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.; Mamon, R. S. more...less External Links: MGP · ORCID · Wikidata Documents Indexed: 51 Publications since 2002 2 Contributions as Editor Co-Authors: 33 Co-Authors with 49 Joint Publications 465 Co-Co-Authors all top 5 Co-Authors 4 single-authored 10 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 David, Guido 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 Mamplata, Jonathan 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 International Journal of Computer Mathematics 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 1 Results in Applied Mathematics all top 5 Fields 44 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 18 Probability theory and stochastic processes (60-XX) 17 Statistics (62-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 Integral transforms, operational calculus (44-XX) 2 Operations research, mathematical programming (90-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Integral equations (45-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 40 Publications have been cited 245 times in 166 Documents Cited by ▼ Year ▼ Explicit solutions to European options in a regime-switching economy. Zbl 1116.91047Mamon, Rogemar S.; Rodrigo, Marianito R. 25 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 19 2007 Three ways to solve for bond prices in the Vasiček model. Zbl 1123.91027Mamon, Rogemar S. 15 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 comonotonicity-based valuation method for guaranteed annuity options. Zbl 1285.91130Liu, Xiaoming; Mamon, Rogemar; Gao, Huan 11 2013 A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach. Zbl 1337.91047Liu, Xiaoming; Mamon, Rogemar; Gao, Huan 10 2014 An interest rate model with a Markovian mean reverting level. Zbl 1405.91661Elliott, Robert J.; Mamon, Rogemar S. 10 2002 A complete yield curve description of a Markov interest rate model. Zbl 1079.91027Elliott, Robert J.; Mamon, Rogemar S. 10 2003 Adaptive signal processing of asset price dynamics with predictability analysis. Zbl 1130.91331Mamon, Rogemar S.; Erlwein, Christina; Gopaluni, R. Bhushan 10 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 Hidden Markov models in finance. Further developments and applications. Volume II. Zbl 1291.91006 7 2014 Pricing a guaranteed annuity option under correlated and regime-switching risk factors. Zbl 1329.91062Gao, Huan; Mamon, Rogemar; Liu, Xiaoming 7 2015 An application of Mellin transform techniques to a Black–Scholes equation problem. Zbl 1197.91205Rodrigo, Marianito R.; Mamon, Rogemar S. 6 2007 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 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. 5 2014 Pricing and risk management of interest rate swaps. Zbl 1332.91107Mitra, Sovan; Date, Paresh; Mamon, Rogemar; Wang, I-Chieh 5 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 A time-varying Markov chain model of term structure. Zbl 1037.60070Mamon, Rogemar S. 4 2002 An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks. Zbl 1398.91359Zhao, Yixing; Mamon, Rogemar 4 2018 Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting. Zbl 1404.62084Chen, Fuqi; Mamon, Rogemar; Nkurunziza, Sévérien 3 2018 Inference for a mean-reverting stochastic process with multiple change points. Zbl 1364.60045Chen, Fuqi; Mamon, Rogemar; Davison, Matt 3 2017 The valuation of a guaranteed minimum maturity benefit under a regime-switching framework. Zbl 1479.91336Mamon, Rogemar; Xiong, Heng; Zhao, Yixing 2 2021 An effective bias-corrected bagging method for the valuation of large variable annuity portfolios. Zbl 1454.91189Gweon, Hyukjun; Li, Shu; Mamon, Rogemar 2 2020 A partially linearized sigma point filter for latent state estimation in nonlinear time series models. Zbl 1181.62129Date, Paresh; Jalen, Luka; Mamon, Rogemar 2 2010 Valuation of cash flows under random rates of interest: a linear algebraic approach. Zbl 1119.91043Date, P.; Mamon, R.; Wang, I. C. 2 2007 A self-tuning model for inflation rate dynamics. Zbl 1222.91040Mamon, Rogemar; Duan, Zheng 2 2010 A higher-order hidden Markov chain-modulated model for asset allocation. Zbl 1280.91161Xi, Xiaojing; Mamon, Rogemar; Davison, Matt 2 2014 Analytic pricing solutions to term structure derivatives in a Markov chain market. Zbl 1120.91313Mamon, Rogemar S. 2 2004 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 Parameter estimation in a regime-switching model when the drift and volatility are independent. Zbl 1203.91324Mamon, Rogemar S.; Jalen, Luka 1 2008 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 Recovery of time-dependent parameters of a Black-Scholes-type equation: an inverse Stieltjes moment approach. Zbl 1141.91021Rodrigo, Marianito R.; Mamon, Rogemar S. 1 2007 A new representation of the local volatility surface. Zbl 1185.91195Rodrigo, Marianito R.; Mamon, Rogemar S. 1 2008 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 The valuation of a guaranteed minimum maturity benefit under a regime-switching framework. Zbl 1479.91336Mamon, Rogemar; Xiong, Heng; Zhao, Yixing 2 2021 An effective bias-corrected bagging method for the valuation of large variable annuity portfolios. Zbl 1454.91189Gweon, Hyukjun; Li, Shu; Mamon, Rogemar 2 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 efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks. Zbl 1398.91359Zhao, Yixing; Mamon, Rogemar 4 2018 Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting. Zbl 1404.62084Chen, Fuqi; Mamon, Rogemar; Nkurunziza, Sévérien 3 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 3 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 10 2014 Hidden Markov models in finance. Further developments and applications. Volume II. Zbl 1291.91006 7 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. 