Professor Paresh Date
Head of Department-Mathematics/Professor
Date, P. and Maunthrooa, J. (2024) 'Modelling and forecasting of exchange rate pairs using the Kalman filter'. Journal of Forecasting, 0 (ahead of print). pp. 1 - 17. ISSN: 0277-6693 Open Access Link
Jipreze, K. and Date, P. (2024) 'New control variates for pricing basket options'. IMA Journal of Management Mathematics, 0 (ahead of print). pp. 1 - 23. ISSN: 1471-678X Open Access Link
Thakur, J., Hesamzadeh, MR., Date, P. and Bunn, D. (2023) 'Pricing and hedging wind power prediction risk with binary option contracts'. Energy Economics, 126. pp. 1 - 11. ISSN: 0140-9883 Open Access Link
Han, C., Wang, Z., Zhang, H. and Date, P. (2023) 'Stabilization and Optimal Control for Discrete-time Markov Jump Linear System with Multiplicative Noises and Input Delays: A Complete Solution'. IEEE Transactions on Automatic Control, 69 (5). pp. 2839 - 2854. ISSN: 0018-9286 Open Access Link
Kumar, K., Tiwari, RK., Bhaumik, S. and Date, P. (2022) 'Polynomial Chaos Kalman Filter for Target Tracking Applications'. IET Radar, Sonar and Navigation, 17 (2). pp. 247 - 260. ISSN: 1751-8784 Open Access Link
Naik, AK., Kumar, G., Upadhyay, PK., Date, P. and Singh, AK. (2022) 'Gaussian Filtering for Simultaneously Occurring Delayed and Missing Measurements'. IEEE Access, 10. pp. 100746 - 100762. ISSN: 2169-3536 Open Access Link
Date, P., Kumar, G., Pachori, RB., Swaminathan, R. and Singh, AK. (2022) 'Wrapped Particle Filtering for Angular Data'. IEEE Access, 10. pp. 90287 - 90298. ISSN: 2169-3536 Open Access Link
Roman, D., Maasar, M. and Date, P. (2022) 'Risk Minimisation Using Options and Risky Assets'. Operational Research: An International Journal, 22 (1). pp. 485 - 506. ISSN: 1109-2858 Open Access Link
Date, P., Bhaumik, S. and Kumar, K. (2021) 'Extended Kalman Filter using Orthogonal Polynomials'. IEEE Access, 9. pp. 59675 - 59691. ISSN: 2169-3536 Open Access Link
Ampountolas, A., Nyarko Nde, T., Date, P. and Constantinescu, C. (2021) 'A Machine Learning Approach for Micro-Credit Scoring'. Risks, 9 (3). pp. 1 - 20.Open Access Link
Tiwari, RK., Bhaumik, S., Date, P. and Kirubarajan, T. (2020) 'Particle filter for randomly delayed measurements with unknown latency probability'. Sensors (Switzerland), 20 (19). pp. 1 - 25. ISSN: 1424-8220 Open Access Link
Date, P., Shinde, P., Hesamzadeh, M. and Bunn, D. (2020) 'Optimal Dispatch in a Balancing Market with Intermittent Renewable Generation'. IEEE Transactions on Power Systems, 36 (2). pp. 865 - 878. ISSN: 0885-8950 Open Access Link
Date, P., Sadik, Z. and Mitra, G. (2019) 'Forecasting Crude Oil Futures Prices Using Global Macroeconomic News Sentiment'. IMA Journal of Management Mathematics, 31 (2). pp. 191 - 215. ISSN: 1471-678X Open Access Link
Bhaumik, S. and Date, P. (2019) 'Nonlinear estimation: Methods and Applications with Deterministic Sample Points'. New York, NY, USA: Chapman and Hall/CRC. ISSN 10: 1-351-01235-5 ISSN 13: 978-0-8153-9432-7
Date, P., Sadik, Z. and Mitra, G. (2019) 'News augmented GARCH(1,1) model for volatility prediction'. IMA Journal of Management Mathematics, 30 (2). pp. 165 - 185. ISSN: 1471-678X Open Access Link
Date, P. and Neslihanoglu, S. (2019) 'A Modified Sequential Monte Carlo Procedure for the Efficient Recursive Estimation of Extreme Quantiles'. Journal of Forecasting, 38 (5). pp. 390 - 399. ISSN: 1099-131X Open Access Link
Chen, Y., Wang, Z., Yuan, Y. and Date, P. (2018)
