The University of Western Ontario 
Department of Statistical and Actuarial Sciences

Department of Statistical & Actuarial Sciences

 

Rogemar S. Mamon

                         


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]

 

[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.

 

 

* 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. 

 

[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.

 

[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.

 

[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.

 

 

[63]      H. Xiong and R.S. Mamon, 2018, “Putting a price tag on temperature”, Computational Management Science, 15(2), 259-296. Link: article’s URL.

 

 

[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.

 

[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.

 

[60]     M. Rodrigo and R.S. Mamon, “A Mellin-Laplace transform approach in pricing American options with general payoffs”, under review.

 

[59]   H. Xiong and R.S. Mamon, “Modelling and forecasting the dynamics of forward price curves in the Fish Pool market”, under review.

 

[58]      F. Chen and R.S. Mamon, “Inference for a multivariate mean-reverting stochastic process with multiple change points”, under review.

 

[57]      S. Park and R.S. Mamon, “Determination of capital requirements for a longevity product in the Korean insurance market”, Preprint.

 

[56]    C. D’Onofrio, and R.S. Mamon, “A real-options approach to patent and IPR valuation”, Preprint

 

[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.

 

[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.

 

[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.

 

[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.

 

[51]      R. Mamon, 2016, “Editor’s Introduction – Virtual Issue: Quantitative Methods in Finance”, IMA Journal of Management Mathematics. Link: editorial’s URL.

 

[50]      Tenyakov and R.S. Mamon, “An estimation algorithm for a Markov-switching model with a generalised number of states”, Preprint.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.    

 

[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

 

[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.    

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

[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.

 

 

Papers for submission/Working papers

X. Song, and R.S. Mamon, “Quanto valuation under a regime-switching framework”, Working Paper. For submission.

 

A. Tenyakov and R.S. Mamon, “Risk measurement of segregated-fund contracts under a regime-switching set-up”, Working Paper. For submission.

 

W. Jia and R.S. Mamon, “Market risk measurement under two heavy-tailed distributions”, Working Paper. For submission.

 

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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