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Fast Wavelet-Based PDE Valuation of Complex Derivatives

Event information
Date 19 February 2003
Time 13:00-14:00 BST
Venue ICMA Centre, Room G03/04
Event types:
Research Seminars

He has taught and researched in leading universities on both sides of the Atlantic and is currently co-Editor-in-Chief (with J Doyne Farmer) of Quantitative Finance. He has been consultant to a number of global financial institutions and is regularly involved in executive education in financial engineering and risk management around the world. Author of over 100 published research articles; his recent books include Stochastic Programming, Derivative Securities (with S R Pliska) and Risk Management: Value at Risk and Beyond.
http://www.jims.cam.ac.uk/people/faculty/mdempster.html