Edit Profile (opens in new tab) Mamon, Rogemar S. Compute Distance To: Compute Author ID: mamon.rogemar-s Published as: Mamon, Rogemar; Mamon, Rogemar S.; Mamon, R. External Links: MGP · ORCID · Wikidata Documents Indexed: 49 Publications since 2002 2 Contributions as Editor Co-Authors: 31 Co-Authors with 47 Joint Publications 427 Co-Co-Authors all top 5 Co-Authors 4 single-authored 9 Rodrigo, Marianito R. 7 Jalen, Luka 5 Gao, Huan 5 Liu, Xiaoming 4 Davison, Matt 4 Elliott, Robert James 4 Xiong, Heng 3 Chen, Fuqi 3 Date, Paresh M. 3 Date, Prasanna 3 Erlwein, Christina 3 Wang, I-Chieh 3 Xi, Xiaojing 3 Zhao, Yixing 2 Gu, Xing 2 Nkurunziza, Sévérien 1 Duan, Zheng 1 Duprey, Thibaut 1 Erlwein-Sayer, Christina 1 Gopaluni, R. Bhushan 1 Grimm, Stefanie 1 Gweon, Hyukjun 1 Huang, Yiming 1 Li, Shu 1 Mitra, Sovan 1 Russo, Emilio 1 Scarf, Phil 1 Siu, Tak Kuen 1 Spagnolo, Fabio 1 Syntetos, Aris A. 1 Tenyakov, Anton all top 5 Serials 5 Insurance Mathematics & Economics 3 Quantitative Finance 2 Journal of Computational and Applied Mathematics 2 Operations Research Letters 2 International Journal of Theoretical and Applied Finance 2 IMA Journal of Management Mathematics 2 North American Actuarial Journal 2 International Series in Operations Research & Management Science 1 The Canadian Journal of Statistics 1 International Journal of Control 1 Annals of the Institute of Statistical Mathematics 1 Applied Mathematics and Computation 1 Information Sciences 1 Mathematics and Computers in Simulation 1 Statistics & Probability Letters 1 Applied Mathematics Letters 1 Mathematical and Computer Modelling 1 Japan Journal of Industrial and Applied Mathematics 1 European Journal of Operational Research 1 European Journal of Control 1 Journal of Applied Mathematics and Decision Sciences 1 Journal of Interdisciplinary Mathematics 1 Communications in Nonlinear Science and Numerical Simulation 1 Applied Stochastic Models in Business and Industry 1 Journal of Applied Mathematics 1 ASTIN Bulletin 1 Analysis and Applications (Singapore) 1 Computational Management Science 1 Journal of Industrial and Management Optimization 1 Stochastics 1 Nonlinear Analysis. Hybrid Systems 1 Electronic Journal of Statistics 1 European Actuarial Journal 1 Journal of Mathematical Modelling and Algorithms in Operations Research all top 5 Fields 42 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 17 Statistics (62-XX) 16 Probability theory and stochastic processes (60-XX) 4 Partial differential equations (35-XX) 4 Systems theory; control (93-XX) 3 General and overarching topics; collections (00-XX) 3 Numerical analysis (65-XX) 2 Operations research, mathematical programming (90-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Integral transforms, operational calculus (44-XX) 1 Geophysics (86-XX) 1 Information and communication theory, circuits (94-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 38 Publications have been cited 222 times in 150 Documents Cited by ▼ Year ▼ Explicit solutions to European options in a regime-switching economy. Zbl 1116.91047Mamon, Rogemar S.; Rodrigo, Marianito R. 23 2005 Valuation of contingent claims with mortality and interest rate risks. Zbl 1171.91349Jalen, Luka; Mamon, Rogemar 20 2009 Hidden Markov models in finance. Zbl 1116.91007 18 2007 Three ways to solve for bond prices in the Vasiček model. Zbl 1123.91027Mamon, Rogemar S. 13 2004 An alternative approach to solving the Black-Scholes equation with time-varying parameters. Zbl 1096.91030Rodrigo, Marianito R.; Mamon, Rogemar S. 13 2006 A complete yield curve description of a Markov interest rate model. Zbl 1079.91027Elliott, Robert J.; Mamon, Rogemar S. 10 2003 A comonotonicity-based valuation method