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Rogemar S. Mamon

Observed names: Mamon, R, Mamon, Rogemar, Mamon, Rogemar S, Mamon, Rogemar S., R. Mamon, R. S. Mamon, R.S. Mamon, ROGEMAR S. MAMON, Rogemar Mamon, Rogemar S Mamon
Observed institutions: Asian Institute of Management, Western University, University of British Columbia, University of Waterloo, University of the Philippines Visayas, TD Bank Group, Brunel University of London
ORCID: 0000-0003-0885-7685
Observed ORCID: 0000-0003-0885-7685
OpenAlex ID: A5010674696
Hidden Markov Models in Finance
2007 · Mamon, Rogemar S, Elliott, Robert J. · Springer eBooks · 138
Three Ways to Solve for Bond Prices in the Vasicek Model
2004 · Rogemar S. Mamon · Journal of Applied Mathematics and Decision Sciences · 78
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HMM filtering and parameter estimation of an electricity spot price model
2010 · Christina Erlwein, Fred Espen Benth, et al. · Energy Economics · 61
Explicit solutions to European options in a regime-switching economy
2005 · Rogemar S. Mamon, Marianito R. Rodrigo · Operations Research Letters · 59
Renewable energy and economic growth: A Markov-switching approach
2022 · Yiyang Chen, Rogemar Mamon, et al. · Energy · 54
An alternative approach to solving the Black–Scholes equation with time-varying parameters
2005 · Marianito R. Rodrigo, Rogemar S. Mamon · Applied Mathematics Letters · 51
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An accessible implementation of interest rate models with Markov-switching
2011 · Nanxin Zhou, Rogemar Mamon · Expert Systems with Applications · 49
Valuation of contingent claims with mortality and interest rate risks
2008 · Luka Jalen, Rogemar Mamon · Mathematical and Computer Modelling · 45
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An interest rate model with a Markovian mean reverting level
2002 · Robert J Elliott, Rogemar S Mamon · Quantitative Finance · 43
Filtering and forecasting commodity futures prices under an HMM framework
2013 · Paresh Date, Rogemar Mamon, et al. · Energy Economics · 42
Hidden Markov Models in Finance
2014 · Mamon, Rogemar S, Elliott, Robert J · International series in management science/operations research/International series in operations research & management science · 40
The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model
2008 · Tak Kuen Siu, Christina Erlwein, et al. · North American Actuarial Journal · 35
An online estimation scheme for a Hull–White model with HMM-driven parameters
2007 · Christina Erlwein, Rogemar Mamon · Statistical Methods & Applications · 35
Adaptive signal processing of asset price dynamics with predictability analysis
2007 · Rogemar S. Mamon, Christina Erlwein, et al. · Information Sciences · 33
A higher-order Markov chain-modulated model for electricity spot-price dynamics
2018 · Heng Xiong, Rogemar Mamon · Applied Energy · 32
Sustainable developments, renewable energy, and economic growth in C anada
2023 · Yiyang Chen, Rogemar Mamon, et al. · Sustainable Development · 31
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A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach
2014 · Xiaoming Liu, Rogemar Mamon, et al. · Stochastics · 31
An examination of HMM-based investment strategies for asset allocation
2009 · Christina Erlwein, Rogemar Mamon, et al. · Applied Stochastic Models in Business and Industry · 29
A Complete Yield Curve Description of a Markov Interest Rate Model
2003 · ROBERT J. ELLIOTT, ROGEMAR S. MAMON · International Journal of Theoretical and Applied Finance · 26
Parameter estimation of an asset price model driven by a weak hidden Markov chain
2010 · Xiaojing Xi, Rogemar Mamon · Economic Modelling · 23
An Application of Mellin Transform Techniques to a Black–scholes Equation Problem
2006 · MARIANITO R. RODRIGO, ROGEMAR S. MAMON · Analysis and Applications · 23
A comonotonicity-based valuation method for guaranteed annuity options
2013 · Xiaoming Liu, Rogemar Mamon, et al. · Journal of Computational and Applied Mathematics · 20
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An Effective Bias-corrected Bagging Method for the Valuation of Large Variable Annuity Portfolios
2020 · Hyukjun Gweon, Shu Li, et al. · Astin Bulletin · 19
Filtering of a Discrete-Time HMM-Driven Multivariate Ornstein-Uhlenbeck Model With Application to Forecasting Market Liquidity Regimes
2016 · Anton Tenyakov, Rogemar Mamon, et al. · IEEE Journal of Selected Topics in Signal Processing · 19
Mortality modelling with regime-switching for the valuation of a guaranteed annuity option
2015 · Huan Gao, Rogemar Mamon, et al. · Insurance Mathematics and Economics · 19
Works count: 112
Citation count: 1,484
H-index: 21
I10-index: 41
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