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Rogemar S. Mamon

15 works· latest 2015· 4 institutionscluster: provisionalORCID 0000-0003-0885-7685

h-index15

i1015

Citations759

Works here15

Most cited in this library

Hidden Markov Models in Finance2007 · 138 citations
Three Ways to Solve for Bond Prices in the Vasicek Model2004 · 78 citations
HMM filtering and parameter estimation of an electricity spot price model2010 · 61 citations
Explicit solutions to European options in a regime-switching economy2005 · 59 citations
An alternative approach to solving the Black–Scholes equation with time-varying parameters2005 · 51 citations

Works

15 shown

Mortality modelling with regime-switching for the valuation of a guaranteed annuity option

Insurance Mathematics and Economics·2015·4 authors

19citations

A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach

Stochastics·2014·3 authors

31citations

Hidden Markov Models in Finance

International series in management science/operations research/International series in operations research & management science·2014·2 authors·book

40citations

Filtering and forecasting commodity futures prices under an HMM framework

Energy Economics·2013·3 authors

42citations

An accessible implementation of interest rate models with Markov-switching

Expert Systems with Applications·2011·2 authors

49citations

HMM filtering and parameter estimation of an electricity spot price model

Energy Economics·2010·3 authors·Open access

Valuation of contingent claims with mortality and interest rate risks

Mathematical and Computer Modelling·2008·2 authors·Open access

45citations

The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model

North American Actuarial Journal·2008·3 authors

35citations

An online estimation scheme for a Hull–White model with HMM-driven parameters

Statistical Methods & Applications·2007·2 authors

35citations

Hidden Markov Models in Finance

Springer eBooks·2007·2 authors·book

138citations

An alternative approach to solving the Black–Scholes equation with time-varying parameters

Applied Mathematics Letters·2005·2 authors·Open access

51citations

Explicit solutions to European options in a regime-switching economy

Operations Research Letters·2005·2 authors

59citations

Three Ways to Solve for Bond Prices in the Vasicek Model

Journal of Applied Mathematics and Decision Sciences·2004·1 author·Open access

78citations

An interest rate model with a Markovian mean reverting level

Quantitative Finance·2002·2 authors

43citations