The University of Western Ontario Department of Statistical and Actuarial Sciences

Department of Statistical & Actuarial Sciences

 

Rogemar S. Mamon

 
 
          

          

 

Last updated: 15 March 2014

Overall supervision total: 43

 

Current Student Supervision

Total: 8

PhD Students

[1]      Georgia Gao (Sept 2010--present), Department of Statistical & Actuarial Sciences, University of Western Ontario, Canada. Co-supervised with Dr Xiaoming Liu. Expected completion: August 2014

 

[2]      Anton Tenyakov (Sept 2010--present), Department of Statistical & Actuarial Sciences, University of Western Ontario, Canada. Expected completion: August 2014

 

MSc Students

[3]      Tianpei Jiang (Sept 2013-present), Statistical & Actuarial Sciences, University of Western Ontario, Canada. Project title: TBA. Expected completion: August 2014

 

[4]      Yilen Ye (Sept 2013-present), Statistical & Actuarial Sciences, University of Western Ontario, Canada. Project title: TBA. Expected completion: August 2014

 

[5]      Pauline Fortes (Sept 2013-present), Statistical & Actuarial Sciences, University of Western Ontario, Canada. Project title: TBA. Expected completion: August 2014

 

Visiting international graduate students

[6]      Alessio Giorgini (March-May 2014), Laurea Magistrale, Sapienza Università di Roma, Italia

 

[7]      Andrea Liguori (Winter 2014), Laurea Magistrale, Università della Calabria, Italia

 

[8]      Fabio Sammarco (Winter 2014), Laurea Magistrale, Università della Calabria, Italia

 

Previous Supervision of Undergrad and Graduate Students
(To former students in this list: Feel free to send me an update of your info.)

Total: 35

PhD Graduates

[9]      Jean Xi (2012), Department of Applied Mathematics, University of Western Ontario, Canada. Thesis title: Further applications of higher-order Markov chains and developments in regime-switching models. Last known employment: Bank of Montreal, Ottawa, Canada.

 

[10]  Luka Jalen, PhD Mathematical Sciences (2009), Brunel University, London, UK. Thesis title: Some contributions to filtering theory with applications in financial modelling. Last known employment: Credit Suisse, London, UK.

 

[11]  Leelavati Mitra, PhD Mathematical Sciences (2009), Brunel University, London, UK. Thesis title: Scenario generation for asset allocation models. Last known employment: Prudential Regulation Authority, Bank of England, London, UK.

 

[12]  Christina Erlwein, PhD Mathematics (2008), Brunel University, London, UK. Thesis title: Applications of hidden Markov models in financial modelling. School of Information Systems, Computing and Mathematics’ nominee to the Vice Chancellor Prize for Doctoral Research. Last known employment: Fraunhofer Institute for Industrial Mathematics ITWM, Kaiserslautern, Germany.

 

MPhil Graduates

[13]  Alessandro Staino, MPhil Mathematics (2006), Brunel University, London, UK. Dissertation title: Analysis and quantification of market and credit risks. Last known employment: Ricercatore (Asst Professor) at the Università della Calabria, Italy.

 

[14]  Emilio Russo, MPhil Mathematics (2005), Brunel University, London, UK. Dissertation title: Regime-switching models in the foreign exchange markets. Co-supervised with Dr Fabio Spagnolo. Last known employment: Ricercatore (Asst Professor) at the Università della Calabria, Italy.

 

MSc Graduates

[15]  Heng Xiong (2011-present), Statistical & Actuarial Sciences, University of Western Ontario, Canada. Project title: Formulation of HJM models with regime-switching parameters. Project completed August 2012

 

[16]  Wenlong Jia (Sept 2012-present), Statistical & Actuarial Sciences, University of Western Ontario, Canada. Project title: Market risk measure computation under two heavy-tailed distributions. Project completed August 2013

 

[17]  Larry Song (2013), Statistical & Actuarial Sciences, University of Western Ontario, Canada. Project title: Valuation of FX quanto options under a Markov-driven regime-switching model.

 

[18]  David Swerdfeger (Sept 2012), Statistical & Actuarial Sciences, University of Western Ontario, Canada. Project title: An examination of classical and stochastic bond duration measures.

 

[19]  Yan Junqui (2012), University of Western Ontario, Canada. Project title: Implementation of HJM models with regime-switching parameters.

 

[20]  Jonathan Hornell-Kennedy (2012), University of Western Ontario, Canada. Project title: A Cauchy-driven model for electricity spot price dynamics. Last known employment: Entrepreneur, Coreprint Patterns, Inc., Hamilton.

 

[21]  Nan Zhou, MSc Statistics (2010), University of Western Ontario. Project title: An examination of three interest rate models with regime-switching. Last known employment: Bank of Canada, Ottawa.

 

[22]  Shenzhi Tang, MSc Statistics (2010), University of Western Ontario. Project title: Modelling asset returns under two non-normal distributions. Last known employment: TD Securities, Toronto.