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Date, P., Radhakrishnan, R., Yadav, A. and Bhaumik, S. (2018) 'A new method for generating sigma points and weights for nonlinear filtering'. IEEE Control Systems Letters, 2 (3). pp. 519 - 524. ISSN: 2475-1456 Open Access Link
Date, P., Singh, A., Bhaumik, S. and Radhakrishnan, R. (2018) 'Adaptive Sparse-grid Gauss-Hermite Filter'. Journal of Computational and Applied Mathematics, 342. pp. 305 - 316. ISSN: 0377-0427 Open Access Link
Date, P., Singh, A. and Bhaumik, S. (2016) 'A new algorithm for continuous-discrete filtering with randomly delayed measurements'. IET Control Theory & Applications, 10 (17). pp. 2298 - 23-5. ISSN: 1751-8644 Open Access Link
Radhakrishnan, R., Singh, AK., Bhaumik, S. and Date, P. (2016) 'Computationally efficient sparse-grid Gauss-Hermite filtering'.2017 Indian Control Conference. Guwahati, India.Open Access Link
Maasar, MA., Roman, D. and Date, P. (2016) 'Portfolio optimisation using risky assets with options as derivative insurance'. OpenAccess Series in Informatics. pp. 9.1 - 9.17. ISSN: 2190-6807 Open Access Link
Grishina, N., Lucas, CA. and Date, P. (2016) 'Prospect theory-based portfolio optimization: an empirical study and analysis using intelligent algorithms'. Quantitative Finance, 17 (3). pp. 353 - 367. ISSN: 1469-7688 Open Access Link
Singh, AK., Bhaumik, S. and Date, P. (2016) 'Quadrature Filters for One-step Randomly Delayed Measurements'. Applied Mathematical Modelling, 40 (19-20). pp. 8296 - 8308. ISSN: 0307-904X Open Access Link
Date, P. and Bustreo, R. (2016) 'Measuring the risk of a nonlinear portfolio with fat tailed risk factors through probability conserving transformation'. IMA Journal of Management Mathematics, 27 (2). pp. 157 - 180. ISSN: 1471-6798 Open Access Link
Singh, AK., Date, P. and Bhoumik, S. (2016) 'A Modified Bayesian Filter for Randomly Delayed Measurements'. IEEE Transactions on Automatic Control, 62 (1). pp. 419 - 424. ISSN: 0018-9286 Open Access Link
Date, P. and Islyaev, S. (2015) 'Electricity futures price models : calibration and forecasting'. European Journal of Operational Research, 247 (1). pp. 144 - 154. ISSN: 0311-2217 Open Access Link
Date, P. and Bustreo, R. (2015) 'Value-at-Risk for fixed-income portfolios: a Kalman filtering approach'. IMA Journal of Management Mathematics, 27 (4). pp. 557 - 573. ISSN: 1471-678X Open Access Link
Date, P. and Islyaev, S. (2014) 'A fast calibrating volatility model for option pricing'. European Journal of Operational Research, 243 (2). pp. 599 - 606. ISSN: 0377-2217 Open Access Link
Date, P., Ponomareva, K. and Roman, D. (2014) 'An algorithm for moment-matching scenario generation with application to financial portfolio optimization'. 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
Date, P. and Gashi, B. (2014) 'Controllability and Controller-Observer Design for a Class of Linear Time-Varying Systems'. Journal of Mathematical Modelling and Algorithms, 13 (1). pp. 103 - 112. ISSN: 1570-1166 Open Access Link
Date, P. and Gashi, B. (2014) 'Generalised risk-sensitive control with full and partial state observation'. Journal of Mathematical Modelling and Algorithms, 13 (1). pp. 87 - 101. ISSN: 1570-1166 Open Access Link
Date, P., Mamon, R. and Tenyakov, A. (2013) 'Filtering and forecasting commodity futures prices under an HMM framework'. Energy Economics, 40. pp. 1001 - 1013. ISSN: 0140-9883 Open Access Link
