Fast Wavelet-Based PDE Valuation of Complex Derivatives
Michael Dempster is Professor of Finance & Director, Centre for Financial Research, Judge Institute of Management, University of Cambridge.
| Event information | |
|---|---|
| Date | 13 November 2001 |
| Time | 13:00-14:00 (Timezone: Europe/London) |
| Venue | ICMA Centre, Room G03/04 |
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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