Rogemar S. Mamon

Publication Activity (10 Years)

Years Active: 2004-2024
Publications (10 Years): 15

Top Topics

Stochastic Model

Top Venues

Knowl. Based Syst.

Eur. J. Control

J. Comput. Sci.

Publications

Xing Gu, Rogemar S. Mamon, Thibaut Duprey
Interfacing learning methods for anomaly detection in multi-country financial stress indicators. Knowl. Based Syst. 294 (2024)
Yuying Li, Rogemar S. Mamon
A comparison of three algorithms in the filtering of a Markov-modulated non-homogeneous Poisson process. Int. J. Syst. Sci. 55 (4) (2024)
Boquan Cheng, Rogemar S. Mamon
Examining the identifiability and estimability of the phase-type ageing model. Comput. Stat. 39 (2) (2024)
Yuying Li, Rogemar S. Mamon
Modelling health-data breaches with application to cyber insurance. Comput. Secur. 124 (2023)
Yuying Li, Rogemar S. Mamon
The Price Tag of Cyber Risk: A Signal-Processing Approach. IEEE Access 11 (2023)
Weili Fan, Rogemar S. Mamon
A Hybridized Stochastic SIR-Vasiček Model in Evaluating a Pandemic Emergency Financing Facility. IEEE Trans. Comput. Soc. Syst. 10 (3) (2023)
Heng Xiong, Rogemar S. Mamon
An enabling framework for automated extraction of signals from market information in real time. Knowl. Based Syst. 246 (2022)
Xing Gu, Rogemar S. Mamon, Matt Davison, Hao Yu
An automated financial indices-processing scheme for classifying market liquidity regimes. Int. J. Control 94 (3) (2021)
Xing Gu, Rogemar S. Mamon, Thibaut Duprey, Heng Xiong
Online estimation for a predictive analytics platform with a financial-stability-analysis application. Eur. J. Control 57 (2021)
Heng Xiong, Rogemar S. Mamon
Putting a price tag on temperature. Comput. Manag. Sci. 15 (2) (2018)
Anton Tenyakov, Rogemar S. Mamon
A computing platform for pairs-trading online implementation via a blended Kalman-HMM filtering approach. J. Big Data 4 (2017)
Huan Gao, Rogemar S. Mamon, Xiaoming Liu
Risk measurement of a guaranteed annuity option under a stochastic modelling framework. Math. Comput. Simul. 132 (2017)
Heng Xiong, Rogemar S. Mamon
A self-updating model driven by a higher-order hidden Markov chain for temperature dynamics. J. Comput. Sci. 17 (2016)
Anton Tenyakov, Rogemar S. Mamon, Matt Davison
Filtering of a Discrete-Time HMM-Driven Multivariate Ornstein-Uhlenbeck Model With Application to Forecasting Market Liquidity Regimes. IEEE J. Sel. Top. Signal Process. 10 (6) (2016)
Anton Tenyakov, Rogemar S. Mamon, Matt Davison
Modelling high-frequency FX rate dynamics: A zero-delay multi-dimensional HMM-based approach. Knowl. Based Syst. 101 (2016)
Xiaojing Xi, Rogemar S. Mamon, Matt Davison
A Higher-Order Hidden Markov Chain-Modulated Model for Asset Allocation. J. Math. Model. Algorithms Oper. Res. 13 (1) (2014)
Xiaoming Liu, Rogemar S. Mamon, Huan Gao
A comonotonicity-based valuation method for guaranteed annuity options. J. Comput. Appl. Math. 250 (2013)
Sovan Mitra, Paresh Date, Rogemar S. Mamon, Chieh Wang
Pricing and risk management of interest rate swaps. Eur. J. Oper. Res. 228 (1) (2013)
Nanxin Zhou, Rogemar S. Mamon
An accessible implementation of interest rate models with Markov-switching. Expert Syst. Appl. 39 (5) (2012)
Paresh Date, Luka Jalen, Rogemar S. Mamon
A partially linearized sigma point filter for latent state estimation in nonlinear time series models. J. Comput. Appl. Math. 233 (10) (2010)
Christina Erlwein, Rogemar S. Mamon
An online estimation scheme for a Hull-White model with HMM-driven parameters. Stat. Methods Appl. 18 (1) (2009)
Luka Jalen, Rogemar S. Mamon
Valuation of contingent claims with mortality and interest rate risks. Math. Comput. Model. 49 (9-10) (2009)
Paresh Date, Luka Jalen, Rogemar S. Mamon
A new algorithm for latent state estimation in non-linear time series models. Appl. Math. Comput. 203 (1) (2008)
Paresh Date, Rogemar S. Mamon, Luka Jalen
A new moment matching algorithm for sampling from partially specified symmetric distributions. Oper. Res. Lett. 36 (6) (2008)
Rogemar S. Mamon, Christina Erlwein, R. Bhushan Gopaluni
Adaptive signal processing of asset price dynamics with predictability analysis. Inf. Sci. 178 (1) (2008)
Marianito R. Rodrigo, Rogemar S. Mamon
Recovery of Time-Dependent Parameters of a Black-Scholes-Type Equation: An Inverse Stieltjes Moment Approach. J. Appl. Math. 2007 (2007)
Marianito R. Rodrigo, Rogemar S. Mamon
An alternative approach to solving the Black-Scholes equation with time-varying parameters. Appl. Math. Lett. 19 (4) (2006)
Rogemar S. Mamon, Marianito R. Rodrigo
Explicit solutions to European options in a regime-switching economy. Oper. Res. Lett. 33 (6) (2005)
Rogemar S. Mamon
Three ways to solve for bond prices in the Vasicek model. Adv. Decis. Sci. 8 (1) (2004)