5 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 11 2013 Pricing and risk management of interest rate swaps. Zbl 1332.91107Mitra, Sovan; Date, Paresh; Mamon, Rogemar; Wang, I-Chieh 5 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 partially linearized sigma point filter for latent state estimation in nonlinear time series models. Zbl 1181.62129Date, Paresh; Jalen, Luka; Mamon, Rogemar 2 2010 A self-tuning model for inflation rate dynamics. Zbl 1222.91040Mamon, Rogemar; Duan, Zheng 2 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 10 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 19 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 Recovery of time-dependent parameters of a Black-Scholes-type equation: an inverse Stieltjes moment approach. Zbl 1141.91021Rodrigo, Marianito R.; Mamon, Rogemar S. 1 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. 25 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. 15 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 297 Authors 29 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 Nkurunziza, Sévérien 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 Lu, Xiaoping 2 Ludkovski, Michael 2 MacMinn, Richard D. 2 Moulines, Eric 2 Olsson, Jimmy 2 Papin, Timothee 2 Ponomareva, Ksenia 2 Putri, Endah R. M. 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 2 Zhang, Jie 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 Barigou, Karim 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, Xinfu 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 Cui, Zhenyu 1 Damian, Camilla 1 D’Amico, Guglielmo 1 Das, Milan Kumar 1 Dastranj, Elham 1 David, Guido 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 Ebedoro, Ukobong Gregory 1 Edeki, Sunday Onos ...and 197 more Authors all top 5 Cited in 78 Serials 20 Insurance Mathematics & Economics 11 European Journal of Operational Research 7 Journal of Computational and Applied Mathematics 6 Applied Mathematics and Computation 5 Stochastic Analysis and Applications 4 Operations Research Letters 4 European Journal of Applied Mathematics 4 Communications in Statistics. Theory and Methods 4 International Journal of Theoretical and Applied Finance 4 Scandinavian Actuarial Journal 4 North American Actuarial Journal 3 The ANZIAM Journal 3 Quantitative Finance 2 Physica A 2 The Annals of Statistics 2 Applied Mathematics Letters 2 Mathematical and Computer Modelling 2 Annals of Operations Research 2 International Journal of Computer Mathematics 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 Journal of Applied Mathematics 2 Stochastic Models 2 Journal of Industrial and Management Optimization 2 Stochastics 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 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 Linear Algebra and its Applications 1 Journal of Computer and Systems Sciences International 1 Integral Transforms and Special Functions 1 Monte Carlo Methods and Applications 1 Applied Mathematical Finance 1 Finance and Stochastics 1 European Journal of Control 1 Mathematical Methods of Operations Research 1 Chaos 1 Discrete Dynamics in Nature and Society 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 Frontiers of Mathematics in China 1 Journal of Mathematical Inequalities 1 AStA. Advances in Statistical Analysis 1 Nonlinear Analysis. Hybrid Systems 1 Electronic Journal of Statistics 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 22 Fields 128 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 50 Probability theory and stochastic processes (60-XX) 44 Statistics (62-XX) 20 Partial differential equations (35-XX) 14 Operations research, mathematical programming (90-XX) 14 Systems theory; control (93-XX) 11 Numerical analysis (65-XX) 5 Integral transforms, operational calculus (44-XX) 3 General and overarching topics; collections (00-XX) 3 Information and communication theory, circuits (94-XX) 2 Ordinary differential equations (34-XX) 2 Integral equations (45-XX) 2 Computer science (68-XX) 2 Biology and other natural sciences (92-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Measure and integration (28-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 Statistical mechanics, structure of matter (82-XX) 1 Relativity and gravitational theory (83-XX) 1 Geophysics (86-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.