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Author ID: mamon.rogemar-s Recent zbMATH articles by "Mamon, Rogemar S."
Published as: Mamon, Rogemar; Mamon, Rogemar S.; Mamon, R.; Mamon, R. S.
External Links: MGP · ORCID · Wikidata

Publications by Year

Citations contained in zbMATH Open

39 Publications have been cited 229 times in 156 Documents Cited by Year
Explicit solutions to European options in a regime-switching economy. Zbl 1116.91047
Mamon, Rogemar S.; Rodrigo, Marianito R.
25
2005
Valuation of contingent claims with mortality and interest rate risks. Zbl 1171.91349
Jalen, 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 1123.91027
Mamon, Rogemar S.
13
2004
An alternative approach to solving the Black-Scholes equation with time-varying parameters. Zbl 1096.91030
Rodrigo, Marianito R.; Mamon, Rogemar S.
13
2006
A complete yield curve description of a Markov interest rate model. Zbl 1079.91027
Elliott, Robert J.; Mamon, Rogemar S.
10
2003
A comonotonicity-based valuation method for guaranteed annuity options. Zbl 1285.91130
Liu, Xiaoming; Mamon, Rogemar; Gao, Huan
10
2013
An interest rate model with a Markovian mean reverting level. Zbl 1405.91661
Elliott, Robert J.; Mamon, Rogemar S.
10
2002
Mortality modelling with regime-switching for the valuation of a guaranteed annuity option. Zbl 1348.91145
Gao, Huan; Mamon, Rogemar; Liu, Xiaoming; Tenyakov, Anton
9
2015
Adaptive signal processing of asset price dynamics with predictability analysis. Zbl 1130.91331
Mamon, Rogemar S.; Erlwein, Christina; Gopaluni, R. Bhushan
9
2008
An examination of HMM-based investment strategies for asset allocation. Zbl 1275.91121
Erlwein, Christina; Mamon, Rogemar; Davison, Matt
9
2011
A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach. Zbl 1337.91047
Liu, Xiaoming; Mamon, Rogemar; Gao, Huan
8
2014
Pricing a guaranteed annuity option under correlated and regime-switching risk factors. Zbl 1329.91062
Gao, Huan; Mamon, Rogemar; Liu, Xiaoming
7
2015
Hidden Markov models in finance. Further developments and applications. Volume II. Zbl 1291.91006
7
2014
A new algorithm for latent state estimation in non-linear time series models. Zbl 1157.65305
Date, Paresh; Jalen, Luka; Mamon, Rogemar
6
2008
An application of Mellin transform techniques to a Black–Scholes equation problem. Zbl 1197.91205
Rodrigo, Marianito R.; Mamon, Rogemar S.
6
2007
A new moment matching algorithm for sampling from partially specified symmetric distributions. Zbl 1219.62087
Date, P.; Mamon, R.; Jalen, L.
5
2008
A time-varying Markov chain model of term structure. Zbl 1037.60070
Mamon, Rogemar S.
4
2002
Parameter estimation of a regime-switching model using an inverse Stieltjes moment approach. Zbl 06174825
Xi, 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 1402.91835
Rodrigo, Marianito R.; Mamon, Rogemar S.
4
2014
Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting. Zbl 1404.62084
Chen, Fuqi; Mamon, Rogemar; Nkurunziza, Sévérien
3
2018
Pricing and risk management of interest rate swaps. Zbl 1332.91107
Mitra, Sovan; Date, Paresh; Mamon, Rogemar; Wang, I-Chieh
3
2013
Annuity contract valuation under dependent risks. Zbl 1443.91255
Zhao, Yixing; Mamon, Rogemar
2
2020
Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation. Zbl 1433.91182
Grimm, Stefanie; Erlwein-Sayer, Christina; Mamon, Rogemar
2
2020
Analytic pricing solutions to term structure derivatives in a Markov chain market. Zbl 1120.91313
Mamon, Rogemar S.
2
2004
A self-tuning model for inflation rate dynamics. Zbl 1222.91040
Mamon, Rogemar; Duan, Zheng
2
2010
Valuation of cash flows under random rates of interest: a linear algebraic approach. Zbl 1119.91043
