Mamon, Rogemar B3 Version 2

Rogemar S. Mamon, PhD 

Professor

EXPERTISE

Quantitative Finance, Actuarial Modelling, Stochastic Processes 

RESEARCH INTERESTS

Financial Mathematics, Applied Probability, Applications of Statistical Modelling 

Rogemar S. Mamon, PhD 

Professor

ACADEMIC BACKGROUND 

  • PhD Mathematical Finance, University of Alberta, Canada
  • NSERC- & SSHRC-funded Doctoral Exchange, University of Adelaide, Australia 
  • MSc Applied Maths, Major in Actuarial Science, University of the Philippines Diliman
  • Bachelor of Science in Mathematics, University of the Philippines Diliman

PROFESSIONAL AND ACADEMIC EXPERIENCE

  • Independent Consultant – Quantitative Finance & Actuarial Risk Modelling 
  • Visiting Professor, Dipartimento di Statistica, Economia e Finanza, Università della Calabria,
    Arcavacata di Rende, Cosenza, Italy
  • Acting Associate Dean (Administration – Human Resources, Finance & Operations),
    Faculty of Science, The University of Western Ontario (UWO) / Western University,
    Ontario, Canada 
  • Interim Department Chair, Department of Statistical and Actuarial Sciences, UWO  
  • Professor of Statistical and Actuarial Sciences with cross-appointment in Applied Mathematics, UWO 
  • Faculty Member, Master’s in Financial Economics (joint program between Economics, Science, Law and Ivey Business School), UWO 
  • Faculty Member, Master of Data Analytics, Faculty of Science, UWO 
  • Faculty Member, Complex Adaptive Systems Laboratory, UWO 
  • Faculty Member, Centre for Multi-hazard Risk and Resilience, UWO 
  • Chair of Undergraduate Studies, Department of Statistical and Actuarial Sciences, UWO 
  • Visiting Professor, Institute of Mathematical Research, The University of Hong Kong 
  • Affiliate, Centre for Financial Industries, Fields Institute for Research in Mathematical Sciences, Toronto, Ontario, Canada 
  • Balik Scientist, Philippine Council for Industry, Energy, and Emerging Technology Research and Development (PCIEERD), Department of Science and Technology (DOST), Government of the Philippines 
  • Adjunct Professor, Division of Physical Sciences and Mathematics, University of the Philippines Visayas 
  • Visiting Researcher, School of Mathematics and Applied Statistics, University of Wollongong,
    New South Wales, Australia 
  • Adjunct Associate Professor, Centre for the Analysis of Risk and Optimization Modelling Applications, School of Information Systems, Computing and Mathematics, Brunel University of London, UK 
  • Research Visitor, Maxwell Institute for Mathematical Sciences, Edinburgh, Scotland 
  • Research Lecturer B, Department of Mathematical Sciences, Brunel University of London, UK 
  • Visiting Researcher, The Isaac Newton Institute for Mathematical Sciences, University of Cambridge, UK 
  • Assistant Professor, Department of Statistics, University of British Columbia, Vancouver, BC, Canada 
  • Visiting Researcher, Institute for Mathematics and its Applications, University of Minnesota, Minneapolis, USA 
  • Visiting Researcher, Centre for Mathematical Physics and Stochastics, University of Aarhus, Denmark 
  • Assistant Professor, Department of Statistics and Actuarial Science, University of Waterloo, Ontario, Canada 
  • Academic Visitor, Grupos de Probabilidad y Estadística,
    Centro de Investigación en Matemáticas, Guanajuato, México 
  • Visiting Researcher, Departamento Académico de Matemáticas, 
    Instituto Tecnológico Autónomo de México, México  
  • Sessional Lecturer, Department of Mathematical Sciences, University of Alberta, Canada 
  • Product Development Officer, Treasury, Citytrust Banking Corp (affiliate of Citibank, N.A.) / Bank of the Philippine Islands 
  • Actuarial Consultant, CIGNA Group and PCIBank (now Banco de Oro)  
  • Instructor II, Department of Mathematics, University of the Philippines Diliman 

