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Mortality modelling with regime-switching for the valuation of a guaranteed annuity option

Gao, Huan; Mamon, Rogemar; Liu, Xiaoming; Tenyakov, Anton - In: Insurance / Mathematics & economics 63 (2015), pp. 108-120

Persistent link: https://www.econbiz.de/10011349846

Valuation of cash flows under random rates of interest : a linear algebraic approach

Date, Paresh; Mamon, Rogemar; Wang, I. C. - In: Insurance / Mathematics & economics 41 (2007) 1, pp. 84-95

Persistent link: https://www.econbiz.de/10003755674

Pricing and risk management of interest rate swaps

Mitra, Sovan; Date, Paresh; Mamon, Rogemar; Wang, I-chieh - In: European journal of operational research : EJOR 228 (2013) 1, pp. 102-111

Persistent link: https://www.econbiz.de/10009734148

A machine learning approach for micro-credit scoring

Ampountolas, Apostolos; Nde, Titus Nyarko; Date, Paresh; … - In: Risks 9 (2021) 3, pp. 1-20

In micro-lending markets, lack of recorded credit history is a significant impediment to assessing individual borrowers' creditworthiness and therefore deciding fair interest rates. This research compares various machine learning algorithms on real micro-lending data to test their efficacy at...

Persistent link: https://www.econbiz.de/10013200719

A modified sequential Monte Carlo procedure for the efficient recursive estimation of extreme quantiles

Neslihanoglu, Serdar; Date, Paresh - In: Journal of Forecasting 38 (2019) 5, pp. 390-399

Persistent link: https://www.econbiz.de/10012082029

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

Date, Paresh; Mamon, R.; Jalen, L.; Wang, I. C. - In: Insurance / Mathematics & economics 47 (2010) 1, pp. 98-104

Persistent link: https://www.econbiz.de/10003985407

GARCH type volatility models augmented with news intensity data

Sidorov, Sergei P.; Date, Paresh; Balash, Vladimir - In: Chaos, complexity and leadership 2012, (pp. 199-207). 2014

Persistent link: https://www.econbiz.de/10010242021

Two methods for optimal investment with trading strategies of finite variation

Gashi, Bujar; Date, Paresh - In: IMA journal of management mathematics 23 (2012) 2, pp. 171-193

Persistent link: https://www.econbiz.de/10009548871

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

Date, Paresh; Ponomareva, K. - In: IMA journal of management mathematics 22 (2011) 3, pp. 195-211

Persistent link: https://www.econbiz.de/10009297153

A fast calibrating volatility model for option pricing

Date, Paresh; Islyaev, Suren - In: European journal of operational research : EJOR 243 (2015) 2, pp. 599-606

Persistent link: https://www.econbiz.de/10010510013