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Department
of Statistical & Actuarial Sciences
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Rogemar S. Mamon
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PUBLICATIONS
Last
updated: 01 June 2020
Books (Edited/refereed volumes)
[B2] R.S.
Mamon and R.J. Elliott (Eds.), 2014, Hidden
Markov Models in Finance: Volume II (Further Developments and Applications),
[Front and Back Cover]
Springer's International Series in Operations Research and Management
Science, Vol. 209, XXII, 261 p., 47 illus., 39
in colour, Hardcover [ISBN: 978-1-4899-7441-9]
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[B1] R.S.
Mamon and R.J. Elliott (Eds.), 2007, Hidden
Markov Models in Finance, Springer's International Series in
Operations Research and Management Science, Vol. 104, XX, 188 p., 11 illus., Hardcover [ISBN: 978-0-387-71081-5], Published: 23 April
2007. DOI No: doi:10.1007/0-387-71163-5.
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* indicates
that co-authors were HQPs in my research group.
Peer-reviewed papers
[78]
Xiang, R*, Jones, C.*, Mamon, R.
and Chavez, M.* (2020). Modelling exchange-
driven fish price dynamics. Journal of
Modelling in Management,
accepted
(October 2020). Link: article’s URL – TBA.
[77]
Gweon, H., Li, S. and Mamon, R. (2020). An effective bias-corrected
bagging
method for the valuation of large
variable annuity portfolios.
ASTIN
Bulletin - The Journal of the International Actuarial Association,
accepted (July 2020). Link: article’s URL..
[76]
Gu, X.*, Mamon, R., Duprey, T.
and Xiong, H. (2020). Online estimation for a
predictive analytics platform with a financial-stability-analysis
application.
European
Journal of Control, accepted (May 2020). Link: article’s URL.
[75]
M. Rodrigo and R. S. Mamon, 2020,
“Bond pricing formulas for Markov-
modulated affine term structure
models”, Journal of Industrial
and Management
Optimization, accepted (22 Feb 2020). Link: article’s
URL.
[74]
R.S. Mamon, H. Xiong and Y. Zhao,
2020, “The valuation of a guaranteed
Minimum maturity benefit under a regime-switching framework ”,
North
American Actuarial Journal, accepted (December 2019).
Link: article’s
URL.
[73] S.Grimm,
C. Erlwein and R.S. Mamon, 2020, “Discrete-time implementation
of
continuous-time filters with
application to regime-switching dynamics
estimation”, Nonlinear
Analysis: Hybrid Systems, accepted (August 2019).
Link: article’s URL.
[72]
F. Chen, R.S. Mamon and S. Nkurunziza, 2020, “Inference for a
change-point
problem under an Ornstein-Uhlenbeck
setting with unknown and unequal
volatilities”, Canadian
Journal of Statistics, 48(1), 62-78.
Link: article’s
URL.
[71] X. Gu, R.S. Mamon, M. Davison and H. Yu, 2020, “An
automated financial
indices- processing scheme for
classifying market liquidity regimes”,
International
Journal of Control, accepted (May 2019). Link: article’s
URL.
[70] Y. Zhao and R.S. Mamon, 2020,
“Annuity valuation under dependent risks”,
Japan Journal of Industrial
and Applied Mathematics, 37(1), 1-23.
Link: article’s
URL.
[69]
R. Mamon, P. Scarf and A.
Syntetos, 2020, “Management Mathematics: a
retrospective”, IMA Journal of Management Mathematics,
31(1), 1-3. Link:
article’s URL.
[68] Y. Zhao and R. Mamon, “Setting risk margins under IFRS 17”, under second
review.
[67]
H. Xiong and R.S. Mamon, 2019, “A higher-order Markov chain model
for
electricity spot price dynamics”, Applied Energy,
vols 233-234, pp 495-515.
Link: article’s URL.
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[66]
Y. Zhao, R.S. Mamon and H. Gao, 2018, “A two-decrement model for
the risk measurement of a guaranteed annuity option”, Econometrics
and Statistics, 8, 231-249. Link: article’s
URL.
