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Classification: MSC-91G80
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2014

Aihara, S.I. and Bagchi, A. and Kumar, S.K. (2014) On Mean-Variance Hedging of Bond Options with Stochastic Risk Premium Factor. Applied Mathematics & Optimization, 70 (3). pp. 511-537. ISSN 0095-4616 *** ISI Impact 1,366 ***

2011

Aihara, S.I. and Bagchi, A. and Imreizeeq, E.S.N. (2011) Identification of electricity spot models by using convolution particle filter. International Journal of Innovative Computing Information and Control, 7 (1). pp. 61-72. ISSN 1349-4198

2010

Aihara, S.I. and Bagchi, A. and Imreizeeq, E.S.N. (2010) Identification of electricity spot models from futures prices. In: Proceedings of the 41st ISCIE International Symposium on Stochastic Systems Theory and its Applications (SSS'09), 13-14 Nov 2009, Kobe, Japan. pp. 217-222. The Institute of Systems, Control and Information Engineers (ISCIE). ISBN 978-4-915740-47-3
Jamshidian, F. (2010) Trivariate support of flat-volatility forward Libor rates. Mathematical Finance, 20 (2). pp. 229-258. ISSN 0960-1627 *** ISI Impact 2,283 ***