Date, P.; Mamon, R.; Wang, I. C.
2
2007
An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks. Zbl 1398.91359
Zhao, Yixing; Mamon, Rogemar
2
2018
Inference for a mean-reverting stochastic process with multiple change points. Zbl 1364.60045
Chen, Fuqi; Mamon, Rogemar; Davison, Matt
2
2017
A higher-order hidden Markov chain-modulated model for asset allocation. Zbl 1280.91161
Xi, Xiaojing; Mamon, Rogemar; Davison, Matt
2
2014
A partially linearized sigma point filter for latent state estimation in nonlinear time series models. Zbl 1181.62129
Date, Paresh; Jalen, Luka; Mamon, Rogemar
1
2010
A unified approach to explicit bond price solutions under a time-dependent affine term structure modelling framework. Zbl 1217.91059
Rodrigo, Marianito R.; Mamon, Rogemar S.
1
2011
Parameter estimation in a regime-switching model when the drift and volatility are independent. Zbl 1203.91324
Mamon, Rogemar S.; Jalen, Luka
1
2008
A new representation of the local volatility surface. Zbl 1185.91195
Rodrigo, Marianito R.; Mamon, Rogemar S.
1
2008
A streamlined derivation of the Black-Scholes option pricing formula. Zbl 1193.91143
Mamon, Rogemar S.
1
2005
Putting a price tag on temperature. Zbl 1417.91517
Xiong, Heng; Mamon, Rogemar
1
2018
Parameter estimation in a regime-switching model with non-normal noise. Zbl 1407.62387
Jalen, Luka; Mamon, Rogemar S.
1
2014
The valuation of a guaranteed minimum maturity benefit under a regime-switching framework. Zbl 1479.91336
Mamon, Rogemar; Xiong, Heng; Zhao, Yixing
1
2021
An effective bias-corrected bagging method for the valuation of large variable annuity portfolios. Zbl 1454.91189
Gweon, Hyukjun; Li, Shu; Mamon, Rogemar
1
2020
The valuation of a guaranteed minimum maturity benefit under a regime-switching framework. Zbl 1479.91336
Mamon, Rogemar; Xiong, Heng; Zhao, Yixing
1
2021
Annuity contract valuation under dependent risks. Zbl 1443.91255
Zhao, Yixing; Mamon, Rogemar
2
2020
Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation. Zbl 1433.91182
Grimm, Stefanie; Erlwein-Sayer, Christina; Mamon, Rogemar
2
2020
An effective bias-corrected bagging method for the valuation of large variable annuity portfolios. Zbl 1454.91189
Gweon, Hyukjun; Li, Shu; Mamon, Rogemar
1
2020
Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting. Zbl 1404.62084
Chen, 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 1398.91359
Zhao, Yixing; Mamon, Rogemar
2
2018
Putting a price tag on temperature. Zbl 1417.91517
Xiong, Heng; Mamon, Rogemar
1
2018
Inference for a mean-reverting stochastic process with multiple change points. Zbl 1364.60045
Chen, Fuqi; Mamon, Rogemar; Davison, Matt
2
2017
Mortality modelling with regime-switching for the valuation of a guaranteed annuity option. Zbl 1348.91145
Gao, Huan; Mamon, Rogemar; Liu, Xiaoming; Tenyakov, Anton
9
2015
Pricing a guaranteed annuity option under correlated and regime-switching risk factors. Zbl 1329.91062
Gao, Huan; Mamon, Rogemar; Liu, Xiaoming
7
2015
A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach. Zbl 1337.91047
Liu, Xiaoming; Mamon, Rogemar; Gao, Huan
8
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 1402.91835
Rodrigo, Marianito R.; Mamon, Rogemar S.
4
2014
A higher-order hidden Markov chain-modulated model for asset allocation. Zbl 1280.91161
Xi, Xiaojing; Mamon, Rogemar; Davison, Matt
2
2014
Parameter estimation in a regime-switching model with non-normal noise. Zbl 1407.62387
Jalen, Luka; Mamon, Rogemar S.
1
2014
A comonotonicity-based valuation method for guaranteed annuity options. Zbl 1285.91130
Liu, Xiaoming; Mamon, Rogemar; Gao, Huan
10
2013
Pricing and risk management of interest rate swaps. Zbl 1332.91107