AFFILIATIONS, AWARDS, AND HONORS

  • Appointment (for 4 years) by the Natural Sciences and Engineering Research Council (NSERC), Government of Canada, as Discovery Grant Evaluator, Panel 1508 (Mathematics and Statistics Grant Selection Committee)  
  • Appointment (for 4 years) by the Canadian Statistical Sciences Institute (CANSSI) as Scientific Advisory Board member, representing the Fields Institute for Research in Mathematical Sciences 
  • Western Faculty Scholar Award – given by the Office of the UWO President to “recipients [who] have an international presence in their discipline and are considered all-round scholars” 
  • International Publication Awards, University of the Philippines System 
  • IMA Service Award for “dedicated and exemplary service”, Institute of Mathematics and its Applications, UK 
  • Messaggeri della Conoscenza Award, the Italian’s Ministero dell’Istruzione, dell’Università e della Ricerca, Italy
  • Commendation, Springer’s International Series in Operations Research and Management Science 
  • Winner, North American Actuarial Journal Annual Prize for the Best Paper, awarded by the
    Society of Actuaries (USA) 
  • Elected Fellow, Royal Statistical Society, UK 
  • Elected Member, London Mathematical Society, UK 
  • Elected Junior Member, Isaac Newton Institute for Mathematical Sciences, University of Cambridge, UK 
  • Life Member, Bachelier Finance Society 
  • Elected Member, Institute of Electrical and Electronics Engineers (IEEE), USA 
  • Elected Member, National Research Council of the Philippines 
  • Affiliate, Actuarial Society of the Philippines 
  • Associate Editor, Annals of Actuarial Science, Cambridge University Press 
  • Co-Editor, IMA Journal of Management Mathematics, Oxford University Press 
  • Associate Editor, IMA Journal of Management Mathematics, Oxford University Press 
  • Guest Co-Editor, IMA Journal of Management Mathematics, Special issue in Financial Mathematics, Vol 18, Issue 4, 2007 

PROFESSIONAL CERTIFICATIONS

  • Chartered Scientist (CSci), The Science Council UK 
  • Chartered Mathematician (CMath), Institute of Mathematics and its Applications UK  
  • Fellow, Higher Education Academy (FHEA) UK 
  • Elected Fellow of the Institute of Mathematics and Its Applications, UK 
  • Elected Life Fellow of the Royal Society of Arts (FRSA), London, UK 

