Rogemar Mamon

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M. RodrigoUniversity of WollongongVerified email at uow.edu.au
Robert ElliottResearch Professor, University of South Australia.. Faculty Professor and Emeritus ProfessorVerified email at ucalgary.ca
Matt DavisonProfessor of Mathematics and of Statistical & Actuarial Science, Western University CanadaVerified email at uwo.ca
Paresh DateProfessor and Head of Department of Mathematics (joint), Brunel University LondonVerified email at brunel.ac.uk
Fabio SpagnoloUniversity of Messina, ItalyVerified email at unime.it
Fred Espen BenthDepartment of Mathematics, University of Oslo, NorwayVerified email at math.uio.no
Nicola SpagnoloBrunel University LondonVerified email at brunel.ac.uk
Xing GuPhD Student, Statistics, Western UniversityVerified email at uwo.ca
Gao HuijunProfessor of Control Science and Engineering, Harbin Institute of TechnologyVerified email at hit.edu.cn
Bhushan GopaluniUniversity of British columbiaVerified email at ubc.ca
Thibaut DupreyBank of CanadaVerified email at bankofcanada.ca
Hyukjun (Jay) GweonWestern UniversityVerified email at uwo.ca
Shu LiDepartment of Statistical and Actuarial Sciences, Western UniversityVerified email at uwo.ca
Phil ScarfCardiff UniversityVerified email at cardiff.ac.uk
Aris SyntetosProfessor of Operational Research and Operations Management, Cardiff UniversityVerified email at cardiff.ac.uk
Jonathan MamplataAssistant Professor of Institute of Mathematical Sciences and Physics, University of the PhilippinesVerified email at up.edu.ph
Guido DavidUniversity of the PhilippinesVerified email at math.upd.edu.ph

Rogemar Mamon

The University of Western Ontario

Verified email at stats.uwo.ca - Homepage

Quantitative finance actuarial science stochastic processes longevity risk insurance mathematics


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
Hidden Markov Models in Finance RS Mamon, RJ Elliott Springer, 2007	244	2007
Three ways to solve for bond prices in the Vasicek model RS Mamon Journal of Applied Mathematics & Decision Sciences 8 (1), 1-14, 2004	127	2004
HMM filtering and parameter estimation of an electricity spot price model C Erlwein, FE Benth, R Mamon Energy Economics 32 (5), 1034-1043, 2010	93	2010
Explicit solutions to European options in a regime-switching economy RS Mamon, MR Rodrigo Operations Research Letters 33 (6), 581-586, 2005	85	2005
An alternative approach to solving the Black–Scholes equation with time-varying parameters MR Rodrigo, RS Mamon Applied Mathematics Letters 19 (4), 398-402, 2006	65	2006
An interest rate model with a Markovian mean reverting level RJ Elliott, RS Mamon Quantitative Finance 2 (6), 454-458, 2002	62*	2002
An accessible implementation of interest rate models with Markov-switching N Zhou, R Mamon Expert Systems with Applications 39 (5), 4679-4689, 2012	52	2012
Valuation of contingent claims with mortality and interest rate risks L Jalen, R Mamon Mathematical and Computer Modelling 49 (9-10), 1893-1904, 2009	51	2009
Filtering and forecasting commodity futures prices under an HMM framework P Date, R Mamon, A Tenyakov Energy Economics 40, 1001-1013, 2013	46	2013
The pricing of credit default swaps under a Markov-modulated Merton’s structural model TK Siu, C Erlwein, RS Mamon North American Actuarial Journal 12 (1), 18-46, 2008	46	2008
An online estimation scheme for a Hull–White model with HMM-driven parameters C Erlwein, R Mamon Statistical Methods and Applications 18, 87-107, 2009	42	2009
A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach X Liu, R Mamon, H Gao Stochastics An International Journal of Probability and Stochastic Processes …, 2014	36	2014
Adaptive signal processing of asset price dynamics with predictability analysis RS Mamon, C Erlwein, RB Gopaluni Information Sciences 178 (1), 203-219, 2008	36	2008
An examination of HMM‐based investment strategies for asset allocation C Erlwein, R Mamon, M Davison Applied Stochastic Models in Business and Industry 27 (3), 204-221, 2011	35	2011
Renewable energy and economic growth: A Markov-switching approach Y Chen, R Mamon, F Spagnolo, N Spagnolo Energy 244, 123089, 2022	31	2022
A complete yield curve description of a Markov interest rate model RJ Elliott, RS Mamon International Journal of Theoretical and Applied Finance 6 (04), 317-326, 2003	29	2003
A comonotonicity-based valuation method for guaranteed annuity options X Liu, R Mamon, H Gao Journal of Computational and Applied Mathematics 250, 58-69, 2013	27	2013
An application of Mellin transform techniques to a Black–Scholes equation problem MR Rodrigo, RS Mamon Analysis and Applications 5 (01), 51-66, 2007	27	2007
Parameter estimation of an asset price model driven by a weak hidden Markov chain X Xi, R Mamon Economic Modelling 28 (1-2), 36-46, 2011	26	2011
A higher-order Markov chain-modulated model for electricity spot-price dynamics H Xiong, R Mamon Applied Energy 233, 495-515, 2019	25	2019

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