Rogemar S. Mamon

31 papers Journal 31
YearRankTypeTitle / Venue / Authors
2025 J jnl
A lattice-based approach for life insurance pricing in a stochastic correlation framework.
Math. Comput. Simul.
Massimo Costabile, Ivar Massabò, Emilio Russo, Alessandro Staino, Rogemar S. Mamon, Yixing Zhao
2024 J jnl
A comparison of three algorithms in the filtering of a Markov-modulated non-homogeneous Poisson process.
Int. J. Syst. Sci.
Yuying Li, Rogemar S. Mamon
2024 J jnl
Examining the identifiability and estimability of the phase-type ageing model.
Comput. Stat.
Boquan Cheng, Rogemar S. Mamon
2024 J jnl
Interfacing learning methods for anomaly detection in multi-country financial stress indicators.
Knowl. Based Syst.
Xing Gu, Rogemar S. Mamon, Thibaut Duprey
2023 J jnl
A Hybridized Stochastic SIR-Vasiček Model in Evaluating a Pandemic Emergency Financing Facility.
IEEE Trans. Comput. Soc. Syst.
Weili Fan, Rogemar S. Mamon
2023 J jnl
Modelling health-data breaches with application to cyber insurance.
Comput. Secur.
Yuying Li, Rogemar S. Mamon
2023 J jnl
The Price Tag of Cyber Risk: A Signal-Processing Approach.
IEEE Access
Yuying Li, Rogemar S. Mamon
2022 J jnl
An enabling framework for automated extraction of signals from market information in real time.
Knowl. Based Syst.
Heng Xiong, Rogemar S. Mamon
2022 J jnl
Modelling and filtering for dynamic investment in the precious-metals market.
Int. J. Comput. Math.
Jonathan B. Mamplata, Rogemar S. Mamon, Guido David
2021 J jnl
An automated financial indices-processing scheme for classifying market liquidity regimes.
Int. J. Control
Xing Gu, Rogemar S. Mamon, Matt Davison, Hao Yu
2021 J jnl
Online estimation for a predictive analytics platform with a financial-stability-analysis application.
Eur. J. Control
Xing Gu, Rogemar S. Mamon, Thibaut Duprey, Heng Xiong
2018 J jnl
Putting a price tag on temperature.
Comput. Manag. Sci.
Heng Xiong, Rogemar S. Mamon
2017 J jnl
A computing platform for pairs-trading online implementation via a blended Kalman-HMM filtering approach.
J. Big Data
Anton Tenyakov, Rogemar S. Mamon
2017 J jnl
Risk measurement of a guaranteed annuity option under a stochastic modelling framework.
Math. Comput. Simul.
Huan Gao, Rogemar S. Mamon, Xiaoming Liu
2016 J jnl
A self-updating model driven by a higher-order hidden Markov chain for temperature dynamics.
J. Comput. Sci.
Heng Xiong, Rogemar S. Mamon
2016 J jnl
Filtering of a Discrete-Time HMM-Driven Multivariate Ornstein-Uhlenbeck Model With Application to Forecasting Market Liquidity Regimes.
IEEE J. Sel. Top. Signal Process.
Anton Tenyakov, Rogemar S. Mamon, Matt Davison
2016 J jnl
Modelling high-frequency FX rate dynamics: A zero-delay multi-dimensional HMM-based approach.
Knowl. Based Syst.
Anton Tenyakov, Rogemar S. Mamon, Matt Davison
2014 J jnl
A Higher-Order Hidden Markov Chain-Modulated Model for Asset Allocation.
J. Math. Model. Algorithms Oper. Res.
Xiaojing Xi, Rogemar S. Mamon, Matt Davison
2013 J jnl
A comonotonicity-based valuation method for guaranteed annuity options.
J. Comput. Appl. Math.
Xiaoming Liu, Rogemar S. Mamon, Huan Gao
2013 J jnl
Pricing and risk management of interest rate swaps.
Eur. J. Oper. Res.
Sovan Mitra, Paresh Date, Rogemar S. Mamon, Chieh Wang
2012 J jnl
An accessible implementation of interest rate models with Markov-switching.
Expert Syst. Appl.
Nanxin Zhou, Rogemar S. Mamon
2010 J jnl
A partially linearized sigma point filter for latent state estimation in nonlinear time series models.
J. Comput. Appl. Math.
Paresh Date, Luka Jalen, Rogemar S. Mamon
2009 J jnl
An online estimation scheme for a Hull-White model with HMM-driven parameters.
Stat. Methods Appl.
Christina Erlwein, Rogemar S. Mamon
2009 J jnl
Valuation of contingent claims with mortality and interest rate risks.
Math. Comput. Model.
Luka Jalen, Rogemar S. Mamon
2008 J jnl
A new algorithm for latent state estimation in non-linear time series models.
Appl. Math. Comput.
Paresh Date, Luka Jalen, Rogemar S. Mamon
2008 J jnl
A new moment matching algorithm for sampling from partially specified symmetric distributions.
Oper. Res. Lett.
Paresh Date, Rogemar S. Mamon, Luka Jalen
2008 J jnl
Adaptive signal processing of asset price dynamics with predictability analysis.
Inf. Sci.
Rogemar S. Mamon, Christina Erlwein, R. Bhushan Gopaluni
2007 J jnl
Recovery of Time-Dependent Parameters of a Black-Scholes-Type Equation: An Inverse Stieltjes Moment Approach.
J. Appl. Math.
Marianito R. Rodrigo, Rogemar S. Mamon
2006 J jnl
An alternative approach to solving the Black-Scholes equation with time-varying parameters.
Appl. Math. Lett.
Marianito R. Rodrigo, Rogemar S. Mamon
2005 J jnl
Explicit solutions to European options in a regime-switching economy.
Oper. Res. Lett.
Rogemar S. Mamon, Marianito R. Rodrigo
2004 J jnl
Three ways to solve for bond prices in the Vasicek model.
Adv. Decis. Sci.
Rogemar S. Mamon