamics of yield curves

2006

Dempster MAH, Evstigneev IV & Taksar MI

WP06/2005: Asset pricing & hedging in financial markets with transaction costs: an approach based on the Von Neumann-Gale Model

2005

Bates RG, Dempster MAH, Go HG & Yong YS

WP06/2004: Prospective earnings per share

2004

Berg-Yuen PEK & Medova EA

WP07/2004: Economic capital gauged

2004

Dempster MAH & Leemans V

WP18/2004: An automated FX trading system using adaptive reinforcement learning

2004

Dempster MAH , Evstigneev IV & Schenk-Hoppé KR

WP10/2004: Volatility-induced financial growth

2004

Dempster MAH, Germano M, Medova EA, Rietbergen MI, Sandrini F & Scrowston M

WP17/2004: Designing minimum guaranteed return funds

2004

Goodworth TRJ & Jones CM

WP08/2004: Building a risk measurement framework for hedge funds & funds of funds

2004

Maclean LC, Foster ME & Ziemba WT

WP09/2004: Empirical Bayes estimation with dynamic portfolio models

2004

Medova EA & Smith RG

WP11/2004: Does the Firm-Specific Asset Volatility Process implied by the Equity Market revert to a constant value?

2004

Medova EA & Smith RG

WP12/2004: Pricing equity default swaps using structural credit models

2004

Arbeleche S & Dempster MAH

WP13/2003: Econometric modelling for global asset liability management

2003

Arbeleche S, Dempster MAH, Medova EA, Thompson G & Villaverde M

WP05/2003: Portfolio management for pension funds

2003

Austin MP, Bates RG, Dempster MAH & Williams SN

WP15/2003: Adaptive systems for foreign exchange trading

2003

Bates RG, Dempster MAH & Romahi YS

WP06/2003: Evolutionary reinforcement learning in FX order book & order flow analysis

2003

Dempster MAH, Germano M, Medova EA & Villaverde M

WP07/2003: Structured products for pension funds

2003

Dowling B

WP04/2003: Nature, nurture & economic growth

2003

Dowling B

WP08/2003: Is the long wave getting shorter

2003

Medova EA & Smith RG

WP09/2003: A framework to measure integrated risk

2003

Villaverde M

WP12/2003: Global fund management using Stochastic Optimization

2003

Villaverde M

WP14/2003: Hedging European & barrier options using Stochastic Optimization

2003

Boyle P & Imai J

WP13/2002: Asset allocation using quasi Monte Carlo methods

2002

Dempster MAH & Romahi YS

WP03/2002: Intraday FX trading: an evolutionary reinforcement learning approach

2002

Dempster MAH (ed.)

Risk Management: Value at Risk and Beyond

2002

Dempster MAH , Evstigneev IV & Schenk-Hoppé KR

WP01/2002: Exponential growth of fixed-mix strategies in stationary asset markets

2002

Dempster MAH , Scott JE & Thompson GWP

WP07/2002: Stochastic Modeling & Optimization using STOCHASTICS

2002

Dempster MAH, Germano M, Medova EA & Villaverde M

WP20/2002: Global asset liability management introduces strategic DFA, employing dynamic stochastic optimization

2002

Thompson GWP

WP09/2002: Fast narrow bounds on the value of Asian options

2002

Thompson GWP

WP10/2002: Bounds on the value of barrier options with curved boundaries

2002

Thompson GWP

WP11/2002: Optimal trading of an asset driven by a hidden Markov process in the presence of fixed transaction costs

2002

Thompson GWP

WP12/2002: Markov properties of stationary Gaussian term structure models

2002

Dempster MAH & Eswaran A

WP25/2001: Solution of PDEs by wavelet methods

2001

Dempster MAH, Payne TW & Romahi YS

WP23/2001: Intraday FX trading: reinforcement vs evolutionary learning

2001

Medova EA

WP10/2001: Operational risk capital allocation & integration of risks

2001

Medova EA & Kyriacou MN

WP05/2001: Extremes in operational risk management

2001

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