Hidden Markov Models in Finance RS Mamon, RJ Elliott Springer, 2007 | 246 | 2007 |
Three ways to solve for bond prices in the Vasicek model RS Mamon Journal of Applied Mathematics & Decision Sciences 8 (1), 1-14, 2004 | 128 | 2004 |
HMM filtering and parameter estimation of an electricity spot price model C Erlwein, FE Benth, R Mamon Energy Economics 32 (5), 1034-1043, 2010 | 95 | 2010 |
Explicit solutions to European options in a regime-switching economy RS Mamon, MR Rodrigo Operations Research Letters 33 (6), 581-586, 2005 | 87 | 2005 |
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 | 69 | 2006 |
An interest rate model with a Markovian mean reverting level RJ Elliott, RS Mamon Quantitative Finance 2 (6), 454-458, 2002 | 62* | 2002 |
An accessible implementation of interest rate models with Markov-switching N Zhou, R Mamon Expert Systems with Applications 39 (5), 4679-4689, 2012 | 54 | 2012 |
Valuation of contingent claims with mortality and interest rate risks L Jalen, R Mamon Mathematical and Computer Modelling 49 (9-10), 1893-1904, 2009 | 52 | 2009 |
Filtering and forecasting commodity futures prices under an HMM framework P Date, R Mamon, A Tenyakov Energy Economics 40, 1001-1013, 2013 | 47 | 2013 |
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 | 45 | 2008 |
An online estimation scheme for a Hull–White model with HMM-driven parameters C Erlwein, R Mamon Statistical Methods and Applications 18, 87-107, 2009 | 42 | 2009 |
Renewable energy and economic growth: A Markov-switching approach Y Chen, R Mamon, F Spagnolo, N Spagnolo Energy 244, 123089, 2022 | 38 | 2022 |
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 | 37 | 2014 |
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 | 36 | 2011 |
Adaptive signal processing of asset price dynamics with predictability analysis RS Mamon, C Erlwein, RB Gopaluni Information Sciences 178 (1), 203-219, 2008 | 36 | 2008 |
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 | 30 | 2003 |
An application of Mellin transform techniques to a Black–Scholes equation problem MR Rodrigo, RS Mamon Analysis and Applications 5 (01), 51-66, 2007 | 28 | 2007 |
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 | 27 | 2013 |
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 | 27 | 2011 |
A higher-order Markov chain-modulated model for electricity spot-price dynamics H Xiong, R Mamon Applied Energy 233, 495-515, 2019 | 25 | 2019 |