for guaranteed annuity options. Zbl 1285.91130Liu, Xiaoming; Mamon, Rogemar; Gao, Huan 10 2013 An interest rate model with a Markovian mean reverting level. Zbl 1405.91661Elliott, Robert J.; Mamon, Rogemar S. 10 2002 Adaptive signal processing of asset price dynamics with predictability analysis. Zbl 1130.91331Mamon, Rogemar S.; Erlwein, Christina; Gopaluni, R. Bhushan 9 2008 An examination of HMM-based investment strategies for asset allocation. Zbl 1275.91121Erlwein, Christina; Mamon, Rogemar; Davison, Matt 9 2011 Mortality modelling with regime-switching for the valuation of a guaranteed annuity option. Zbl 1348.91145Gao, Huan; Mamon, Rogemar; Liu, Xiaoming; Tenyakov, Anton 9 2015 A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach. Zbl 1337.91047Liu, Xiaoming; Mamon, Rogemar; Gao, Huan 8 2014 Pricing a guaranteed annuity option under correlated and regime-switching risk factors. Zbl 1329.91062Gao, Huan; Mamon, Rogemar; Liu, Xiaoming 7 2015 Hidden Markov models in finance. Further developments and applications. Volume II. Zbl 1291.91006 6 2014 A new algorithm for latent state estimation in non-linear time series models. Zbl 1157.65305Date, Paresh; Jalen, Luka; Mamon, Rogemar 6 2008 An application of Mellin transform techniques to a Black–Scholes equation problem. Zbl 1197.91205Rodrigo, Marianito R.; Mamon, Rogemar S. 6 2007 A new moment matching algorithm for sampling from partially specified symmetric distributions. Zbl 1219.62087Date, P.; Mamon, R.; Jalen, L. 5 2008 A time-varying Markov chain model of term structure. Zbl 1037.60070Mamon, Rogemar S. 4 2002 Parameter estimation of a regime-switching model using an inverse Stieltjes moment approach. Zbl 06174825Xi, Xiaojing; Rodrigo, Marianito R.; Mamon, Rogemar S. 4 2012 An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions. Zbl 1402.91835Rodrigo, Marianito R.; Mamon, Rogemar S. 3 2014 Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting. Zbl 1404.62084Chen, Fuqi; Mamon, Rogemar; Nkurunziza, Sévérien 3 2018 Pricing and risk management of interest rate swaps. Zbl 1332.91107Mitra, Sovan; Date, Paresh; Mamon, Rogemar; Wang, I-Chieh 3 2013 Analytic pricing solutions to term structure derivatives in a Markov chain market. Zbl 1120.91313Mamon, Rogemar S. 2 2004 A higher-order hidden Markov chain-modulated model for asset allocation. Zbl 1280.91161Xi, Xiaojing; Mamon, Rogemar; Davison, Matt 2 2014 An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks. Zbl 1398.91359Zhao, Yixing; Mamon, Rogemar 2 2018 Valuation of cash flows under random rates of interest: a linear algebraic approach. Zbl 1119.91043Date, P.; Mamon, R.; Wang, I. C. 2 2007 Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation. Zbl 1433.91182Grimm, Stefanie; Erlwein-Sayer, Christina; Mamon, Rogemar 2 2020 A self-tuning model for inflation rate dynamics. Zbl 1222.91040Mamon, Rogemar; Duan, Zheng 2 2010 Annuity contract valuation under dependent risks. Zbl 1443.91255Zhao, Yixing; Mamon, Rogemar 2 2020 Putting a price tag on temperature. Zbl 1417.91517Xiong, Heng; Mamon, Rogemar 1 2018 Parameter estimation in a regime-switching model with non-normal noise. Zbl 1407.62387Jalen, Luka; Mamon, Rogemar S. 1 2014 Parameter estimation in a regime-switching model when the drift and volatility are independent. Zbl 1203.91324Mamon, Rogemar S.; Jalen, Luka 1 2008 A partially linearized sigma point filter for latent state estimation in nonlinear time series models. Zbl 1181.62129Date, Paresh; Jalen, Luka; Mamon, Rogemar 1 2010 A streamlined derivation of the Black-Scholes option pricing formula. Zbl 1193.91143Mamon, Rogemar S. 1 2005 A unified approach to explicit bond price solutions under a time-dependent affine term