Mitra, Sovan; Date, Paresh; Mamon, Rogemar; Wang, I-Chieh
3
2013
Parameter estimation of a regime-switching model using an inverse Stieltjes moment approach. Zbl 06174825
Xi, Xiaojing; Rodrigo, Marianito R.; Mamon, Rogemar S.
4
2012
An examination of HMM-based investment strategies for asset allocation. Zbl 1275.91121
Erlwein, 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 1217.91059
Rodrigo, Marianito R.; Mamon, Rogemar S.
1
2011
A self-tuning model for inflation rate dynamics. Zbl 1222.91040
Mamon, Rogemar; Duan, Zheng
2
2010
A partially linearized sigma point filter for latent state estimation in nonlinear time series models. Zbl 1181.62129
Date, Paresh; Jalen, Luka; Mamon, Rogemar
1
2010
Valuation of contingent claims with mortality and interest rate risks. Zbl 1171.91349
Jalen, Luka; Mamon, Rogemar
20
2009
Adaptive signal processing of asset price dynamics with predictability analysis. Zbl 1130.91331
Mamon, Rogemar S.; Erlwein, Christina; Gopaluni, R. Bhushan
9
2008
A new algorithm for latent state estimation in non-linear time series models. Zbl 1157.65305
Date, Paresh; Jalen, Luka; Mamon, Rogemar
6
2008
A new moment matching algorithm for sampling from partially specified symmetric distributions. Zbl 1219.62087
Date, P.; Mamon, R.; Jalen, L.
5
2008
Parameter estimation in a regime-switching model when the drift and volatility are independent. Zbl 1203.91324
Mamon, Rogemar S.; Jalen, Luka
1
2008
A new representation of the local volatility surface. Zbl 1185.91195
Rodrigo, 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 1197.91205
Rodrigo, Marianito R.; Mamon, Rogemar S.
6
2007
Valuation of cash flows under random rates of interest: a linear algebraic approach. Zbl 1119.91043
Date, P.; Mamon, R.; Wang, I. C.
2
2007
An alternative approach to solving the Black-Scholes equation with time-varying parameters. Zbl 1096.91030
Rodrigo, Marianito R.; Mamon, Rogemar S.
13
2006
Explicit solutions to European options in a regime-switching economy. Zbl 1116.91047
Mamon, Rogemar S.; Rodrigo, Marianito R.
25
2005
A streamlined derivation of the Black-Scholes option pricing formula. Zbl 1193.91143
Mamon, Rogemar S.
1
2005
Three ways to solve for bond prices in the Vasiček model. Zbl 1123.91027
Mamon, Rogemar S.
13
2004
Analytic pricing solutions to term structure derivatives in a Markov chain market. Zbl 1120.91313
Mamon, Rogemar S.
2
2004
A complete yield curve description of a Markov interest rate model. Zbl 1079.91027
Elliott, Robert J.; Mamon, Rogemar S.
10
2003
An interest rate model with a Markovian mean reverting level. Zbl 1405.91661
Elliott, Robert J.; Mamon, Rogemar S.
10
2002
A time-varying Markov chain model of term structure. Zbl 1037.60070
Mamon, Rogemar S.
4
2002
all top 5

Cited by 277 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 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
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 Ebedoro, Ukobong Gregory
1 Edeki, Sunday Onos
1 Eksi, Zehra
1 El Karoui, Nicole
1 Engler, David A.
1 Fan, Kun
1 Fard, Farzad Alavi
...and 177 more Authors
all top 5

Cited in 76 Serials

19 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 Communications in Statistics. Theory and Methods
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 European Journal of Applied Mathematics
2 Annals of Operations Research
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 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 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 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 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

Citations by Year

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