 

[23]  Andrei Prokopiw, MSc Statistics (2008), University of Western Ontario. Co-supervised with Dr M Rodrigo. Project title: Bond pricing and calibration under Markov-switching exponential affine models. Summer internship at the Bank of Canada. Last known employment: Bank of Montreal, Toronto.

 

[24]  Ruijun Cao, MSc Statistics (2008), University of Western Ontario. Co-supervised with Dr M Rodrigo. Project title: Recovery of pameters and valuation of bonds under the CKLS interest rate model.

 

[25]  Yun Fan Zhang, MSc Statistics (2007), University of Western Ontario. Project title: A regime-switching approach in modeling inflation and valuation of inflation-linked derivatives. Last known employment: Pension Fund Co. based in Hamilton, Ontario.

 

[26]  Florian Resch (with distinction), MSc Modelling & Management of Risk (2006), Brunel University, London, UK. Dissertation title: Kernel density estimation and the modelling of LIBOR rates. Co-supervised with Dr Keming Yu. Last known employment: JPMorgan, London, UK.

 

[27]  Al-Safeen Haroon, MSc Modelling & Management of Risk (2006), Brunel University, London, UK. Dissertation title: Operational Risks: What's it worth? Last known employment: Ward Dicheva, Ltd, London, England.

 

[28]  Panagiotis Braimakis (with distinction), MSc Modelling & Management of Risk (2005), Brunel University, London, UK. Dissertation title: Bayesian estimation of NIG models via Markov chain Monte Carlo methods with applications in risk management. Last known employment: HSBC, London, UK.

 

[29]  Dionysia Angelakoupolou (with distinction), MSc Modelling & Management of Risk (2005), Brunel University, London, UK. Dissertation title: Barrier options and extension of its framework in the valuation of defaultable bonds. Last known employment: Systemic Risk Management Solutions, Athens, Greece.

 

[30]  Melina Esoglou, MSc Modelling & Management of Risk (2005), Brunel University, London, UK. Dissertation title: Real options approach to investments. Last known employment: NBG International Bank, London, England.

 

[31]  Miltiadis Tzianoudakis, MSc Modelling & Management of Risk (2005), Brunel University, London, UK,. Dissertation title: Estimating and forecasting volatilities: Some recent advances. Last known employment: Portfolio Management-Retail Banking Department, Piraeus Bank, Athens, Greece.

 

[32]  Maria Castro, MMath Statistics-Finance (Fall 2003), University of Waterloo. Thesis title: LIBOR market models: Theory and implementation. Last known employment: Treasury Team, Coca-Cola FEMSA, Mexico City, Mexico.

 

[33]  Jack Zhou, Collaborative Master's in Finance (Fall 2002), University of Waterloo. Thesis title: Analytical closed-form pricing solutions for pseudo-volatility swaps. Last known employment: Deutsche Bank, New York, USA.

 

[34]  Mustafa Choukri, Collaborative Master's in Finance (Fall 2002), University of Waterloo. Thesis title: Credit default swaps. Last known employment: Canadian Imperial Bank of Commerce, Toronto.

 

[35]  Hongbo Chen, MMath Statistics-Finance (Fall 2002), University of Waterloo. Thesis title: Pricing vulnerable contingent claims via forward and auxiliary measures. Last known employment: Toronto Dominion Bank, Toronto.

 

[36]  Marcela Arroyo, MMath Statistics-Finance (Winter 2002), University of Waterloo. Thesis title: A re-examination of the CEV model: Theory and empirical evidence. Last known employment: Toronto Dominion Bank, Toronto

BSc (Hons) Graduates

[37]  Shaonan Fang, Research Assistant (Winter and Summer 2010), Statistical & Actuarial Sciences, University of Western Ontario. Project: Market risk measurement using the Meixner distribution. Last known employment: London Life, London, Ontario.

 

[38]  Jonathan Hornell-Kennedy, Summer Research Assistant (2009), Statistical & Actuarial Sciences, University of Western Ontario. Project: Investigating the adequacy of an electricity spot price model for market risk measurement.

 

[39]  Zheng Duan, Undergrad Summer Research Assistant (2008), University of Western Ontario. Project: A regime-switching model for inflation rates. Last known employment: Fannie Mae, Washington, DC, USA.

 

[40]  Zheng Duan, Undergrad Summer Research Assistant (2007), University of Western Ontario. Project: Some statistical inference issues in a regime-switching model. Last known employment: Fannie Mae, Washington, DC, USA.

 

[41]  Manish Vadher (first class honours), BSc Financial Computing (2006), Brunel University, West London, UK. Dissertation Title: Implementing Time-Varying Volatility Models in Option Pricing and Risk Management. Last known employment: Goldman Sachs, London, England.

 

[42]  Ian Riley (first class honours), BSc Financial Maths (2005), Brunel University, West London, UK. Dissertation title: Modelling interest rates in a stochastic environment and pricing interest rate derivatives. Last known employment: British Telecom.

 

[43]  Christopher Jones (first class honours), BSc Financial Mathematics (2005). Dissertation title: Three approaches to option pricing in a stochastic environment. Last known employment: British Telecom.

 

 

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