PEER-REVIEWED JOURNALS

  • Chen, Y., Mamon, R., Spagnolo, F., & Spagnolo, N. (2025). Stock market returns and climate risk in the U.S. Journal of Multinational Financial Management, 77, 100887.  https://doi.org/10.1016/j.mulfin.2024.100887 
  • Costabile, M., Massabó, I., Russo, E., Staino, A., Mamon, R., & Zhao, Y. (2025). A lattice-based approach for life insurance pricing in a stochastic correlation framework. Mathematics and Computers in Simulation, 235, 145-159. https://doi.org/10.1016/j.matcom.2025.03.027 
  • Cheng, B., & Mamon, R. (2024). Examining the identifiability and estimability of the phase-type ageing model. Computational Statistics, 39, 963-1004. https://doi.org/10.1007/s00180-023-01329-5 
  • Chen, W., Mamon, R., Xiong, H., & Zeng, P. (2024). How do foreign investors affect China’s stock return volatility? Evidence from the Shanghai–Hong Kong Stock Connect Program. Asia-Pacific Journal of Accounting & Economics, 31(1), 1–24.  https://doi.org/10.1080/16081625.2022.2156360 
  • Chen, W., Mamon, R., Xiong, H., & Zeng, P. (2024). Does uncertainty affect the limits of arbitrage? Evidence from the U.S. stock markets. North American Journal of Economics and Finance, 74, 102221. https://doi.org/10.1016/j.najef.2024.102221
  • Gu, X., Mamon, R., & Duprey, T. (2024). Interfacing learning methods for anomaly detection in multi-country financial stress indicators. Knowledge-Based Systems, 294, 111712. https://doi.org/10.1016/j.knosys.2024.111712
  • Shu, Q., Xiong, H., Jiang, W., & Mamon, R. (2023). A novel perspective on forecasting non-ferrous metals’ volatility: Integrating deep learning techniques with econometric models. Finance Research Letters, 58, 104482. https://doi.org/10.1016/j.frl.2023.104482
  • Li, Y., & Mamon, R. (2023). The price tag of cyber risk: A signal-processing approach. IEEE Access, 11, 44294–44318. https://doi.org/10.1109/ACCESS.2023.3272572
  • Chen, Y., Mamon, R., Spagnolo, F., & Spagnolo, N. (2023). Sustainable developments, renewable energy, and economic growth in Canada. Sustainable Development, 31(4), 2950–2966. https://doi.org/10.1002/sd.2561
  • Li, Y., & Mamon, R. (2023). Modelling health-data breaches with application to cyber insurance. Computers & Security, 124, 102963. https://doi.org/10.1016/j.cose.2022.102963
  • Huang, Y., Mamon, R., & Xiong, H. (2022). Valuing guaranteed minimum accumulation benefits by a change of numéraire approach. Insurance: Mathematics and Economics, 103, 1-26. https://doi.org/10.1016/j.insmatheco.2021.11.002
  • Xiong, H., & Mamon, R. (2022). An enabling framework for automated extraction of signals from market information in real time. Knowledge-Based Systems, 246, 108612. https://doi.org/10.1016/j.knosys.2022.108612
  • Chen, Y., Mamon, R., Spagnolo, F., & Spagnolo, N. (2022). Renewable energy and economic growth: A Markov-switching approach. Energy, 244, 123089. https://doi.org/10.1016/j.energy.2021.123089
  • Zhao, Y., Mamon, R., & Xiong, H. (2021). Claim reserving for insurance contracts in line with the International Financial Reporting Standards 17: A new paid-incurred chain approach to risk adjustments. Financial Innovation, 7, 71. https://doi.org/10.1186/s40854-021-00287-5
  • Gu, X., Mamon, R., Duprey, T., & Xiong, H. (2021). Online estimation for a predictive analytics platform with a financial-stability-analysis application. European Journal of Control, 57, 205–221. https://doi.org/10.1016/j.ejcon.2020.05.008
  • Mamon, R., Xiong, H., & Zhao, Y. (2021). The valuation of a guaranteed minimum maturity benefit under a regime-switching framework. North American Actuarial Journal, 25(3), 334-359.  https://doi.org/10.1080/10920277.2019.1703753
  • Gweon, H., Li, S., & Mamon, R. (2020). An effective bias-corrected bagging method for the valuation of large variable annuity portfolios. ASTIN Bulletin, 50(3), 853–871. https://doi.org/10.1017/asb.2020.28
  • Grimm, S., Erlwein-Sayer, C., & Mamon, R. (2020). Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation. Nonlinear Analysis: Hybrid Systems, 35, 100814. https://doi.org/10.1016/j.nahs.2019.08.001
  • Xiong, H., & Mamon, R. (2019). A higher-order Markov chain-modulated model for electricity spot-price dynamics. Applied Energy, 233–234, 495–515. https://doi.org/10.1016/j.apenergy.2018.09.039
  • Zhao, Y., & Mamon, R. (2018). An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks. Insurance: Mathematics and Economics, 78, 1-12.  https://doi.org/10.1016/j.insmatheco.2017.09.001 
  • Chen, F., Mamon, R., & Nkurunziza, S. (2018). Inference for a change-point problem under a generalised Ornstein–Uhlenbeck setting. Annals of the Institute of Statistical Mathematics, 70, 807-853.  https://doi.org/10.1007/s10463-017-0610-4
  • Tenyakov, A., & Mamon, R. (2017). A computing platform for pairs-trading online implementation via a blended Kalman-HMM filtering approach. Journal of Big Data, 4, 46. https://doi.org/10.1186/s40537-017-0106-3
  • Xiong, H., & Mamon, R. (2016). A self-updating model driven by a higher-order hidden Markov chain for temperature dynamics. Journal of Computational Science, 17, 47-61. https://doi.org/10.1016/j.jocs.2016.09.004
  • Gao, H., Mamon, R., Liu, X., & Tenyakov, A. (2015). Mortality modelling with regime-switching for the valuation of a guaranteed annuity option. Insurance: Mathematics and Economics, 63, 108-120. https://doi.org/10.1016/j.insmatheco.2015.03.018
  • Rodrigo, M. R., & Mamon, R. S. (2014). An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions. Quantitative Finance, 14(11), 1961-1970. https://doi.org/10.1080/14697688.2013.765062
  • Mitra, S., Date, P., Mamon, R. S., & Wang, I.-C. (2013). Pricing and risk management of interest rate swaps. European Journal of Operational Research, 228(1), 102-111. https://doi.org/10.1016/j.ejor.2012.11.032
  • Date, P., Mamon, R. S., & Tenyakov, A. (2013). Filtering and forecasting commodity futures prices under an HMM framework. Energy Economics, 40, 1001–1013. https://doi.org/10.1016/j.eneco.2013.05.016 