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[65] Y. Zhao and R.S.
Mamon, 2018, “An efficient algorithm for the valuation of a guaranteed
option with correlated financial and mortality risks”, Insurance:
Mathematics and Economics, 78, 1-12. Link: article’s URL.
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[64]
F. Chen, R.S. Mamon and S. Nkurunziza, 2018, “Inference for a
change-point problem under a generalised Ornstein-Uhlenbeck setting”, Annals of the Institute of
Statistical Mathematics, 70(4), 807-853. Link: article’s
URL.
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[62]
F. Chen, R.S. Mamon and M. Davison, 2017, “Inference for a
mean-reverting stochastic process with multiple change points”, Electronic Journal of
Statistics (a journal co-sponsored by the Institute of Mathematical Statistics
and Bernoulli Society), 11(1),
2199-2257. Link: article’s URL.
Old version: arXiv,
1610.05795.
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[61]
A. Tenyakov and R.S. Mamon, 2017, “A computing platform for
pairs-trading
online
implementation via a blended Kalman-HMM filtering approach”,
Journal
of Big Data, 4:46
[https://doi.org/10.1186/s40537-017-0106-3].
Link:
article’s URL.
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[60] M. Rodrigo and R.S. Mamon,
“A Mellin-Laplace transform approach in pricing American options with
general payoffs”, under review.
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[59]
H. Xiong and R.S. Mamon, “Modelling and forecasting the dynamics
of forward price curves in the Fish Pool market”, under review.
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[58]
F. Chen and R.S. Mamon, “Inference for a multivariate
mean-reverting stochastic process with multiple change points”, under review.
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[57]
S. Park and R.S. Mamon, “Determination of capital requirements
for a longevity product in the Korean insurance market”, Preprint.
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[56] C. D’Onofrio, and R.S. Mamon, “A
real-options approach to patent and IPR valuation”, Preprint
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[55] H. Gao, R.S.
Mamon and X. Liu, 2017, “Risk measurement of a guaranteed annuity option
under a stochastic modelling framework”, Mathematics
and Computers in Simulation, 132, 100-119. Link:
article’s URL.
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[54]
H. Xiong and R.S. Mamon, 2016, “A self-updating model driven by
a higher-order hidden Markov chain for temperature dynamics”, Journal
of Computational Science, 17, 47-61. Link: article’s URL.
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[53] A.
Tenyakov, R.S. Mamon and M. Davison, 2016, “Filtering
of a discrete-time HMM-driven multivariate Ornstein-Uhlenbeck model with
application to forecasting market liquidity regimes”, IEEE
Journal of Selected Topics in Signal Processing, 10(6),
994-1005. Link: article's
URL.
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[52]
A. Tenyakov, R.S. Mamon and M. Davison, 2016, “Modelling
high-frequency FX rate dynamics: A zero-delay multi-dimensional HMM-based
approach”, Knowledge-Based
Systems, 101, 142-155. Link: article’s
URL.
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[51]
R. Mamon, 2016, “Editor’s Introduction – Virtual Issue:
Quantitative Methods in Finance”, IMA Journal of Management
Mathematics. Link: editorial’s
URL.
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[50]
Tenyakov and R.S. Mamon, “An estimation algorithm for a
Markov-switching model with a generalised number of states”, Preprint.
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[49]
H. Gao, R.S. Mamon and X. Liu, 2015, “Pricing a guaranteed
annuity option under correlated and regime-switching risk factors”, European
Actuarial Journal, 5(2), 309-326. Link: article’s
URL.
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[48]
H. Gao, R.S. Mamon, X. Liu and A. Tenyakov, 2015, “Mortality
modelling with regime-switching for the valuation of a guaranteed annuity
option”, Insurance: Mathematics and
Economics, 63, 108-120. Link: article’s
URL.
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[47]
X. Liu, R.S. Mamon and H. Gao, 2014, “A generalised pricing
framework addressing correlated mortality and interest risks: A change of
probability measure approach”, Stochastics
(An International Journal of Probability and Stochastic Processes),
86(4), 594-608. Link: article’s
URL.
