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Hidden Markov models for financial optimization problems
Roman, Diana; Mitra, Gautam; Spagnolo, Nicola - In: IMA journal of management mathematics 21 (2010) 2, pp. 111-129
Persistent link: https://www.econbiz.de/10003984220
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Novel approaches for portfolio construction using second order stochastic dominance
Valle, Christiano Arbex; Roman, Diana; Mitra, Gautam - In: Computational Management Science : CMS 14 (2017) 2, pp. 257-280
Persistent link: https://www.econbiz.de/10011710779
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ALM models based on second order stochastic dominance
Alwohaibi, Maram; Roman, Diana - In: Computational Management Science : CMS 15 (2018) 2, pp. 187-211
Persistent link: https://www.econbiz.de/10011876525
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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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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
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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