BOOKS

ACADEMIC BACKGROUND 

  • PhD Mathematical Finance, University of Alberta, Canada
  • NSERC- & SSHRC-funded Doctoral Exchange, University of Adelaide, Australia 
  • MSc Applied Maths, Major in Actuarial Science, University of the Philippines Diliman
  • Bachelor of Science in Mathematics, University of the Philippines Diliman

PROFESSIONAL AND ACADEMIC EXPERIENCE

  • Independent Consultant – Quantitative Finance & Actuarial Risk Modelling 
  • Visiting Professor, Dipartimento di Statistica, Economia e Finanza, Università della Calabria, Arcavacata di Rende, Cosenza, Italy
  • Acting Associate Dean (Administration – Human Resources, Finance & Operations), Faculty of Science, The University of Western Ontario (UWO) / Western University, Ontario, Canada 
  • Interim Department Chair, Department of Statistical and Actuarial Sciences, UWO  
  • Professor of Statistical and Actuarial Sciences with cross-appointment in Applied Mathematics, UWO 
  • Faculty Member, Master’s in Financial Economics (joint program between Economics, Science, Law and Ivey Business School), UWO 
  • Faculty Member, Master of Data Analytics, Faculty of Science, UWO 
  • Faculty Member, Complex Adaptive Systems Laboratory, UWO 
  • Faculty Member, Centre for Multi-hazard Risk and Resilience, UWO 
  • Chair of Undergraduate Studies, Department of Statistical and Actuarial Sciences, UWO 
  • Visiting Professor, Institute of Mathematical Research, The University of Hong Kong 
  • Affiliate, Centre for Financial Industries, Fields Institute for Research in Mathematical Sciences, Toronto, Ontario, Canada 
  • Balik Scientist, Philippine Council for Industry, Energy, and Emerging Technology Research and Development (PCIEERD), Department of Science and Technology (DOST), Government of the Philippines 
  • Adjunct Professor, Division of Physical Sciences and Mathematics, University of the Philippines Visayas 
  • Visiting Researcher, School of Mathematics and Applied Statistics, University of Wollongong, New South Wales, Australia 
  • Adjunct Associate Professor, Centre for the Analysis of Risk and Optimization Modelling Applications, School of Information Systems, Computing and Mathematics, Brunel University of London, UK 
  • Research Visitor, Maxwell Institute for Mathematical Sciences, Edinburgh, Scotland 
  • Research Lecturer B, Department of Mathematical Sciences, Brunel University of London, UK 
  • Visiting Researcher, The Isaac Newton Institute for Mathematical Sciences, University of Cambridge, UK 
  • Assistant Professor, Department of Statistics, University of British Columbia, Vancouver, BC, Canada 
  • Visiting Researcher, Institute for Mathematics and its Applications, University of Minnesota, Minneapolis, USA 
  • Visiting Researcher, Centre for Mathematical Physics and Stochastics, University of Aarhus, Denmark 
  • Assistant Professor, Department of Statistics and Actuarial Science, University of Waterloo, Ontario, Canada 
  • Academic Visitor, Grupos de Probabilidad y Estadística, Centro de Investigación en Matemáticas, Guanajuato, México 
  • Visiting Researcher, Departamento Académico de Matemáticas, Instituto Tecnológico Autónomo de México,  México  
  • Sessional Lecturer, Department of Mathematical Sciences, University of Alberta, Canada 
  • Product Development Officer, Treasury, Citytrust Banking Corp (affiliate of Citibank, N.A.) / Bank of the Philippine Islands 
  • Actuarial Consultant, CIGNA Group and PCIBank (now Banco de Oro)  
  • Instructor II, Department of Mathematics, University of the Philippines Diliman 

