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An effective bias-corrected bagging method for the valuation of large variable annuity portfolios

Gweon, Hyukjun Jay; Li, Shu; Mamon, Rogemar - In: ASTIN bulletin : the journal of the International … 50 (2020) 3, pp. 853-871

Persistent link: https://www.econbiz.de/10012307387

An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks

Zhao, Yixing; Mamon, Rogemar - In: Insurance / Mathematics & economics 78 (2018), pp. 1-12

Persistent link: https://www.econbiz.de/10011825060

Putting a price tag on temperature

Xiong, Heng; Mamon, Rogemar - In: Computational Management Science : CMS 15 (2018) 2, pp. 259-296

Persistent link: https://www.econbiz.de/10011876585

Editorial: management mathematics : a retrospective

Mamon, Rogemar; Scarf, Phil; Syntetos, Aris - In: IMA journal of management mathematics 31 (2020) 1, pp. 1-3

Persistent link: https://www.econbiz.de/10012149760

Capturing the Regime-Switching and Memory Properties of Interest Rates

Xi, Xiaojing; Mamon, Rogemar - In: Computational Economics 44 (2014) 3, pp. 307-337

We propose a mean-reverting interest rate model whose mean-reverting level, speed of mean-reversion and volatility are all modulated by a weak Markov chain (WMC). This model features a simple way to capture the regime-switching evolution of the parameters as well as the memory property of the...

Persistent link: https://www.econbiz.de/10010989292

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

Erlwein, Christina; Mamon, Rogemar - In: Statistical Methods and Applications 18 (2009) 1, pp. 87-107

Persistent link: https://www.econbiz.de/10005147130

A novel perspective on forecasting non-ferrous metals' volatility : integrating deep learning techniques with econometric models

Shu, Qi; Xiong, Heng; Jiang, Wenjun; Mamon, Rogemar - In: Finance research letters 58 (2023) 3, pp. 1-8

Persistent link: https://www.econbiz.de/10014631583

A unified approach to explicit bond price solutions under a time-dependent affine term structure modelling framework

Rodrigo, Marianito; Mamon, Rogemar - In: Quantitative Finance 11 (2011) 4, pp. 487-493

Persistent link: https://www.econbiz.de/10009215114

HMM filtering and parameter estimation of an electricity spot price model

Erlwein, Christina; Benth, Fred Espen; Mamon, Rogemar - In: Energy economics 32 (2010) 5, pp. 1034-1044

Persistent link: https://www.econbiz.de/10008640003

Parameter estimation of an asset price model driven by a weak hidden Markov chain

Xi, Xiaojing; Mamon, Rogemar - In: Economic modelling 28 (2011) 1, pp. 36-47

Persistent link: https://www.econbiz.de/10008768734