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Issue DateTitleAuthor(s)
2015An algorithm for moment-matching scenario generation with application to financial portfolio optimizationDate, P; Ponomareva, K; Roman, D
2004Algorithms for worst case identification in H-infinity and the nu-gap metricDate, P; Vinnicombe, G
2013Applications of optimization to sovereign debt issuanceDate, P; Abdel-Jawad, Malek
2013Bayesian techniques for discrete stochastic volatility modelsDate, P; Soldatov, Vladislav
2014A behavioural approach to financial portfolio selection problem: an empirical study using heuristicsLucas, C; Date, P; Grishina, Nina
2014Controllability and controller-observer design for a class of linear time-varying systemsDate, P; Gashi, B
2015Electricity futures price models : Calibration and forecastingDate, P; Islyaev, S
2014An exact minimum variance filter for a class of discrete time systems with random parameter perturbationsPonomareva, K; Date, P
2009Exploiting structure in piecewise affine identification of LFT systemsPaoletti, S; Garulli, A; Pepona, E; Date, P
2009Exploiting structure in piecewise affine identification of LFT systemsPaoletti, S; Garulli, A; Pepona, E; Date, P
2014A fast calibrating volatility model for option pricingDate, P; Islyaev, S
2013Filtering and forecasting commodity futures prices under an HMM frameworkDate, P; Mamon, R; Tenyakov, A
2013Higher order sigma point filter: A new heuristic for nonlinear time series filteringPonomareva, K; Date, P
2009Identification of nonlinear interconnected systemsDate, P; Pepona, Eleni
2012An investigation into using news analytics data in GARCH type volatility modelsDate, P; Sidorov, Sergey P
2007Iterative procedures for identification of nonlinear interconnected systemsPepona, E; Date, P
2012Latent state estimation in a class of nonlinear systemsDate, P; Ponomareva, Ksenia
2010A linear algebraic method for pricing temporary life annuities and insurance policiesDate, P; Mamon, R; Jalen, L; Wang, IC
2011Linear and nonlinear filtering in mathematical finance: a reviewDate, P; Ponomareva, K
2008Linear Gaussian Affine Term Structure Models with Unobservable Factors: Calibration and Yield ForecastingDate, P; Wang, I C