Rogemar S. Mamon

Available identifiers

zbMath Open mamon.rogemar-sWikidataQ7357748 ScholiaQ7357748MaRDI QIDQ705418

List of research outcomes

Publication	Date of Publication	Type
A comparison of three algorithms in the filtering of a Markov-modulated non-homogeneous Poisson process	2024-04-12	Paper
A uniformisation-driven algorithm for inference-related estimation of a phase-type ageing model	2023-06-20	Paper
Modelling and filtering for dynamic investment in the precious-metals market	2022-10-24	Paper
Jumping hedges on the strength of the Mellin transform	2022-05-31	Paper
Valuing guaranteed minimum accumulation benefits by a change of numéraire approach	2022-03-10	Paper
The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model	2022-01-19	Paper
The Valuation of a Guaranteed Minimum Maturity Benefit under a Regime-Switching Framework	2021-12-18	Paper
Bond pricing formulas for Markov-modulated affine term structure models	2021-11-23	Paper
Risk measurement of a guaranteed annuity option under a stochastic modelling framework	2021-02-19	Paper
Online estimation for a predictive analytics platform with a financial-stability-analysis application	2021-01-21	Paper
AN EFFECTIVE BIAS-CORRECTED BAGGING METHOD FOR THE VALUATION OF LARGE VARIABLE ANNUITY PORTFOLIOS	2020-12-13	Paper
Management Mathematics: a retrospective	2020-09-30	Paper
Inference for a change‐point problem under an OU setting with unequal and unknown volatilities	2020-04-28	Paper
Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation	2020-03-06	Paper
Annuity contract valuation under dependent risks	2020-02-28	Paper
An interest rate model with a Markovian mean reverting level	2019-01-14	Paper
Parameter Estimation in a Weak Hidden Markov Model with Independent Drift and Volatility	2018-12-21	Paper
Parameter Estimation in a Regime-Switching Model with Non-normal Noise	2018-12-21	Paper
Putting a price tag on temperature	2018-11-07	Paper
Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting	2018-08-10	Paper
An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks	2018-02-15	Paper
Inference for a mean-reverting stochastic process with multiple change points	2017-06-08	Paper
Determination of a structural break in a mean-reverting process	2016-10-10	Paper
A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach	2016-06-10	Paper
Pricing and risk management of interest rate swaps	2016-03-15	Paper
Pricing a guaranteed annuity option under correlated and regime-switching risk factors	2016-01-15	Paper
Mortality modelling with regime-switching for the valuation of a guaranteed annuity option	2015-08-20	Paper
An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions	2015-04-23	Paper
A comonotonicity-based valuation method for guaranteed annuity options	2014-04-30	Paper
A higher-order hidden Markov chain-modulated model for asset allocation	2014-02-07	Paper
An examination of HMM-based investment strategies for asset allocation	2013-11-15	Paper
https://portal.mardi4nfdi.de/entity/Q4925758	2013-06-12	Paper
A linear algebraic method for pricing temporary life annuities and insurance policies	2012-02-10	Paper
A self-tuning model for inflation rate dynamics	2011-10-13	Paper
A unified approach to explicit bond price solutions under a time-dependent affine term structure modelling framework	2011-06-09	Paper
https://portal.mardi4nfdi.de/entity/Q3068502	2011-01-15	Paper
A partially linearized sigma point filter for latent state estimation in nonlinear time series models	2010-02-12	Paper
Valuation of contingent claims with mortality and interest rate risks	2009-10-12	Paper
A NEW REPRESENTATION OF THE LOCAL VOLATILITY SURFACE	2009-02-26	Paper
A new algorithm for latent state estimation in non-linear time series models	2009-01-16	Paper
A new moment matching algorithm for sampling from partially specified symmetric distributions	2009-01-09	Paper
Recovery of time-dependent parameters of a Black-Scholes-type equation: an inverse Stieltjes moment approach	2008-02-20	Paper
Adaptive signal processing of asset price dynamics with predictability analysis	2008-01-11	Paper
An empirical investigation of the unbiased forward exchange rate hypothesis in a regime switching market	2007-11-05	Paper
A streamlined derivation of the Black-Scholes option pricing formula	2007-09-04	Paper
Valuation of cash flows under random rates of interest: a linear algebraic approach	2007-07-19	Paper
AN APPLICATION OF MELLIN TRANSFORM TECHNIQUES TO A BLACK–SCHOLES EQUATION PROBLEM	2007-02-07	Paper
An alternative approach to solving the Black-Scholes equation with time-varying parameters	2006-05-11	Paper
Explicit solutions to European options in a regime-switching economy	2006-02-02	Paper
A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL	2005-10-19	Paper
Analytic pricing solutions to term structure derivatives in a Markov chain market	2005-03-21	Paper
Three ways to solve for bond prices in the Vasiček model	2005-01-31	Paper
A time-varying Markov chain model of term structure.	2003-05-07	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Rogemar S. Mamon