Finance Research Papers

From University of Cambridge, The Judge Institute
Contact information at EDIRC.
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04/95: Dynamic stochastic programming for asset-liability management

G Consigli and M.A.H. Dempster

03/95: Fast Numerical Valuation of American, Exotic and Complex Options

M.A.H. Dempster and J.P. Hutton

02/96: Numerical Valuation of Cross-Currency Swaps and Swaptions

M.A.H. Dempster and J.P. Hutton

02/95: Pricing American Stock Options by Linear Programming

M.A.H. Dempster and J.P. Huttonn

01/96: EVPI-Based Importance Sampling Solution Procedures for Multistage Stochastic Linear Programmes on Parallel MIMD Architectures

M. A. H. Dempster and R. T. Thompson

01/95: Parallelization and Aggregation of Nested Benders Decomposition

M.A.H. Dempster and R.T. Thompson