Date, P. and Gashi, B. (2013) 'Risk-sensitive control for a class of nonlinear systems with multiplicative noise'. Systems and Control Letters, 62 (10). pp. 988 - 999. ISSN: 0167-6911 Open Access Link
Mitra, S., Date, P., Mamon, R. and Wang, IC. (2013) 'Pricing and risk management of interest rate swaps'. European Journal of Operational Research, 228 (1). pp. 102 - 111. ISSN: 0377-2217
Ponomareva, K. and Date, P. (2013) 'Higher order sigma point filter: A new heuristic for nonlinear time series filtering'. Applied Mathematics and Computation, 221. pp. 662 - 671. ISSN: 0096-3003 Open Access Link
Date, P., Canepa, A. and Abdel-Jawad, M. (2011) 'A mixed integer linear programming model for optimal sovereign debt issuance'. European Journal of Operational Research, 214 (3). pp. 749 - 758. ISSN: 0377-2217 Open Access Link
Gashi, B. and Date, P. (2011) 'Two methods for optimal investment with trading strategies of finite variation'. IMA Journal of Management Mathematics, 23 (Online). pp. 171 - 193. ISSN: 1471-678X Open Access Link
Date, P. and Ponomareva, K. (2011) 'Linear and non-linear filtering in mathematical finance: a review'. IMA JOURNAL OF MANAGEMENT MATHEMATICS, 22 (3). pp. 195 - 211. ISSN: 1471-678X Open Access Link
Li, P., Lam, J., Wang, Z. and Date, P. (2011) 'Positivity-preserving H∞ model reduction for positive systems'. AutomaticaIterative algorithm, 47 (7). pp. 1504 - 1511. ISSN: 0005-1098 Open Access Link
Pepona, E., Paoletti, S., Garulli, A. and Date, P. (2011) 'Identification of piecewise affine LFR models of interconnected systems'. IEEE Transactions on Control Systems Technology, 19 (1). pp. 148 - 155. ISSN: 1063-6536
Mitra, S. and Date, P. (2010) 'Regime switching volatility calibration by the BaumWelch method'. Journal of Computational and Applied Mathematics, 234 (12). pp. 3243 - 3260. ISSN: 0377-0427
Date, P., Mamon, R., Jalen, L. and Wang, IC. (2010) 'A linear algebraic method for pricing temporary life annuities and insurance policies'. Insurance: Mathematics and Economics, 47 (1). pp. 98 - 104. ISSN: 0167-6687 Open Access Link
Date, P., Jalen, L. and Mamon, R. (2010) 'A partially linearized sigma point filter for latent state estimation in nonlinear time series models'. Journal of Computational and Applied Mathematics, 233 (10). pp. 2675 - 2682. ISSN: 0377-0427 Open Access Link
Gashi, B. and Date, P. (2009) 'Optimal portfolio control with trading strategies of finite variation'.44th IEEE Conference on Decision and Control 2005 and 2005 European Control Conference (CDC-ECC '05). Seville, Spain. 12 - 15 December. IEEE. pp. 4536 - 4541. ISSN: 0191-2216 Open Access Link
Date, P., Lade, RJ., Mitra, G. and Moore, PE. (2009) 'Modelling the risk of failure in explosion protection installations'. Journal of Loss Prevention in the Process Industries, 22 (4). pp. 492 - 498. ISSN: 0950-4230 Open Access Link
Date, P. and Wang, C. (2009) 'Linear Gaussian affine term structure models with unobservable factors: calibration and yield forecasting'. European Journal of Operational Research, 195 (1). pp. 156 - 166. ISSN: 0377-2217 Open Access Link
Date, P., Jalen, L. and Mamon, R. (2008) 'A new algorithm for latent state estimation in non-linear time series models'. Applied Mathematics and Computation, 203 (1). pp. 224 - 232. ISSN: 0096-3003 Open Access Link
Date, P., Mamon, R. and Jalen, L. (2008) 'A new moment matching algorithm for sampling from partially specified symmetric distributions'. Operations Research Letters, 36 (6). pp. 669 - 672. ISSN: 0167-6377 Open Access Link