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

April

Subscribe

Study at Cambridge

About the University

Research at Cambridge