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Rogemar Mamon
Rogemar Mamon
The University of Western Ontario
Keine bestätigte E-Mail-Adresse - Startseite
Titel
Zitiert von
Zitiert von
Jahr
Hidden Markov Models in Finance
RS Mamon, RJ Elliott
Springer, 2007
2502007
Three ways to solve for bond prices in the Vasicek model
RS Mamon
Journal of Applied Mathematics & Decision Sciences 8 (1), 1-14, 2004
1292004
HMM filtering and parameter estimation of an electricity spot price model
C Erlwein, FE Benth, R Mamon
Energy Economics 32 (5), 1034-1043, 2010
952010
Explicit solutions to European options in a regime-switching economy
RS Mamon, MR Rodrigo
Operations Research Letters 33 (6), 581-586, 2005
882005
An alternative approach to solving the Black–Scholes equation with time-varying parameters
MR Rodrigo, RS Mamon
Applied Mathematics Letters 19 (4), 398-402, 2006
712006
An interest rate model with a Markovian mean reverting level
RJ Elliott, RS Mamon
Quantitative Finance 2 (6), 454-458, 2002
62*2002
An accessible implementation of interest rate models with Markov-switching
N Zhou, R Mamon
Expert Systems with Applications 39 (5), 4679-4689, 2012
552012
Valuation of contingent claims with mortality and interest rate risks
L Jalen, R Mamon
Mathematical and Computer Modelling 49 (9-10), 1893-1904, 2009
522009
Filtering and forecasting commodity futures prices under an HMM framework
P Date, R Mamon, A Tenyakov
Energy Economics 40, 1001-1013, 2013
472013
The pricing of credit default swaps under a Markov-modulated Merton’s structural model
TK Siu, C Erlwein, RS Mamon
North American Actuarial Journal 12 (1), 18-46, 2008
452008
An online estimation scheme for a Hull–White model with HMM-driven parameters
C Erlwein, R Mamon
Statistical Methods and Applications 18, 87-107, 2009
422009
Renewable energy and economic growth: A Markov-switching approach
Y Chen, R Mamon, F Spagnolo, N Spagnolo
Energy 244, 123089, 2022
412022
A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach
X Liu, R Mamon, H Gao
Stochastics An International Journal of Probability and Stochastic Processes …, 2014
372014
An examination of HMM‐based investment strategies for asset allocation
C Erlwein, R Mamon, M Davison
Applied Stochastic Models in Business and Industry 27 (3), 204-221, 2011
362011
Adaptive signal processing of asset price dynamics with predictability analysis
RS Mamon, C Erlwein, RB Gopaluni
Information Sciences 178 (1), 203-219, 2008
362008
A complete yield curve description of a Markov interest rate model
RJ Elliott, RS Mamon
International Journal of Theoretical and Applied Finance 6 (04), 317-326, 2003
302003
An application of Mellin transform techniques to a Black–Scholes equation problem
MR Rodrigo, RS Mamon
Analysis and Applications 5 (01), 51-66, 2007
282007
A higher-order Markov chain-modulated model for electricity spot-price dynamics
H Xiong, R Mamon
Applied Energy 233, 495-515, 2019
272019
A comonotonicity-based valuation method for guaranteed annuity options
X Liu, R Mamon, H Gao
Journal of Computational and Applied Mathematics 250, 58-69, 2013
272013
Parameter estimation of an asset price model driven by a weak hidden Markov chain
X Xi, R Mamon
Economic Modelling 28 (1-2), 36-46, 2011
272011
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