Dr
Paresh Date
I am a Senior Lecturer in CARISMA (Centre for the Analysis of Risk and Optimisation Modelling Applications) at the Department of Mathematical Sciences, School of Information Systems, Computing and Mathematics, Brunel University. I am also the Director of Research for the Department.
My main research interest is developing algorithms for latent state estimation or filtering in nonlinear time series and applications of filtering, especially in mathematical finance. Besides this key topic, I have a diverse research portfolio which includes system identification, scenario generation, insurance mathematics and efficient ways of computing tail distributions in financial portfolios which include nonlinear instruments.
Newsflash: In July 2011, I organized an interdisciplinary workshop on the mathematics of filtering and its applications at Brunel University, which is partly funded by London Mathematical Society. Following the success of this workshop, Journal of Mathematical Modelling and Algorithms will be publishing a special issue related to the mathematics of filtering. The call for papers is available here.
Contact
Information
School of Information Systems, Computing and
Mathematics,
Brunel University
Middlesex UB8 3PH
United Kingdom
Email: paresh.date at brunel.ac.uk
Phone: +44 1895 265613
Fax: +44 1895 269732
Short
CV
Born in 1971, I grew up in Mumbai and in the neighbouring city of Pune in India. I did my Masters in Electrical Engineering at Indian Institute of Technology, Mumbai in 1995. I worked as an Engineering Executive at Control and Automation Division, Larsen and Toubro Limited in 1995-96, before registering for PhD at Cambridge University Engineering Department (CUED) , United Kingdom. I was funded by Cambridge Commonwealth Trust and by CVCP, UK for my doctoral studies. I worked at CUED as a Research Associate before joining Brunel University in July 2002. I have held short term visiting appointments at Indian Institute of Technology, Mumbai (2006-07) and Indian Institute of Management, Kolkata (2010).
Journal
Publications
Publications marked with * are available on Brunel University Research Archive. A list of refereed conference papers is available here.
Papers in scenario generation, nonlinear filtering and applications of filtering in mathematical finance
1. B. Gashi and P. Date, Two methods for optimal investment with trading strategies of finite variation, IMA Journal of Management Mathematics, vo. 23, pages 171-194, 2012 (doi: 10.1093/imaman/dpr009).
2. P. Date, A. Canepa and M. Abdel-jawad, A mixed integer linear programming model for optimal sovereign debt issuance, European Journal of Operational Research, vol. 214, pages 749-758, 2011 (doi: 10.1016/j.ejor.2011.04.034).
3. P. Date and K. Ponomareva, Linear and nonlinear filtering in mathematical finance: a review, IMA Journal of Management Mathematics, vol. 22, pages 195-211, 2011 (doi: 10.1093/imaman/dpq008).
4. S. Mitra and P. Date, Regime switching volatility calibration by the Baum-Welch method, Journal of Computational and Applied Mathematics, vol. 234, pages 3243-3260, 2010 (doi: 10.1016/j.cam.2010.04.022).
5. *P. Date, L. Jalen and R. Mamon, A partially linearized sigma point filter for latent state estimation in nonlinear time series models, Journal of Computational and Applied Mathematics, vol. 233, pages 2675-2682, 2010 (doi: 10.1016/j.cam.2009.11.015).
6. P. Date and I.C. Wang, Linear Gaussian affine term structure models with unobservable factors: calibration and yield forecasting, European Journal of Operational Research, vol. 195, pages156-166, 2009 (doi: 10.1016/j.ejor.2008.01.035).
7. *P. Date, R. Mamon and L. Jalen, A new moment matching algorithm for sampling from partially specified symmetric distributions, Operations Research Letters, vol. 36, pages 669-672, 2008 (doi: 10.1016/j.orl.2008.07.004). Matlab code for this moment matching scenario generation algorithm is available here (written by Dr Luka Jalen). This includes a function file as well as a script demonstrating a prototype application.
8. P. Date, L. Jalen and R. Mamon, A new algorithm for latent state estimation in nonlinear time series models, Applied Mathematics and Computation, vol. 203, pages 224-232, 2008 (doi: 10.1016/j.amc.2008.04.028).
