Paresh Date

Available identifiers

zbMath Open date.paresh-mMaRDI QIDQ257231

List of research outcomes

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

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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