All Stories

  1. Wrapped Particle Filtering for Angular Data

    Article • IEEE Access, January 2022, Institute of Electrical & Electronics Engineers (IEEE)

    Dr Paresh Date

  2. Gaussian Filtering for Simultaneously Occurring Delayed and Missing Measurements

    Article • IEEE Access, January 2022, Institute of Electrical & Electronics Engineers (IEEE)

    Dr Paresh Date

  3. A Machine Learning Approach for Micro-Credit Scoring

    Article • Risks, March 2021, MDPI AG

    Dr Paresh Date, Dr Apostolos Ampountolas

  4. Optimal Dispatch in a Balancing Market With Intermittent Renewable Generation

    Article • IEEE Transactions on Power Systems, March 2021, Institute of Electrical & Electronics Engineers (IEEE)

    Dr Paresh Date

  5. Extended Kalman Filter Using Orthogonal Polynomials

    Article • IEEE Access, January 2021, Institute of Electrical & Electronics Engineers (IEEE)

    Dr Paresh Date

  6. A New Method for Generating Sigma Points and Weights for Nonlinear Filtering

    Article • IEEE Control Systems Letters, July 2018, Institute of Electrical & Electronics Engineers (IEEE)

    Dr Paresh Date

  7. Adaptive sparse-grid Gauss–Hermite filter

    Article • Journal of Computational and Applied Mathematics, April 2018, Elsevier

    Dr Paresh Date

  8. Distributed H∞ Filtering for Switched Stochastic Delayed Systems Over Sensor Networks With Fading Measurements

    Article • IEEE Transactions on Cybernetics, January 2018, Institute of Electrical & Electronics Engineers (IEEE)

    Dr Paresh Date

  9. An approximate minimum variance filter for nonlinear systems with randomly delayed observations

    Article • August 2017, Institute of Electrical & Electronics Engineers (IEEE)

    Dr Paresh Date

  10. A Modified Bayesian Filter for Randomly Delayed Measurements

    Article • IEEE Transactions on Automatic Control, January 2017, Institute of Electrical & Electronics Engineers (IEEE)

    Dr Paresh Date

  11. New algorithm for continuous-discrete filtering with randomly delayed measurements

    Article • IET Control Theory and Applications, November 2016, the Institution of Engineering and Technology (the IET)

    Dr Paresh Date, Dr Shovan Bhaumik

  12. Quadrature filters for one-step randomly delayed measurements

    Article • Applied Mathematical Modelling, October 2016, Elsevier

    Dr Paresh Date

  13. A minimum variance filter for continuous discrete systems with additive-multiplicative noise

    Article • August 2016, Institute of Electrical & Electronics Engineers (IEEE)

    Dr Paresh Date

  14. Portfolio optimization using objective function based on behavioural finance

    Article • Quantitative Finance, July 2016, Taylor & Francis

    Dr Paresh Date

  15. A minimum variance filter for discrete time linear systems with parametric uncertainty

    Article • June 2016, Institute of Electrical & Electronics Engineers (IEEE)

    Dr Paresh Date

  16. Electricity futures price models: Calibration and forecasting

    Article • European Journal of Operational Research, November 2015, Elsevier

    Dr Paresh Date

  17. A fast calibrating volatility model for option pricing

    Article • European Journal of Operational Research, June 2015, Elsevier

    Dr Paresh Date

  18. Value-at-Risk for fixed-income portfolios: a Kalman filtering approach

    Article • IMA Journal of Management Mathematics, May 2015, Oxford University Press (OUP)

    Dr Paresh Date

  19. An algorithm for moment-matching scenario generation with application to financial portfolio optimisation

    Article • European Journal of Operational Research, February 2015, Elsevier

    Dr Paresh Date

  20. Measuring the risk of a non-linear portfolio with fat-tailed risk factors through a probability conserving transformation

    Article • IMA Journal of Management Mathematics, August 2014, Oxford University Press (OUP)

    Dr Paresh Date

  21. An exact minimum variance filter for a class of discrete time systems with random parameter perturbations

    Article • Applied Mathematical Modelling, May 2014, Elsevier

    Dr Paresh Date

  22. Filtering and forecasting commodity futures prices under an HMM framework

    Article • Energy Economics, November 2013, Elsevier

    Dr Paresh Date

  23. Risk-sensitive control for a class of nonlinear systems with multiplicative noise

    Article • Systems & Control Letters, October 2013, Elsevier

    Dr Paresh Date

  24. GARCH Type Volatility Models Augmented with News Intensity Data

    Article • September 2013, Springer Science + Business Media

    Dr Paresh Date

  25. Higher order sigma point filter: A new heuristic for nonlinear time series filtering

    Article • Applied Mathematics and Computation, September 2013, Elsevier

    Dr Paresh Date

  26. The Mathematics of Filtering and Its Applications

    Article • Journal of Mathematical Modelling and Algorithms in Operations Research, July 2013, Springer Science + Business Media