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[46]
M. Rodrigo and R.S. Mamon, 2014, “An alternative approach to the
calibration of the Vasicek and CIR interest rate models via generating
functions”, Quantitative
Finance, 14(11),
1961-1970. Link: article’s
URL.
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[45]
X. Xi and R.S. Mamon, 2014, “Capturing the regime-switching and
memory properties of interest rates”, Computational
Economics, 44(3), 307-337. Link: article’s
URL.
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[44]
X. Xi, R. Mamon and M. Davison, 2014, “A higher-order hidden
Markov chain-modulated model for asset allocation”, Journal
of Mathematical Modelling and Algorithms in Operations Research,
13(1), 59-85. Link:
article’s URL.
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[43]
X. Xi and R.S. Mamon, 2014, “Parameter estimation in a WHMM
setting with independent and volatility components”. In: Hidden
Markov Models in Finance: Volume II (Further Developments and
Applications) (eds.: Mamon, R. and Elliott, R), Springer, 227-240.
Link: article’s
URL.
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[42]
L. Jalen and R.S. Mamon, 2014, “Parameter estimation in a
regime-switching model with non-normal noise terms”. In: Hidden
Markov Models in Finance: Volume II (Further Developments and
Applications) (eds.: Mamon, R. and Elliott, R), Springer, 241-261.
Link: article’s
URL.
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[41]
P. Date, R.S. Mamon and A. Tenyakov, 2013, “Filtering and
forecasting commodity futures prices under an HMM framework”, Energy
Economics, 40, 1001-1013. Link: article's
URL.
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[40]
X. Liu, R.S. Mamon and H. Gao, 2013, “A comonotonicity-based valuation
method for guaranteed annuity options”, Journal
of Computational and Applied Mathematics, 250, 58-69. Link: article’s
URL.
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[39]
S. Mitra, P. Date, R.S. Mamon and I. Wang, 2013, “Pricing and
risk management of interest rate swaps”, European
Journal of Operational Research, 228(1), 102-111. Link: article’s
URL.
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[38]
X. Xi and R.S. Mamon, 2013, “Yield curve modelling using a
multivariate higher-order HMM”. In:
State-Space
Models and Applications in Economics and Finance (eds.: Zeng, Y. and Wu, S.), Springer’s Series in Statistics
and Econometrics for Finance,
Volume 1, 185-203.
Link: article’s
URL.
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[37]
N. Zhou and R.S. Mamon, 2012, “An accessible implementation of
interest rate models with regime-switching”, Expert
Systems with Applications, 39(5), 4679-4689. Link: article’s
URL.
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[36]
X. Xi, M. Rodrigo and R.S. Mamon, 2012, “Parameter estimation of
a regime-switching model using an inverse Stieltjes moment approach”, In: Stochastic
Processes, Finance and Control (Festschrift in Honour of Robert Elliott's 70th Birthday), Advances in Statistics, Probability and Actuarial
Science, Volume I , (eds.: Cohen, S., Madan, D., Siu, T. and Yang, H.),
World Scientific, 549-569.
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[35]
M. Rodrigo and R.S. Mamon, 2011, “A unified approach to explicit
bond price solutions under a time-dependent affine term structure modelling
framework”, Quantitative
Finance, 11(4), 487-493. Chosen as feature article by
the Editor. Link: article’s URL.
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[34] X. Xi and
R.S. Mamon, 2011, “Parameter estimation of an asset price model driven by a
weak hidden Markov chain”, Economic
Modelling, 28(2011), 36-46. Link: article’s
URL.
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[33] C.
Erlwein, R.S. Mamon and M. Davison, 2011, “An examination of HMM-based
investment strategies for asset allocation”, Applied
Stochastic Models in Business and Industry, 27(3), 204-221. Link: article's
URL.
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[32]
P. Date, R.S.
Mamon, L. Jalen and I. Wang, 2010, “A linear algebraic method in pricing
temporary life annuities and insurance policies”, Insurance: Mathematics and
Economics,
47(1), 98-104. Link: article’s URL.