structure modelling framework. Zbl 1217.91059Rodrigo, Marianito R.; Mamon, Rogemar S. 1 2011 A new representation of the local volatility surface. Zbl 1185.91195Rodrigo, Marianito R.; Mamon, Rogemar S. 1 2008 Inference for a mean-reverting stochastic process with multiple change points. Zbl 1364.60045Chen, Fuqi; Mamon, Rogemar; Davison, Matt 1 2017 An effective bias-corrected bagging method for the valuation of large variable annuity portfolios. Zbl 1454.91189Gweon, Hyukjun; Li, Shu; Mamon, Rogemar 1 2020 Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation. Zbl 1433.91182Grimm, Stefanie; Erlwein-Sayer, Christina; Mamon, Rogemar 2 2020 Annuity contract valuation under dependent risks. Zbl 1443.91255Zhao, Yixing; Mamon, Rogemar 2 2020 An effective bias-corrected bagging method for the valuation of large variable annuity portfolios. Zbl 1454.91189Gweon, Hyukjun; Li, Shu; Mamon, Rogemar 1 2020 Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting. Zbl 1404.62084Chen, Fuqi; Mamon, Rogemar; Nkurunziza, Sévérien 3 2018 An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks. Zbl 1398.91359Zhao, Yixing; Mamon, Rogemar 2 2018 Putting a price tag on temperature. Zbl 1417.91517Xiong, Heng; Mamon, Rogemar 1 2018 Inference for a mean-reverting stochastic process with multiple change points. Zbl 1364.60045Chen, Fuqi; Mamon, Rogemar; Davison, Matt 1 2017 Mortality modelling with regime-switching for the valuation of a guaranteed annuity option. Zbl 1348.91145Gao, Huan; Mamon, Rogemar; Liu, Xiaoming; Tenyakov, Anton 9 2015 Pricing a guaranteed annuity option under correlated and regime-switching risk factors. Zbl 1329.91062Gao, Huan; Mamon, Rogemar; Liu, Xiaoming 7 2015 A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach. Zbl 1337.91047Liu, Xiaoming; Mamon, Rogemar; Gao, Huan 8 2014 Hidden Markov models in finance. Further developments and applications. Volume II. Zbl 1291.91006 6 2014 An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions. Zbl 1402.91835Rodrigo, Marianito R.; Mamon, Rogemar S. 3 2014 A higher-order hidden Markov chain-modulated model for asset allocation. Zbl 1280.91161Xi, Xiaojing; Mamon, Rogemar; Davison, Matt 2 2014 Parameter estimation in a regime-switching model with non-normal noise. Zbl 1407.62387Jalen, Luka; Mamon, Rogemar S. 1 2014 A comonotonicity-based valuation method for guaranteed annuity options. Zbl 1285.91130Liu, Xiaoming; Mamon, Rogemar; Gao, Huan 10 2013 Pricing and risk management of interest rate swaps. Zbl 1332.91107Mitra, Sovan; Date, Paresh; Mamon, Rogemar; Wang, I-Chieh 3 2013 Parameter estimation of a regime-switching model using an inverse Stieltjes moment approach. Zbl 06174825Xi, Xiaojing; Rodrigo, Marianito R.; Mamon, Rogemar S. 4 2012 An examination of HMM-based investment strategies for asset allocation. Zbl 1275.91121Erlwein, Christina; Mamon, Rogemar; Davison, Matt 9 2011 A unified approach to explicit bond price solutions under a time-dependent affine term structure modelling framework. Zbl 1217.91059Rodrigo, Marianito R.; Mamon, Rogemar S. 1 2011 A self-tuning model for inflation rate dynamics. Zbl 1222.91040Mamon, Rogemar; Duan, Zheng 2 2010 A partially linearized sigma point filter for latent state estimation in nonlinear time series models. Zbl 1181.62129Date, Paresh; Jalen, Luka; Mamon, Rogemar 1 2010 Valuation of contingent claims with mortality and interest rate risks. Zbl 1171.91349Jalen, Luka; Mamon, Rogemar 20 2009 Adaptive signal processing of asset price dynamics with predictability analysis. Zbl 1130.91331Mamon, Rogemar S.; Erlwein, Christina; Gopaluni, R. Bhushan 9 2008 A new algorithm for latent state estimation in non-linear time series models. Zbl 