    Dr Paresh Date

  27. Pricing and risk management of interest rate swaps

    Article • European Journal of Operational Research, July 2013, Elsevier

    Dr Paresh Date

  28. Controllability and Controller-Observer Design for a Class of Linear Time-Varying Systems

    Article • Journal of Mathematical Modelling and Algorithms in Operations Research, October 2012, Springer Science + Business Media

    Dr Paresh Date

  29. Generalised Risk-Sensitive Control with Full and Partial State Observation

    Article • Journal of Mathematical Modelling and Algorithms in Operations Research, August 2012, Springer Science + Business Media

    Dr Paresh Date

  30. A mixed integer linear programming model for optimal sovereign debt issuance

    Article • European Journal of Operational Research, November 2011, Elsevier

    Dr Paresh Date

  31. Positivity-preserving

    Article • Automatica, July 2011, Elsevier

    Dr Paresh Date

  32. Two methods for optimal investment with trading strategies of finite variation

    Article • IMA Journal of Management Mathematics, June 2011, Oxford University Press (OUP)

    Dr Paresh Date

  33. Financial contagion simulation through modelling behavioural characteristics of market participants and capturing cross-market linkages

    Article • April 2011, Institute of Electrical & Electronics Engineers (IEEE)

    Dr Paresh Date

  34. Identification of Piecewise Affine LFR Models of Interconnected Systems

    Article • IEEE Transactions on Control Systems Technology, January 2011, Institute of Electrical & Electronics Engineers (IEEE)

    Dr Paresh Date

  35. Regime switching volatility calibration by the Baum–Welch method

    Article • Journal of Computational and Applied Mathematics, October 2010, Elsevier

    Dr Paresh Date

  36. A linear algebraic method for pricing temporary life annuities and insurance policies

    Article • Insurance Mathematics and Economics, August 2010, Elsevier

    Dr Paresh Date

  37. A mixed-game and co-evolutionary genetic programming agent-based model of financial contagion

    Article • July 2010, Institute of Electrical & Electronics Engineers (IEEE)

    Dr Paresh Date

  38. Linear and non-linear filtering in mathematical finance: a review

    Article • IMA Journal of Management Mathematics, June 2010, Oxford University Press (OUP)

    Dr Paresh Date

  39. A partially linearized sigma point filter for latent state estimation in nonlinear time series models

    Article • Journal of Computational and Applied Mathematics, March 2010, Elsevier

    Dr Paresh Date

  40. Modelling the risk of failure in explosion protection installations

    Article • Journal of Loss Prevention in the Process Industries, July 2009, Elsevier

    Dr Paresh Date

  41. Linear Gaussian affine term structure models with unobservable factors: Calibration and yield forecasting

    Article • European Journal of Operational Research, May 2009, Elsevier

    Dr Paresh Date

  42. Exploiting structure in piecewise affine identification of LFT systems

    Article • IFAC Proceedings Volumes, January 2009, Elsevier

    Dr Paresh Date

  43. A new moment matching algorithm for sampling from partially specified symmetric distributions

    Article • Operations Research Letters, November 2008, Elsevier

    Dr Paresh Date

  44. A new algorithm for latent state estimation in non-linear time series models

    Article • Applied Mathematics and Computation, September 2008, Elsevier

    Dr Paresh Date

  45. Valuation of cash flows under random rates of interest: A linear algebraic approach

    Article • Insurance Mathematics and Economics, July 2007, Elsevier

    Dr Paresh Date

  46. Editorial

    Article • IMA Journal of Management Mathematics, April 2007, Oxford University Press (OUP)

    Dr Paresh Date

  47. Medium-term horizon volatility forecasting: A comparative study

    Article • Applied Stochastic Models in Business and Industry, January 2007, Wiley

    Dr Paresh Date

  48. An iterative procedure for piecewise affine identification of nonlinear interconnected systems

    Article • January 2007, Institute of Electrical & Electronics Engineers (IEEE)

    Dr Paresh Date

  49. On validating closed-loop behaviour from noisy frequency-response measurements

    Article • Systems & Control Letters, June 2005, Elsevier

    Dr Paresh Date

  50. A bound on closed-loop performance based on finite-frequency response samples

    Article • Systems & Control Letters, May 2005, Elsevier

    Dr Paresh Date

  51. A combined iterative scheme for identification and control redesigns

    Article • International Journal of Adaptive Control and Signal Processing, October 2004, Wiley

    Dr Paresh Date

  52. Algorithms for worst case identification in H∞ and in the ν-gap metric

    Article • Automatica, June 2004, Elsevier

    Dr Paresh Date

  53. Measuring Distance between Systems under Bounded Power Excitation

    Article • SIAM Journal on Control and Optimization, January 2004, Society for Industrial & Applied Mathematics (SIAM)

    Dr Paresh Date

  54. An algorithm for joint identification and control

    Article • January 2002, Institute of Electrical & Electronics Engineers (IEEE)

    Dr Paresh Date

  55. Robust feedback synthesis for nonlinear integrodifferential equation models using generalized describing functions

    Article • Automatica, May 1997, Elsevier

    Dr Paresh Date

  56. Optimal Portfolio Control with Trading Strategies of Finite Variation

    Article • Institute of Electrical & Electronics Engineers (IEEE)

    Dr Paresh Date