Rogemar Mamon
Rogemar Mamon
在 stats.uwo.ca 的電子郵件地址已通過驗證 - 首頁
標題
引用次數
引用次數
年份
Hidden Markov Models in Finance
RS Mamon, RJ Elliott
Springer, 2007
2022007
Three ways to solve for bond prices in the Vasicek model
RS Mamon
Advances in Decision Sciences 8 (1), 1-14, 2004
1032004
HMM filtering and parameter estimation of an electricity spot price model
C Erlwein, FE Benth, R Mamon
Energy Economics 32 (5), 1034-1043, 2010
802010
Explicit solutions to European options in a regime-switching economy
RS Mamon, MR Rodrigo
Operations Research Letters 33 (6), 581-586, 2005
732005
An alternative approach to solving the Black–Scholes equation with time-varying parameters
MR Rodrigo, RS Mamon
Applied Mathematics Letters 19 (4), 398-402, 2006
532006
An interest rate model with a Markovian mean reverting level
RJ Elliott, RS Mamon
Quantitative Finance 2 (6), 454-458, 2002
49*2002
Valuation of contingent claims with mortality and interest rate risks
L Jalen, R Mamon
Mathematical and Computer Modelling 49 (9-10), 1893-1904, 2009
452009
The pricing of credit default swaps under a Markov-modulated Merton’s structural model
TK Siu, C Erlwein, RS Mamon
North American Actuarial Journal 12 (1), 18-46, 2008
452008
An accessible implementation of interest rate models with Markov-switching
N Zhou, R Mamon
Expert Systems with Applications 39 (5), 4679-4689, 2012
442012
Filtering and forecasting commodity futures prices under an HMM framework
P Date, R Mamon, A Tenyakov
Energy Economics 40, 1001-1013, 2013
332013
An online estimation scheme for a Hull–White model with HMM-driven parameters
C Erlwein, R Mamon
Statistical Methods and Applications 18 (1), 87-107, 2009
322009
An examination of HMM‐based investment strategies for asset allocation
C Erlwein, R Mamon, M Davison
Applied Stochastic Models in Business and Industry 27 (3), 204-221, 2011
292011
Adaptive signal processing of asset price dynamics with predictability analysis
RS Mamon, C Erlwein, RB Gopaluni
Information Sciences 178 (1), 203-219, 2008
292008
A complete yield curve description of a Markov interest rate model
RJ Elliott, RS Mamon
International Journal of Theoretical and Applied Finance 6 (04), 317-326, 2003
282003
A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach
X Liu, R Mamon, H Gao
Stochastics An International Journal of Probability and Stochastic Processes …, 2014
262014
An application of Mellin transform techniques to a Black–Scholes equation problem
MR Rodrigo, RS Mamon
Analysis and Applications 5 (01), 51-66, 2007
232007
A comonotonicity-based valuation method for guaranteed annuity options
X Liu, R Mamon, H Gao
Journal of Computational and Applied Mathematics 250, 58-69, 2013
222013
Parameter estimation of an asset price model driven by a weak hidden Markov chain
X Xi, R Mamon
Economic Modelling 28 (1-2), 36-46, 2011
222011
A new algorithm for latent state estimation in non-linear time series models
P Date, L Jalen, R Mamon
Applied Mathematics and Computation 203 (1), 224-232, 2008
212008
A new moment matching algorithm for sampling from partially specified symmetric distributions
P Date, R Mamon, L Jalen
Operations Research Letters 36 (6), 669-672, 2008
192008
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