1157.65305Date, Paresh; Jalen, Luka; Mamon, Rogemar 6 2008 A new moment matching algorithm for sampling from partially specified symmetric distributions. Zbl 1219.62087Date, P.; Mamon, R.; Jalen, L. 5 2008 Parameter estimation in a regime-switching model when the drift and volatility are independent. Zbl 1203.91324Mamon, Rogemar S.; Jalen, Luka 1 2008 A new representation of the local volatility surface. Zbl 1185.91195Rodrigo, Marianito R.; Mamon, Rogemar S. 1 2008 Hidden Markov models in finance. Zbl 1116.91007 18 2007 An application of Mellin transform techniques to a Black–Scholes equation problem. Zbl 1197.91205Rodrigo, Marianito R.; Mamon, Rogemar S. 6 2007 Valuation of cash flows under random rates of interest: a linear algebraic approach. Zbl 1119.91043Date, P.; Mamon, R.; Wang, I. C. 2 2007 An alternative approach to solving the Black-Scholes equation with time-varying parameters. Zbl 1096.91030Rodrigo, Marianito R.; Mamon, Rogemar S. 13 2006 Explicit solutions to European options in a regime-switching economy. Zbl 1116.91047Mamon, Rogemar S.; Rodrigo, Marianito R. 23 2005 A streamlined derivation of the Black-Scholes option pricing formula. Zbl 1193.91143Mamon, Rogemar S. 1 2005 Three ways to solve for bond prices in the Vasiček model. Zbl 1123.91027Mamon, Rogemar S. 13 2004 Analytic pricing solutions to term structure derivatives in a Markov chain market. Zbl 1120.91313Mamon, Rogemar S. 2 2004 A complete yield curve description of a Markov interest rate model. Zbl 1079.91027Elliott, Robert J.; Mamon, Rogemar S. 10 2003 An interest rate model with a Markovian mean reverting level. Zbl 1405.91661Elliott, Robert J.; Mamon, Rogemar S. 10 2002 A time-varying Markov chain model of term structure. Zbl 1037.60070Mamon, Rogemar S. 4 2002 all cited Publications top 5 cited Publications all top 5 Cited by 265 Authors 28 Mamon, Rogemar S. 10 Rodrigo, Marianito R. 6 Jalen, Luka 5 Elliott, Robert James 5 Özekici, Süleyman 4 Date, Paresh M. 4 Gao, Huan 4 Goswami, Anindya 4 Liu, Xiaoming 4 Mitra, Sovan 4 Siu, Tak Kuen 4 Xiong, Heng 3 Blake, David 3 Çanakoğlu, Ethem 3 Date, Prasanna 3 Davison, Matt 3 Douc, Randal 3 Ghosh, Mrinal Kanti 3 Godin, Frédéric 3 Wang, Rongming 3 Yang, Hailiang 3 Zhao, Yixing 2 Borisov, Andrei V. 2 Ching, Wai-Ki 2 Deshpande, Amogh 2 Erlwein-Sayer, Christina 2 Erlwein, Christina 2 Frey, Rüdiger 2 Goard, Joanna M. 2 Gu, Xing 2 Karathanasopoulos, Andreas 2 Ludkovski, Michael 2 MacMinn, Richard D. 2 Moulines, Eric 2 Nkurunziza, Sévérien 2 Olsson, Jimmy 2 Papin, Timothee 2 Ponomareva, Ksenia 2 Qian, Linyi 2 Salvi, Giovanni 2 Trottier, Denis-Alexandre 2 Turinici, Gabriel 2 Wang, I-Chieh 2 Wang, Jennifer L. 2 Xi, Xiaojing 2 Yuen, Fei Lung 1 Ahmadian, Davood 1 Aidoo, Emmanuel Kojo 1 Alexander, Carol 1 Andruszkiewicz, Grzegorz 1 Anitescu, Mihai 1 Arık, Ayşe 1 Avellaneda, Marco 1 Bai, Lihua 1 Basak, Gopal Krishna 1 Basu, Arnab K. 1 Beheshti, Mohammad Hossein 1 Bellassoued, Mourad 1 Bhat, Harish S. 1 Biagini, Francesca 1 Boateng, Lydia Pomaa 1 Bohner, Martin J. 1 Borgonovo, Emanuele 1 Bosch, Paul J. 1 Brummelhuis, Raymond 1 Cadenillas, Abel 1 Cairns, Andrew J. G. 1 Capponi, Agostino 1 Carollo, Angelo C. M. 1 Çelikyurt, U. 1 Chan, Leunglung 1 Chen, Zhiping 1 Choi, Yongho 1 Chopra, Isha 1 Consiglio, Andrea 1 Contreras, Juan Pablo 1 Cristofol, Michel 1 Cui, Lirong 1 Cui, Shumo 1 Damian, Camilla 1 D’Amico, Guglielmo 1 Das, Milan Kumar 1 Dastranj, Elham 1 Davis, Mark Herbert Ainsworth 1 De Genaro, Alan 1 Deelstra, Griselda 1 Delong, Łukasz 1 Dhaene, Jan 1 Duan, Qihong 1 Dunis, Christian L. 1 Duprey, Thibaut 1 Edeki, Sunday Onos 1 Eksi, Zehra 1 El Karoui, Nicole 1 Engler, David A. 1 Fan, Kun 1 Fard, Farzad Alavi 1 Farkhondeh Rouz, O. 1 Farnoosh, Rahman 1 