Dr Paresh Date
Senior Lecturer

Date, P. and Bustreo, R. (2016) 'Measuring the risk of a non-linear portfolio with fat-tailed risk factors through a probability conserving transformation'. IMA JOURNAL OF MANAGEMENT MATHEMATICS, 27 (2). pp. 157 - 180. ISSN: 1471-678X Open Access Link

Islyaev, S. and Date, P. (2015) 'Electricity futures price models: Calibration and forecasting'. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 247 (1). pp. 144 - 154. ISSN: 0377-2217 Open Access Link

Date, P. and Islyaev, S. (2015) 'A fast calibrating volatility model for option pricing'. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 243 (2). pp. 599 - 606. ISSN: 0377-2217 Open Access Link

Ponomareva, K., Roman, D. and Date, P. (2015) 'An algorithm for moment-matching scenario generation with application to financial portfolio optimisation'. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 240 (3). pp. 678 - 687. ISSN: 0377-2217 Open Access Link

Ponomareva, K. and Date, P. (2014) 'An exact minimum variance filter for a class of discrete time systems with random parameter perturbations'. Applied Mathematical Modelling, 38 (9-10). pp. 2422 - 2434. ISSN: 0307-904X Open Access Link