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1

A computing platform for pairs-trading online implementation via a blended Kalman-HMM filtering approach

Tenyakov, Anton, Mamon, Rogemar

Journal:

Journal of Big Data

Year:

2017

Language:

english

File:

PDF, 1.87 MB

english, 2017

2

A Higher-Order Hidden Markov Chain-Modulated Model for Asset Allocation

Xiaojing Xi, Rogemar Mamon, Matt Davison

Journal:

Journal of Mathematical Modelling and Algorithms in Operations Research

Year:

2014

Language:

english

File:

PDF, 584 KB

english, 2014

3

Pricing and risk management of interest rate swaps

Mitra, Sovan, Date, Paresh, Mamon, Rogemar, Wang, I-Chieh

Journal:

European Journal of Operational Research

Year:

2013

Language:

english

File:

PDF, 339 KB

english, 2013

4

[International Series in Operations Research & Management Science] Hidden Markov Models in Finance Volume 209 ||

Mamon, Rogemar S., Elliott, Robert J.

Year:

2014

Language:

english

File:

PDF, 4.58 MB

english, 2014

5

An alternative approach to solving the Black–Scholes equation with time-varying parameters

Marianito R. Rodrigo, Rogemar S. Mamon

Journal:

Applied Mathematics Letters

Year:

2006

Language:

english

File:

PDF, 132 KB

english, 2006

6

Filtering and forecasting commodity futures prices under an HMM framework

Date, Paresh, Mamon, Rogemar, Tenyakov, Anton

Journal:

Energy Economics

Year:

2013

Language:

english

File:

PDF, 1.52 MB

english, 2013

7

[International Series in Operations Research & Management Science] Hidden Markov Models in Finance Volume 104 ||

Mamon, Rogemar S., Elliott, Robert J.

Year:

2007

Language:

english

File:

PDF, 2.27 MB

english, 2007

8

An examination of HMM-based investment strategies for asset allocation

Christina Erlwein, Rogemar Mamon, Matt Davison

Journal:

Applied Stochastic Models in Business and Industry

Year:

2011

Language:

english

File:

PDF, 344 KB

english, 2011

9

Explicit solutions to European options in a regime-switching economy

Rogemar S. Mamon, Marianito R. Rodrigo

Journal:

Operations Research Letters

Year:

2005

Language:

english

File:

PDF, 179 KB

english, 2005

10

Adaptive signal processing of asset price dynamics with predictability analysis

Rogemar S. Mamon, Christina Erlwein, R. Bhushan Gopaluni

Journal:

Information Sciences

Year:

2008

Language:

english

File:

PDF, 1.31 MB

english, 2008

11

Capturing the Regime-Switching and Memory Properties of Interest Rates

Xi, Xiaojing, Mamon, Rogemar

Journal:

Computational Economics

Year:

2014

Language:

english

File:

PDF, 507 KB

english, 2014

12

An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions

Rodrigo, Marianito R., Mamon, Rogemar S.

Journal:

Quantitative Finance

Year:

2014

Language:

english

File:

PDF, 312 KB

english, 2014

13

Mortality modelling with regime-switching for the valuation of a guaranteed annuity option

Gao, Huan, Mamon, Rogemar, Liu, Xiaoming, Tenyakov, Anton

Journal:

Insurance: Mathematics and Economics

Year:

2015

Language:

english

File:

PDF, 579 KB

english, 2015

14

Filtering of a discrete-time HMM-driven multivariate Ornstein-Uhlenbeck model with application to forecasting market liquidity regimes

Tenyakov, Anton, Mamon, Rogemar, Davison, Matt

Journal:

IEEE Journal of Selected Topics in Signal Processing

Year:

2016

Language:

english

File:

PDF, 1.21 MB

english, 2016

15

Three ways to solve for bond prices in the Vasicek model

Mamon, Rogemar S.