Figueroa-López, José E. ...and 165 more Authors all top 5 Cited in 74 Serials 18 Insurance Mathematics & Economics 11 European Journal of Operational Research 6 Applied Mathematics and Computation 6 Journal of Computational and Applied Mathematics 5 Stochastic Analysis and Applications 4 Operations Research Letters 4 International Journal of Theoretical and Applied Finance 4 North American Actuarial Journal 3 The ANZIAM Journal 3 Quantitative Finance 2 The Annals of Statistics 2 Applied Mathematics Letters 2 Mathematical and Computer Modelling 2 European Journal of Applied Mathematics 2 Annals of Operations Research 2 Communications in Statistics. Theory and Methods 2 Stochastic Processes and their Applications 2 Bernoulli 2 Mathematical Finance 2 Abstract and Applied Analysis 2 Statistical Inference for Stochastic Processes 2 Methodology and Computing in Applied Probability 2 Scandinavian Actuarial Journal 2 Journal of Applied Mathematics 2 Stochastic Models 2 Journal of Industrial and Management Optimization 2 Annals of Finance 1 Computers & Mathematics with Applications 1 International Journal of Control 1 Indian Journal of Pure & Applied Mathematics 1 Journal of Engineering Mathematics 1 Physica A 1 Opsearch 1 Statistics & Probability Letters 1 Acta Applicandae Mathematicae 1 Applied Numerical Mathematics 1 Journal of Theoretical Probability 1 Signal Processing 1 Japan Journal of Industrial and Applied Mathematics 1 International Journal of Adaptive Control and Signal Processing 1 Computational Statistics 1 Applied Mathematical Modelling 1 Automation and Remote Control 1 International Journal of Computer Mathematics 1 Linear Algebra and its Applications 1 Journal of Computer and Systems Sciences International 1 Integral Transforms and Special Functions 1 Applied Mathematical Finance 1 Finance and Stochastics 1 European Journal of Control 1 Mathematical Methods of Operations Research 1 Chaos 1 Probability in the Engineering and Informational Sciences 1 Applied Stochastic Models in Business and Industry 1 ASTIN Bulletin 1 Asia-Pacific Financial Markets 1 Analysis and Applications (Singapore) 1 Computational Management Science 1 Advances in Difference Equations 1 Stochastics 1 Frontiers of Mathematics in China 1 AStA. Advances in Statistical Analysis 1 Nonlinear Analysis. Hybrid Systems 1 Discrete and Continuous Dynamical Systems. Series S 1 Asian-European Journal of Mathematics 1 Communications in Theoretical Physics 1 SIAM Journal on Financial Mathematics 1 Science China. Mathematics 1 European Actuarial Journal 1 Statistics and Computing 1 Mathematical Control and Related Fields 1 Statistics & Risk Modeling 1 Journal of Mathematical Modelling and Algorithms in Operations Research 1 Cogent Mathematics all top 5 Cited in 21 Fields 117 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 46 Probability theory and stochastic processes (60-XX) 38 Statistics (62-XX) 17 Partial differential equations (35-XX) 14 Systems theory; control (93-XX) 13 Numerical analysis (65-XX) 13 Operations research, mathematical programming (90-XX) 4 Integral transforms, operational calculus (44-XX) 3 General and overarching topics; collections (00-XX) 3 Computer science (68-XX) 3 Information and communication theory, circuits (94-XX) 2 Integral equations (45-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Measure and integration (28-XX) 1 Ordinary differential equations (34-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Fluid mechanics (76-XX) 1 Relativity and gravitational theory (83-XX) 1 Geophysics (86-XX) 1 Biology and other natural sciences (92-XX) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. Updates and corrections should be made in Wikidata.