| Publication | Date of Publication | Type |
|---|
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 | 2024-08-16 | Paper |
Forecasting crude oil futures prices using global macroeconomic news sentiment
IMA Journal of Management Mathematics | 2021-07-13 | Paper |
Quadrature filters for one-step randomly delayed measurements
Applied Mathematical Modelling | 2020-02-05 | Paper |
News augmented GARCH(1,1) model for volatility prediction
IMA Journal of Management Mathematics | 2019-09-25 | Paper |
| Nonlinear estimation. Methods and applications with deterministic sample points | 2019-07-25 | Paper |
Measuring the risk of a non-linear portfolio with fat-tailed risk factors through a probability conserving transformation
IMA Journal of Management Mathematics | 2019-06-18 | Paper |
Adaptive sparse-grid Gauss-Hermite filter
Journal of Computational and Applied Mathematics | 2018-06-13 | Paper |
A Modified Bayesian Filter for Randomly Delayed Measurements
IEEE Transactions on Automatic Control | 2017-05-03 | Paper |
A fast calibrating volatility model for option pricing
European Journal of Operational Research | 2016-10-06 | Paper |
Electricity futures price models: calibration and forecasting
European Journal of Operational Research | 2016-10-06 | Paper |
Pricing and risk management of interest rate swaps
European Journal of Operational Research | 2016-03-15 | Paper |
Higher order sigma point filter: a new heuristic for nonlinear time series filtering
Applied Mathematics and Computation | 2016-01-19 | Paper |
Risk-sensitive control for a class of nonlinear systems with multiplicative noise
Systems & Control Letters | 2014-03-07 | Paper |
Generalised risk-sensitive control with full and partial state observation
Journal of Mathematical Modelling and Algorithms in Operations Research | 2014-02-07 | Paper |
Controllability and controller-observer design for a class of linear time-varying systems
Journal of Mathematical Modelling and Algorithms in Operations Research | 2014-02-07 | Paper |
Two methods for optimal investment with trading strategies of finite variation
IMA Journal of Management Mathematics | 2012-08-30 | Paper |
Positivity-preserving \(H_\infty\) model reduction for positive systems
Automatica | 2011-08-01 | Paper |
Regime switching volatility calibration by the Baum-Welch method
Journal of Computational and Applied Mathematics | 2010-08-27 | Paper |
A partially linearized sigma point filter for latent state estimation in nonlinear time series models
Journal of Computational and Applied Mathematics | 2010-02-12 | Paper |
Medium-term horizon volatility forecasting: A comparative study
Applied Stochastic Models in Business and Industry | 2009-02-28 | Paper |
A new algorithm for latent state estimation in non-linear time series models
Applied Mathematics and Computation | 2009-01-16 | Paper |
Linear Gaussian affine term structure models with unobservable factors: Calibration and yield forecasting
European Journal of Operational Research | 2009-01-08 | Paper |
On validating closed-loop behaviour from noisy frequency-response measurements
Systems & Control Letters | 2006-09-25 | Paper |
A bound on closed-loop performance based on finite-frequency response samples
Systems & Control Letters | 2006-09-25 | Paper |
A combined iterative scheme for identification and control redesigns
International Journal of Adaptive Control and Signal Processing | 2005-02-22 | Paper |
