Author Publications

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Number of items: 19.

2013

Aihara, Shin Ichi and Bagchi, Arunabha (2013) Parameter identification of stochastic diffusion systems with unknown boundary conditions. [Report]

Aihara, Shin Ichi and Bagchi, Arunabha and Saha, Saikat (2013) Adaptive filtering for stochastic volatility by using exact sampling. In: 10th International Conference on Informatics in Control, Automation and Robotics, ICINCO 2013, 29-31July 2013, Reykjavik, Iceland (pp. pp. 326-335).

2012

Aihara, ShinIchi and Bagchi, Arunabha (2012) Adaptive filtering for stochastic risk premia in bond market. International journal of innovative computing, information and control, 8 (3(B)). pp. 2203-2214. ISSN 1349-4198

Aihara, ShinIchi and Bagchi, Arunabha and Saha, Saikat (2012) Identification of Bates stochastic volatility model by using non-central chi-square random generation method. In: IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2012, March 25-30, 2012, Kyoto, Japan (pp. pp. 3905-3908).

2011

Aihara, ShinIchi and Bagchi, Arunabha and Imreizeeq, Emad (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, Shin Ichi and Bagchi, Arunabha (2010) Identification of affine term structures from yield curve data. International journal of theoretical and applied finance , 13 (2). pp. 259-283. ISSN 0219-0249

2009

Aihara, S. and Bagchi, A. and Imreizeeq, E.S.N. (2009) Parameter estimation of electricity spot models from futures prices. In: Proceedings of the 15th IFAC Symposium on System Identification, 6-8 July 2009, Saint-Malo (pp. pp. 1457-1462).

Aihara, ShinIchi and Bagchi, Arunabha and Saha, Saikat (2009) On parameter estimation of stochastic volatility models from stock data using particle filter - Application to AEX index -. International journal of innovative computing, information and control, 5 (1). pp. 17-27. ISSN 1349-4198

2008

Aihara, Shin Ichi and Bagchi, Arunabha (2008) Filtering and identification of affine term structures from yield curve data. [Report]

Aihara, Shin Ichi and Bagchi, Arunabha and Saha, Saikat (2008) Estimating volatility and model parameters of stochastic volatility models with jumps using particle filter. In: 17th IFAC World Congress, 06-11 July 2008, Seoul (pp. pp. 6490-6495).

2007

Aihara, Shin Ichi and Bagchi, Arunabha (2007) Recursive parameter identification for infinite-dimensional factor model by using particle filter. In: 38th ISCIE International Symposium on Stochastic Systems Theory and Its Applications, 9-10 Nov 2006, Suwa, Nagano, Japan (pp. pp. 40-45).

2006

Aihara, S.I. and Bagchi, A. (2006) Parameter estimation of parabolic type factor model and empirical study of US treasury bonds. In: 22nd IFIP TC7 Conference on System Modeling and Optimization 2005, July 18-22, 2005, Turin, Italy (pp. pp. 207-217).

Aihara, ShinIchi and Bagchi, Arunabha (2006) Filtering and identification of Heston's stochastic volatility model and its market risk. Journal of economic dynamics & control, 30 (12). pp. 2363-2388. ISSN 0165-1889

Aihara, ShinIchi and Bagchi, Arunabha (2006) Filtering and identification of stochastic volatility for parabolic type factor models. International journal of innovative computing, information and control, 2 (5). pp. 1-9. ISSN 1349-4198

2005

Aihara, Shin Ichi and Bagchi, Arunabha (2005) Stochastic hyperbolic dynamics for infinite-dimensional forward rates and option pricing. Mathematical Finance, 15 (1). pp. 27-47. ISSN 0960-1627

1995

Aihara, Shin Ichi and Bagchi, Arunabha (1995) Nonlinear smoothing for random fields. Stochastic Processes and Their Applications, 55 (1). pp. 143-158. ISSN 0304-4149

1991

Aihara, Shin Ichi and Bagchi, Arunabha (1991) Parameter identification for hyperbolic stochastic systems. Journal of Mathematical Analysis and Applications, 160 (2). pp. 485-499. ISSN 0022-247X

1989

Aihara, ShinIchi and Bagchi, Arunabha (1989) Infinite dimensional parameter identification for stochastic parabolic systems. Statistics & probability letters, 8 (3). pp. 279-287. ISSN 0167-7152

1987

Aihara, S.-I. and Bagchi, A. (1987) Linear-quadratic stochastic differential games for distributed parameter systems. Computers & Mathematics with Applications, 13 (1-3). pp. 247-259. ISSN 0898-1221

This list was generated on Sat Aug 30 05:26:12 2014 CEST.