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[31]
C. Erlwein, F.
Benth and R.S. Mamon, 2010, “HMM filtering and parameter estimation of an
electricity spot price model”, Energy Economics, 32(5), 1034-1043. Link:
article`s URL.
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[30] P. Date,
L. Jalen and R.S. Mamon, 2010, “A partially linearised sigma point filter for
latent state estimation in nonlinear time series models”, Journal
of Computational and Applied Mathematics, 233(2010), 2675-2682.
Link: article’s URL.
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[29] R.S.
Mamon and Z. Duan, 2010, “A self-tuning model for inflation rate dynamics”,
Communications
in Nonlinear Science and Numerical Simulation, 15(2010), 2521-2528.
Link: article’s URL.
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[28] L. Jalen
and R.S. Mamon, 2009, “Valuation of contingent claims with mortality and
interest rate risks”, Mathematical
and Computer Modelling, 49(9-10), 1893-1904. Link: article’s URL.
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[27] C.
Erlwein and R.S. Mamon, 2009, “An on-line estimation scheme for a
Hull-White model with HMM-driven parameters”, Statistical
Methods and Applications, 18(1), 87-107. Link: article’s URL.
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[26]
R.S. Mamon, 2009, “Review of D. McDonald’s Elements of applied
probability for engineering, mathematics and systems science” Technometrics,
51(1), 100. DOI No.: doi:10.1198/TECH.2009.0011. Link: article’s
URL.
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[25] P. Date,
R.S. Mamon and L. Jalen, 2008, “A new moment matching algorithm for
sampling from partially specified symmetric distributions”, Operations
Research Letters, 36(6), 669-672. Link: article’s URL.
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[24] P. Date, L. Jalen
and R.S. Mamon, 2008, “A new algorithm for latent state estimation in
nonlinear time series models”, Applied Mathematics and
Computation,
203(1), 224-232. Link: article’s URL.
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[23] M.R. Rodrigo and R.S. Mamon, 2008, “A new
representation of the local volatility surface”, International
Journal of Theoretical and Applied Finance, 11(7), 691-703. Link: article’s URL.
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[22] R.S. Mamon and L.
Jalen, 2008, “Parameter estimation in a regime-switching model when the
drift and volatility are independent”, Proceedings of the 5th
International Conference on Dynamic Systems and Applications, Dynamic
Publishers, Inc., Atlanta, Georgia, USA, 291-298. Link: article’s URL.
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[21] T.K. Siu, C.
Erlwein and R.S. Mamon, 2008, “The pricing of credit default swaps under a
Markov-modulated Merton’s structural model”, North American Actuarial Journal, 12(1), 19-46. Link: article’s
URL. Winner of the NAAJ
Prize for the Best Paper published in 2008.
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[20] R.S. Mamon, C.
Erlwein and B. Gopaluni, 2008, "Adaptive signal processing of asset
price dynamics with predictability analysis", Information
Sciences (An International Journal for Informatics and
Computer Science Intelligent Systems Applications), 178, 203-219. Link:
article’s
URL.
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[19] R.S. Mamon, 2008,
“Review of A. van de Bos’s Parameter estimation for scientists and
engineers”, Technometrics,
50(4), 546. Link: article’s
URL.
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[18] R.S. Mamon, C.
Bakyar, M. Cavers, Y. Joshi, M. Kaur, D. Kim, X. Liu, F. Oloude and Y.
Sorokin, 2008, “The quantification of market risk”, Report on 2008
Graduate Industrial Mathematical Modelling Camp and Industrial Problem
Solving Workshop, Pacific Institute for Mathematical Sciences, 30-39.
Link: article’s
URL.
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[17] M.R. Rodrigo and R.S. Mamon, 2007,
“Recovery of time-dependent parameters of a Black-Scholes-type equation: An
inverse Stieltjes moment approach”, Journal of Applied Mathematics, vol. 2007, Article ID 62098, 8
pages. Link:
article’s URL.
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[16] P. Date, R.S.
Mamon and I. Wang, 2007, "Valuation of cashflows under random rates of
interest: A linear algebraic approach", Insurance:
Mathematics and Economics, 41(1), 84-95. Link: article’s
URL.
