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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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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
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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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Risk minimisation using options and risky assets
Mohd Azdi Maasar; Roman, Diana; Date, Paresh - In: Operational research : an international journal 22 (2022) 1, pp. 485-506
Persistent link: https://www.econbiz.de/10013173306
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Pricing and hedging wind power prediction risk with binary option contracts
Thakur, Jagruti; Hesamzadeh, Mohammad Reza; Date, Paresh; … - In: Energy economics 126 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014483492
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New control variates for pricing basket options
Jipreze, Kam; Date, Paresh - In: IMA journal of management mathematics 36 (2025) 1, pp. 111-133
Persistent link: https://www.econbiz.de/10015333130
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An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks
Zhao, Yixing; Mamon, Rogemar - In: Insurance / Mathematics & economics 78 (2018), pp. 1-12
Persistent link: https://www.econbiz.de/10011825060