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Dr Paresh Date

I am a Senior Lecturer inin the Department of Mathematics , College of Engineering, Design and Physical Sciences at Brunel University. I am currently the Head of Financial Mathematics, Operational Research and Statistics (FORS) group in the Department.

My main research interest is developing algorithms for latent state estimation or filtering in nonlinear time series and applications of filtering, especially in mathematical finance. Besides this key topic, I have a diverse research portfolio which includesefficient ways of computing tail distributions in financial portfolios of nonlinear instruments, scenario generation and system identification.

Papers PhD students Grants External responsibilities


Contact Information

College of Engineering, Design and Physical Sciences,
Brunel University
Middlesex UB8 3PH
United Kingdom

Email: paresh.date at brunel.ac.uk
Phone: +44 1895 265613
Fax: +44 1895 269732

Short CV

Born in 1971, I grew up in Mumbai and in the neighbouring city of Pune in India. I did my Masters in Electrical Engineering at Indian Institute of Technology, Mumbai in 1995. I worked as an Engineering Executive at Control and Automation Division, Larsen and Toubro Limited in 1995-96, before registering for PhD at Cambridge University Engineering Department (CUED) , United Kingdom. I was funded by Cambridge Commonwealth Trust and by CVCP, UK for my doctoral studies. I worked at CUED as a Research Associate before joining Brunel University in July 2002. I have held short term visiting appointments at Indian Institute of Technology, Mumbai (2006-07) and Indian Institute of Management, Kolkata (2010).

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Peer-reviewed Journal Publications

A list of refereed conference papers is available here.

One conference paper unavailable on major online databases:

K. Ponomareva, P. Date and Z. Wang, A new unscented Kalman filter with higher order moment-matching MTNS 2010pdf.

Papers in scenario generation, nonlinear filtering, applications of filtering in mathematical finance and stochastic control applied to finance

  1. Abhinoy Kumar Singh, Paresh Date and Shovan Bhaumik, A new algorithm for continuous-discrete filtering with randomly delayed measurements, accepted for publication at IET Control Theory and Applications, August 2016.

  2. N. Grishina, C. Lucas and P. Date, Prospect theory–based portfolio optimization: an empirical study and analysis using intelligent algorithms, Quantitative Finance, vol. 17, pages 353-367, 2017 (doi: 10.1080/14697688.2016.1149611).

  3. A.K. Singh, P. Date and S. Bhaumik, A Modified Bayesian Filter for Randomly Delayed Measurements , accepted for publication at IEEE Transactions on Automatic Control, vol. 62, pages 419-424, 2017 (doi: 10.1109/TAC.2016.2531418).

  4. Abhinoy Kumar Singh, Shovan Bhaumik and Paresh Date, Quadrature filters for one-step randomly delayed measurements , Applied Mathematical Modelling, vol. 40, pages 8296-8308, 2016 (doi: 10.1016/j.apm.2016.04.016).

  5. Paresh Date and Roberto Bustreo, Measuring the risk of a nonlinear portfolio with fat tailed risk factors through probability conserving transformation, IMA Journal of Management Mathematics, vol. 27, pages 157-180, 2016 (doi: 10.1093/imaman/dpu015).

  6. P. Date and R.Bustreo, Value-at-Risk for fixed-income portfolios: a Kalman filtering approach, IMA Journal of Management Mathematics, vol. 27, 557-573, 2016 (doi: 10.1093/imaman/dpv016).

  7. Suren Islyaev and Paresh Date, Electricity futures price models: Calibration and forecasting, European Journal of Operational Research, vol. 247, pages 144-154, 2015 (doi: 10.1016/j.ejor.2015.05.063).

  8. Paresh Date and Suren Islyaev, A fast calibrating volatility model for option pricing, European Journal of Operational Research, vol. 243, pages 599-606, 2015 (doi: 10.1016/j.ejor.2014.12.031).

  9. Ksenia Ponomareva, Diana Roman and Paresh Date, An algorithm for moment-matching scenario generation with application to financial portfolio optimization, European Journal of Operational Research, vol. 240, pages 678-687, 2015 (doi: 10.1016/j.ejor.2014.07.049).

  10. Paresh Date and Bujar Gashi, Controllability and controller-observer design for a class of linear time-varying systems, Journal of Mathematical Modelling and Algorithms in Operations Research, vol. 13, pages 103-112, 2014 (doi: 10.1007/s10852-012-9212-6).

  11. Paresh Date and Bujar Gashi, Generalised risk sensitive control with full and partial state observation, Journal of Mathematical Modelling and Algorithms in Operations Research, vol. 13, pages 87-101, 2014 (doi: 10.1007/s10852-012-9205-5).

  12. K. Ponomareva and P. Date, An exact minimum variance filter for a class of discrete time systems with random parameter perturbations, Applied Mathematical Modelling, vol. 38, pages 2422-2434, 2014 (doi: 10.1016/j.apm.2013.10.040).

  13. K. Ponomareva and P. Date, Higher order sigma point filter: a new heuristic for nonlinear time series filtering, Applied Mathematics and Computation, vol. 221, pages 662-671, 2013 (doi: 10.1016/j.amc.2013.06.084).

  14. Paresh Date and Bujar Gashi, Risk-sensitive control for a class of nonlinear systems with multiplicative noise, Systems and Control Letters, vol. 62, pages 988-999, 2013 (doi:10.1016/j.sysconle.2013.07.007).

  15. Paresh Date, Rogemar Mamon and Anton Tenyakov, Filtering and forecasting commodity futures prices under an HMM framework, Energy Economics, vol. 40, pages 1001-1013, 2013 (doi: 10.1016/j.eneco.2013.05.016).

