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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
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2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
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7
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
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8
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
Saved in:
9
Measuring the risk of a non-linear portfolio with fat-tailed risk factors through a probability conserving transformation
Date, Paresh
;
Bustreo, Roberto
- In:
IMA journal of management mathematics
27
(
2016
)
2
,
pp. 157-180
Persistent link: https://www.econbiz.de/10011567011
Saved in:
10
Electricity futures price models : calibration and forecasting
Islyaev, Suren
;
Date, Paresh
- In:
European journal of operational research : EJOR
247
(
2015
)
1
,
pp. 144-154
Persistent link: https://www.econbiz.de/10011347115
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