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[15] R.S. Mamon and P.
Date, 2007, "Editorial - Special issue in financial mathematics",
IMA Journal of Management
Mathematics, 18(4), 313-314. Link: article’s URL.
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[14] M.R. Rodrigo and
R.S. Mamon, 2007, "An application of Mellin transform techniques to a
Black-Scholes equation problem", Analysis and Applications,
5(1), 51-66. Link: article’s
URL.
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[13] E. Russo, F.
Spagnolo and R.S. Mamon, 2007, "An empirical investigation of the
unbiased forward exchange rate hypothesis in a regime-switching
market", in: Hidden
Markov Models in Finance, R.S. Mamon & R.J. Elliott (eds),
Springer, 133-153. Link: article’s URL.
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[12] K. Yu and R.S.
Mamon, 2006, "Discussion of Y. Lee & J. Nelder's double
hierarchical generalised linear models", Journal
of the Royal Statistical Society, Series C (Applied Statistics),
55(2), 178-179. Link: article’s
URL.
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[11] R.S. Mamon and K.
Yu, 2006 "Discussion of A. Beskos, et al.'s exact and computationally
efficient likelihood-based estimation for discretely observed
processes", Journal
of the Royal Statistical Society, Series B (Statistical Methodology),
68(3), 372-373. Link: article’s
URL.
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[10] M.R. Rodrigo and
R.S. Mamon, 2006, "An alternative approach to solving the
Black-Scholes PDE with time-varying parameters" Applied
Mathematics Letters, 19(4), 398-402. Link: article’s
URL.
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[9] R.S. Mamon, 2006, “Stochastic
modelling of interest rate dynamics: An expository note”, Diliman
Review, 53
(1-4), 197-233. Link: article’s
URL.
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[8] R.S. Mamon and M.R. Rodrigo, 2005,
"Explicit solutions to European options in a regime-switching
economy", Operations
Research Letters, 33(6), 581-586. Link to article’s
URL.
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[7] R.S. Mamon, 2005, "A
streamlined derivation of the Black-Scholes option pricing formula", Journal of Interdisciplinary
Mathematics, 8(3) 327-334. Link: article’s
URL.
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[6] R.S. Mamon, 2004, "Analytic
pricing solutions to term structure derivatives in a Markov chain
market", IMA Journal of
Management Mathematics, 15(3), 243-252. Link: article’s
URL.
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[5] R.S. Mamon, 2004, "Three ways
to solve for bond prices in the Vasicek model", Journal of
Applied Mathematics and Decision Sciences, 8(1), 1-14. Link: article’s URL.
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[4] R.S. Mamon, 2004, "On the
interface of probabilistic and PDE methods in a multi-factor term structure
theory", International
Journal of Mathematical Education in Science and Technology, 35(5),
661-668. Link: article’s
URL.
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[3] R.J. Elliott and R.S. Mamon, 2003,
"A complete yield curve description of a Markov interest rate
model", International
Journal of Theoretical and Applied Finance, 6(4), 317-326. Link: article’s
URL.
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[2] R.J. Elliott and R.S. Mamon, 2002,
"An interest rate model with a Markovian mean-reverting level", Quantitative
Finance, 2(6), 454-458. Link: article’s
URL.
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[1] R.S. Mamon, 2002, "A
time-varying Markov chain model of term structure", Statistics
and Probability Letters, 60(3), 309-312. Link: article’s
URL.
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Papers
for submission/Working papers
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X. Song, and R.S. Mamon, “Quanto valuation under a
regime-switching framework”, Working Paper. For submission.
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A. Tenyakov and R.S. Mamon, “Risk measurement of
segregated-fund contracts under a regime-switching set-up”, Working Paper.
For submission.
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W. Jia and R.S. Mamon, “Market risk measurement under
two heavy-tailed distributions”, Working Paper. For submission.
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A. Tenyakov and R.S. Mamon, “Filtering and parameter
estimation in discrete-time of Bessel processes with applications to
finance”, Working Paper. For submission.
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Back to Research Page.
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