9. R. Hawkes and P. Date, Medium term horizon volatility forecasting: a comparative study, Applied Stochastic Models in Business and Industry, vol. 23, pages 465-481, 2007 (doi: 10.1002/asmb.684).
Papers in insurance mathematics
10. P. Date, R. Mamon, L. Jalen and I.C. Wang, A linear algebraic method for pricing temporary life annuities and insurance policies, Insurance: Mathematics & Economics, vol. 47, pages 98-104, 2010 (doi:10.1016/j.insmatheco.2010.04.004).
11. * P. Date, R. Mamon and I.C. Wang, Valuation of cash flows under random rates of interest: a linear algebraic approach, Insurance: Mathematics & Economics, vol. 41, pages 84-95, 2007 (doi: 10.1016/j.insmatheco.2006.10.001).
Papers in system identification, model order reduction and model validation
12. P. Li, J. Lam, Z. Wang and P. Date, Positivity preserving H-infinity model reduction for positive systems, Automatica, vol. 47, pages 1504-1511, 2011
(doi: 10.1016/j.automatica.2011.02.032).
13. E. Pepona, S. Paoletti, A. Garulli, and P. Date, Identification of piecewise affine LFR models of interconnected systems, IEEE Transactions on Control Systems Technology, vol. 19, pages 148-155, 2011 (doi: 10.1109/TCST.2010.2080680).
14. * P. Date and M. Cantoni, On validating closed-loop behaviour from noisy frequency response measurements, Systems and Control Letters, vol. 54, pages 607-612, 2005 (doi: 10.1016/j.sysconle.2004.11.002).
15. P. Date and M. Cantoni, A bound on closed-loop performance based on finite frequency response samples, Systems and Control Letters, vol. 54, pages 447-454, 2005 (doi: 10.1016/j.sysconle.2004.09.009).
16. * P. Date and G. Vinnicombe, Measuring distance between systems under bounded power excitation, SIAM Journal of Control and Optimization, vol. 43, pages 922-936, 2004 (doi: 10.1137/S0363012902410113).
17. * P. Date and G. Vinnicombe, Algorithms for worst case identification in H-infinity and the nu-gap metric, Automatica, vol. 40, pages 995-1002, 2004 (doi: 10.1016/j.automatica.2004.01.019).
18. P. Date and A. Lanzon, A combined iterative scheme for identification and control redesigns, International Journal of Adaptive Control and Signal Processing, vol. 18, pages 629-644, 2004 (doi: 10.1002/acs.824) .
19. P.S.V. Nataraj, P. Date and A. Umrani, Robust feedback synthesis for nonlinear integrodifferential equation models using generalized describing functions, Automatica, vol. 33, pages 959-962, 1997 (doi: 10.1016/S0005-1098(96)00225-7).
Paper in explosion protection
20. *P. Date, R. Lade, G. Mitra and P. Moore, Modelling the risk of failure in explosion protection installations, Journal of Loss Prevention in the Process Industries, vol. 22, pages 492-498, 2009 (doi: 10.1016/j.jlp.2009.03.007).
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Current
PhD Students
· Mr Malek Abdel-Jawad, Optimal sovereign debt issuance.
· Ms Ksenia Ponomareva, Particle filtering algorithms.
· Mr Roberto Bustreo, Fast Computation of Value at Risk in nonlinear portfolios.
PhD Completions
· 2009: Dr Sovan Mitra, Stochastic Volatility Modelling and Option Pricing.
· 2008: Dr I-Chieh Wang, Dynamic Interest Rate Models and Their Applications.
· 2007: Dr Richard Hawkes, Stochastic Volatility Models.
· 2007: Dr Bujar Gashi, Optimal Investment and Consumption: A Stochastic Control Approach.
Mphil Completion
· 2009: Ms Eleni Pepona, Identification of nonlinear interconnected systems.
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2012: UKIERI grant from the British Council for a collaborative visit to Indian Institute of Technology, Patna, India, £1150.
· 2011: London Mathematical Society grant for holding an interdisciplinary workshop on the Mathematics of Filtering and its Applications (13th - 15th July, Brunel University), £2650.