  16. S. Sidorov, P. Date and V. Balash, Using news analytics data in GARCH models, Applied Econometrics, vol. 29, pages 82-96, 2013 (in Russian). Abstract.

  17. S. Mitra, P. Date, R. Mamon and I-Chieh Wang, Pricing and risk management of interest rate swaps, European Journal of Operational Research, vol. 228, pages 102-111, 2013 (doi: 10.1016/j.ejor.2012.11.032).

  18. Bujar Gashi and Paresh Date, Two methods for optimal investment with trading strategies of finite variation, IMA Journal of Management Mathematics, vol. 23, pages 171-194, 2012 (doi: 10.1093/imaman/dpr009).

  19. P. Date, A.Canepa and M. Abdel-jawad, A mixed integer linear programming model for optimal sovereign debt issuance, European Journal of Operational Research, vol. 214, pages 749-758, 2011 (doi: 10.1016/j.ejor.2011.04.034 ).

  20. P. Date and K. Ponomareva, Linear and nonlinear filtering in mathematical finance: a review, IMA Journal of Management Mathematics, vol. 22, pages 195-211, 2011 (doi: 10.1093/imaman/dpq008).

  21. S. Mitra and P. Date, Regime switching volatility calibration by the Baum-Welch method, Journal of Computational and Applied Mathematics, vol. 234, pages 3243-3260, 2010 (doi: 10.1016/j.cam.2010.04.022).

  22. Paresh Date, Luka Jalen and Rogemar Mamon, A partially linearized sigma point filter for latent state estimation in nonlinear time series models, Journal of Computational and Applied Mathematics, vol. 233, pages 2675-2682, 2010 (doi: 10.1016/j.cam.2009.11.015).

  23. P. Date and I.C.Wang, Linear Gaussian affine term structure models with unobservable factors: calibration and yield forecasting, European Journal of Operational Research, vol. 195, pages156-166, 2009 (doi: 10.1016/j.ejor.2008.01.035).

  24. P. Date, R. Mamon and L. Jalen, A new moment matching algorithm for sampling from partially specified symmetric distributions, Operations Research Letters, vol. 36, pages 669-672, 2008 (doi:10.1016/j.orl.2008.07.004). Matlab code for this moment matching scenario generation algorithm is available here (written by Dr Luka Jalen). This includes afunction file as well as a script demonstrating a prototype application.

  25. Paresh Date, Luka Jalen and Rogemar Mamon, A new algorithm for latent state estimation in nonlinear time series models, Applied Mathematics and Computation,vol. 203, pages 224-232, 2008 (doi: 10.1016/j.amc.2008.04.028).

  26. R. Hawkes and P.Date, Medium term horizon volatility forecasting: a comparative study, Applied Stochastic Models in Business and Industry, vol. 23, pages 465-481, 2007 (doi: 10.1002/asmb.684).

    Papers in insurance mathematics

  1. P. Date, R. Mamon, L. Jalen and I.C. Wang, A linear algebraic method for pricing temporary life annuities and insurance policies, Insurance: Mathematics & Economics, vol. 47, pages 98-104, 2010 (doi:10.1016/j.insmatheco.2010.04.004 ).

  2. P. Date, R. Mamon and I.C. Wang, Valuation of cash flows under random rates of interest: a linear algebraic approach, Insurance: Mathematics & Economics, vol. 41, pages 84-95, 2007 (doi:10.1016/j.insmatheco.2006.10.001)).

    Papers in system identification, model order reduction and model validation

  1. P. Li, J. Lam, Z. Wang and P. Date, Positivity preserving H-infinity model reduction for positive systems, Automatica, vol. 47, pages 1504-1511, 2011 (doi: 10.1016/j.automatica.2011.02.032).

  2. E. Pepona, S. Paoletti, A. Garulli, and P. Date, Identification of piecewise affine LFR models of interconnected systems, IEEE Transactions on Control Systems Technology, vol. 19, pages 148-155, 2011 (doi: 10.1109/TCST.2010.2080680).

  3. P. Date and M. Cantoni, On validating closed-loop behaviour from noisy frequency response measurements, Systems and Control Letters, vol. 54, pages 607-612, 2005 (doi: 10.1016/j.sysconle.2004.11.002).

  4. P. Date and M. Cantoni,Abound on closed-loop performance based on finite frequency response samples, Systems and Control Letters, vol. 54, pages 447-454, 2005 (doi: 10.1016/j.sysconle.2004.09.009).

  5. P. Date and G. Vinnicombe, Measuring distance between systems under bounded power excitation, SIAM Journal of Control and Optimization, vol. 43, pages 922-936, 2004 (doi: 10.1137/S0363012902410113).

  6. P. Date and G.Vinnicombe,Algorithms for worst case identification in H-infinity and the nu-gap metric,Automatica, vol. 40, pages 995-1002, 2004 (doi: 10.1016/j.automatica.2004.01.019).

  7. P. Date and A. Lanzon, A combined iterative scheme for identification and control redesigns, International Journal of Adaptive Control and Signal Processing, vol. 18, pages 629-644, 2004 (doi: 10.1002/acs.824).

  8. P.S.V. Nataraj, P. Date and A. Umrani, Robust feedback synthesis for nonlinear integrodifferential equation models using generalized describing functions, Automatica, vol. 33, pages 959-962, 1997 (doi: 10.1016/S0005-1098(96)00225-7).

    Paper in explosion protection

  1. P.Date, R. Lade, G. Mitra and P. Moore, Modelling the risk of failure in explosion protection installations, Journal of Loss Prevention in the Process Industries, vol. 22, pages 492-498, 2009 (doi: 10.1016/j.jlp.2009.03.007).

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Current PhD Students

PhD Completions

Mphil Completions

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Recent External Grants

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External Professional Responsibilities

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Teaching

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