Journal:

Journal of Applied Mathematics & Decision Sciences

Year:

2004

Language:

english

File:

PDF, 1.89 MB

english, 2004

16

Online estimation for a predictive analytics platform with a financial-stability-analysis application

Gu, Xing, Mamon, Rogemar, Duprey, Thibaut, Xiong, Heng

Journal:

European Journal of Control

Year:

2020

File:

PDF, 2.44 MB

2020

17

A partially linearized sigma point filter for latent state estimation in nonlinear time series models

Paresh Date, Luka Jalen, Rogemar Mamon

Journal:

Journal of Computational and Applied Mathematics

Year:

2010

Language:

english

File:

PDF, 491 KB

english, 2010

18

A self-tuning model for inflation rate dynamics

Rogemar Mamon, Zheng Duan

Journal:

Communications in Nonlinear Science and Numerical Simulation

Year:

2010

Language:

english

File:

PDF, 354 KB

english, 2010

19

HMM filtering and parameter estimation of an electricity spot price model

Christina Erlwein, Fred Espen Benth, Rogemar Mamon

Journal:

Energy Economics

Year:

2010

Language:

english

File:

PDF, 951 KB

english, 2010

20

A time-varying Markov chain model of term structure

Rogemar S Mamon

Journal:

Statistics & Probability Letters

Year:

2002

Language:

english

File:

PDF, 83 KB

english, 2002

21

An accessible implementation of interest rate models with Markov-switching

Nanxin Zhou, Rogemar Mamon

Journal:

Expert Systems with Applications

Year:

2012

Language:

english

File:

PDF, 1.20 MB

english, 2012

22

Parameter estimation of an asset price model driven by a weak hidden Markov chain

Xiaojing Xi, Rogemar Mamon

Journal:

Economic Modelling

Year:

2011

Language:

english

File:

PDF, 518 KB

english, 2011

23

A streamlined derivation of the Black-Scholes option pricing formula

Mamon, Rogemar S.

Journal:

Journal of Interdisciplinary Mathematics

Year:

2005

Language:

english

File:

PDF, 188 KB

english, 2005

24

A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL

ELLIOTT, ROBERT J., MAMON, ROGEMAR S.

Journal:

International Journal of Theoretical and Applied Finance

Year:

2003

Language:

english

File:

PDF, 151 KB

english, 2003

25

A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach

Liu, Xiaoming, Mamon, Rogemar, Gao, Huan

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2014

Language:

english

File:

PDF, 149 KB

english, 2014

26

A NEW REPRESENTATION OF THE LOCAL VOLATILITY SURFACE

RODRIGO, MARIANITO R., MAMON, ROGEMAR S.

Journal:

International Journal of Theoretical and Applied Finance

Year:

2008

Language:

english

File:

PDF, 208 KB

english, 2008

27

A unified approach to explicit bond price solutions under a time-dependent affine term structure modelling framework

Rodrigo, Marianito R., Mamon, Rogemar S.

Journal:

Quantitative Finance

Year:

2011

Language:

english

File:

PDF, 439 KB

english, 2011

28

An interest rate model with a Markovian mean reverting level

Elliott, Robert J, Mamon, Rogemar S

Journal:

Quantitative Finance

Year:

2002

Language:

english

File:

PDF, 465 KB

english, 2002

29

Pricing a guaranteed annuity option under correlated and regime-switching risk factors

Gao, Huan, Mamon, Rogemar, Liu, Xiaoming

Journal:

European Actuarial Journal

Year:

2015

Language:

english

File:

PDF, 461 KB

english, 2015

30

Modelling high-frequency FX rate dynamics: A zero-delay multi-dimensional HMM-based approach

Tenyakov, Anton, Mamon, Rogemar, Davison, Matt

Journal:

Knowledge-Based Systems

Year:

2016

Language:

english

File:

PDF, 2.79 MB

english, 2016

31

Risk measurement of a guaranteed annuity option under a stochastic modelling framework

Gao, Huan, Mamon, Rogemar, Liu, Xiaoming

Journal:

Mathematics and Computers in Simulation

Year:

2016

Language:

english

File:

PDF, 2.06 MB

english, 2016

32

An automated financial indices-processing scheme for classifying market liquidity regimes

Gu, Xing, Mamon, Rogemar, Davison, Matt, Yu, Hao

Journal:

International Journal of Control

Year:

2019

Language:

english

File:

PDF, 11.29 MB

english, 2019

33

A new algorithm for latent state estimation in non-linear time series models

Paresh Date, Luka Jalen, Rogemar Mamon

Journal:

Applied Mathematics and Computation

Year:

2008

Language:

english

File:

PDF, 195 KB

english, 2008

34

Valuation of contingent claims with mortality and interest rate risks

Luka Jalen, Rogemar Mamon

Journal:

Mathematical and Computer Modelling

Year:

2009

Language:

english

File:

PDF, 652 KB

english, 2009

35

An online estimation scheme for a Hull–White model with HMM-driven parameters

Christina Erlwein, Rogemar Mamon

Journal:

Statistical Methods & Applications

Year:

2009

Language:

english

File:

PDF, 674 KB

english, 2009

36

A comonotonicity-based valuation method for guaranteed annuity options

Liu, Xiaoming, Mamon, Rogemar, Gao, Huan

Journal:

Journal of Computational and Applied Mathematics

Year:

2013

Language:

english

File:

PDF, 579 KB

english, 2013

37

Parameter Estimation for Scientists and Engineersby A. van den Bos

Review by: Rogemar S. Mamon

Journal:

Year:

2008

Language:

english

File:

PDF, 314 KB

english, 2008

38

On the interface of probabilistic and PDE methods in a multifactor term structure theory

Mamon, Rogemar S.

Journal:

International Journal of Mathematical Education

Year:

2004

Language:

english

File:

PDF, 135 KB

english, 2004

39

AN APPLICATION OF MELLIN TRANSFORM TECHNIQUES TO A BLACK–SCHOLES EQUATION PROBLEM

RODRIGO, MARIANITO R., MAMON, ROGEMAR S.

Journal:

Analysis and Applications

Year:

2007

Language:

english

File:

PDF, 210 KB

english, 2007

40

[International Series in Operations Research & Management Science] Hidden Markov Models in Finance Volume 104 || Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets

Mamon, Rogemar S., Elliott, Robert J.

Year:

2007

Language:

english

File:

PDF, 494 KB

english, 2007

41

[International Series in Operations Research & Management Science] Hidden Markov Models in Finance Volume 104 || Filtering of a Partially Observed Inventory System

Mamon, Rogemar S., Elliott, Robert J.

Year:

2007

Language:

english

File:

PDF, 400 KB

english, 2007

42

Recovery of Time-Dependent Parameters of a Black-Scholes-Type Equation: An Inverse Stieltjes Moment Approach

Rodrigo, Marianito R., Mamon, Rogemar S.

Journal:

Journal of Applied Mathematics

Year:

2007

Language:

english

File:

PDF, 236 KB

english, 2007

43

The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model

Siu, Tak Kuen, Erlwein, Christina, Mamon, Rogemar S.

Journal:

North American Actuarial Journal

Year:

2008

Language:

english

File:

PDF, 603 KB

english, 2008

44

Elements of Applied Probability for Engineering, Mathematics and Systems Scienceby D. McDonald

Rogemar S. Mamon

Journal:

Year:

2009

Language:

english

File:

PDF, 339 KB

english, 2009

45

A self-updating model driven by a higher-order hidden Markov chain for temperature dynamics

Xiong, Heng, Mamon, Rogemar

Journal:

Journal of Computational Science

Year:

2016

Language:

english

File:

PDF, 1.09 MB

english, 2016

46

Putting a price tag on temperature

Xiong, Heng, Mamon, Rogemar

Journal:

Computational Management Science

Year:

2017

Language:

english

File:

PDF, 1.36 MB

english, 2017

47

An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks

Zhao, Yixing, Mamon, Rogemar

Journal:

Insurance: Mathematics and Economics

Year:

2018

Language:

english

File:

PDF, 2.10 MB

english, 2018

48

Inference for a mean-reverting stochastic process with multiple change points

Chen, Fuqi, Mamon, Rogemar, Davison, Matt

Journal:

Electronic Journal of Statistics

Year:

2017

Language:

english

File:

PDF, 1.98 MB

english, 2017

49

A two-decrement model for the valuation and risk measurement of a guaranteed annuity option

Zhao, Yixing, Mamon, Rogemar, Gao, Huan

Journal:

Econometrics and Statistics

Year:

2018

Language:

english

File:

PDF, 1.10 MB

english, 2018

50

A higher-order Markov chain-modulated model for electricity spot-price dynamics

Xiong, Heng, Mamon, Rogemar

Journal:

Year:

2019

Language:

english

File:

PDF, 4.96 MB

english, 2019

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