The following pages link to Rogemar S. Mamon (Q705418):
Displaying 50 items.
- (Q257232) (redirect page) (← links)
- Pricing and risk management of interest rate swaps (Q257234) (← links)
- Mortality modelling with regime-switching for the valuation of a guaranteed annuity option (Q492634) (← links)
- (Q661216) (redirect page) (← links)
- A linear algebraic method for pricing temporary life annuities and insurance policies (Q661219) (← links)
- Three ways to solve for bond prices in the Vasiček model (Q705419) (← links)
- A self-tuning model for inflation rate dynamics (Q720159) (← links)
- Valuation of contingent claims with mortality and interest rate risks (Q732668) (← links)
- Explicit solutions to European options in a regime-switching economy (Q813961) (← links)
- A partially linearized sigma point filter for latent state estimation in nonlinear time series models (Q847249) (← links)
- Pricing a guaranteed annuity option under correlated and regime-switching risk factors (Q903675) (← links)
- Valuation of cash flows under random rates of interest: a linear algebraic approach (Q997086) (← links)
- Putting a price tag on temperature (Q1616809) (← links)
- Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting (Q1656864) (← links)
- An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks (Q1697208) (← links)
- A time-varying Markov chain model of term structure. (Q1871340) (← links)
- Jumping hedges on the strength of the Mellin transform (Q2143532) (← links)
- Online estimation for a predictive analytics platform with a financial-stability-analysis application (Q2220080) (← links)
- Risk measurement of a guaranteed annuity option under a stochastic modelling framework (Q2228966) (← links)
- Annuity contract valuation under dependent risks (Q2300949) (← links)
- Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation (Q2304045) (← links)
- Inference for a mean-reverting stochastic process with multiple change points (Q2396344) (← links)
- A higher-order hidden Markov chain-modulated model for asset allocation (Q2434780) (← links)
- A comonotonicity-based valuation method for guaranteed annuity options (Q2448346) (← links)
- Adaptive signal processing of asset price dynamics with predictability analysis (Q2465971) (← links)
- Recovery of time-dependent parameters of a Black-Scholes-type equation: an inverse Stieltjes moment approach (Q2472051) (← links)
- An alternative approach to solving the Black-Scholes equation with time-varying parameters (Q2488725) (← links)
- A new moment matching algorithm for sampling from partially specified symmetric distributions (Q2517789) (← links)
- A new algorithm for latent state estimation in non-linear time series models (Q2518712) (← links)
- Bond pricing formulas for Markov-modulated affine term structure models (Q2666684) (← links)
- Valuing guaranteed minimum accumulation benefits by a change of numéraire approach (Q2670118) (← links)
- A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach (Q2812013) (← links)
- An examination of HMM-based investment strategies for asset allocation (Q2862422) (← links)
- A unified approach to explicit bond price solutions under a time-dependent affine term structure modelling framework (Q3005810) (← links)
- (Q3068502) (← links)
- The Valuation of a Guaranteed Minimum Maturity Benefit under a Regime-Switching Framework (Q3385434) (← links)
- AN APPLICATION OF MELLIN TRANSFORM TECHNIQUES TO A BLACK–SCHOLES EQUATION PROBLEM (Q3421544) (← links)
- A NEW REPRESENTATION OF THE LOCAL VOLATILITY SURFACE (Q3606399) (← links)
- Parameter Estimation in a Weak Hidden Markov Model with Independent Drift and Volatility (Q4562483) (← links)
- Parameter Estimation in a Regime-Switching Model with Non-normal Noise (Q4562484) (← links)
- An interest rate model with a Markovian mean reverting level (Q4647230) (← links)
- Analytic pricing solutions to term structure derivatives in a Markov chain market (Q4659865) (← links)
- (Q4925758) (← links)
- The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model (Q5022522) (← links)
- Modelling and filtering for dynamic investment in the precious-metals market (Q5044142) (← links)
- Inference for a change‐point problem under an OU setting with unequal and unknown volatilities (Q5107620) (← links)
- Management Mathematics: a retrospective (Q5125029) (← links)
- AN EFFECTIVE BIAS-CORRECTED BAGGING METHOD FOR THE VALUATION OF LARGE VARIABLE ANNUITY PORTFOLIOS (Q5140083) (← links)
- An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions (Q5247276) (← links)
- An empirical investigation of the unbiased forward exchange rate hypothesis in a regime switching market (Q5424409) (← links)