AFFILIATIONS, AWARDS, AND HONORS

  • Appointment (for 4 years) by the Natural Sciences and Engineering Research Council (NSERC), Government of Canada, as Discovery Grant Evaluator, Panel 1508 (Mathematics and Statistics Grant Selection Committee)  
  • Appointment (for 4 years) by the Canadian Statistical Sciences Institute (CANSSI) as Scientific Advisory Board member, representing the Fields Institute for Research in Mathematical Sciences 
  • Western Faculty Scholar Award – given by the Office of the UWO President to “recipients [who] have an international presence in their discipline and are considered all-round scholars” 
  • International Publication Awards, University of the Philippines System 
  • IMA Service Award for “dedicated and exemplary service”, Institute of Mathematics and its Applications, UK 
  • Messaggeri della Conoscenza Award, the Italian’s Ministero dell’Istruzione, dell’Università e della Ricerca, Italy
  • Commendation, Springer’s International Series in Operations Research and Management Science 
  • Winner, North American Actuarial Journal Annual Prize for the Best Paper, awarded by the Society of Actuaries (USA) 
  • Elected Fellow, Royal Statistical Society, UK 
  • Elected Member, London Mathematical Society, UK 
  • Elected Junior Member, Isaac Newton Institute for Mathematical Sciences, University of Cambridge, UK 
  • Life Member, Bachelier Finance Society 
  • Elected Member, Institute of Electrical and Electronics Engineers (IEEE), USA 
  • Elected Member, National Research Council of the Philippines 
  • Affiliate, Actuarial Society of the Philippines 
  • Associate Editor, Annals of Actuarial Science, Cambridge University Press 
  • Co-Editor, IMA Journal of Management Mathematics, Oxford University Press 
  • Associate Editor, IMA Journal of Management Mathematics, Oxford University Press 
  • Guest Co-Editor, IMA Journal of Management Mathematics, Special issue in Financial Mathematics, Vol 18, Issue 4, 2007 

PROFESSIONAL CERTIFICATIONS

  • Chartered Scientist (CSci), The Science Council UK 
  • Chartered Mathematician (CMath), Institute of Mathematics and its Applications UK  
  • Fellow, Higher Education Academy (FHEA) UK 
  • Elected Fellow of the Institute of Mathematics and Its Applications, UK 
  • Elected Life Fellow of the Royal Society of Arts (FRSA), London, UK 

PEER-REVIEWED JOURNALS

  • Chen, Y., Mamon, R., Spagnolo, F., & Spagnolo, N. (2025). Stock market returns and climate risk in the U.S. Journal of Multinational Financial Management, 77, 100887. https://doi.org/10.1016/j.mulfin.2024.100887 
  • Costabile, M., Massabó, I., Russo, E., Staino, A., Mamon, R., & Zhao, Y. (2025). A lattice-based approach for life insurance pricing in a stochastic correlation framework. Mathematics and Computers in Simulation, 235, 145–159. https://doi.org/10.1016/j.matcom.2025.03.027 
  • Cheng, B., & Mamon, R. (2024). Examining the identifiability and estimability of the phase-type ageing model. Computational Statistics, 39, 963–1004.https://doi.org/10.1007/s00180-023-01329-5 
  • Chen, W., Mamon, R., Xiong, H., & Zeng, P. (2024). How do foreign investors affect China’s stock return volatility? Evidence from the Shanghai–Hong Kong Stock Connect Program. Asia-Pacific Journal of Accounting & Economics, 31(1), 1–24. https://doi.org/10.1080/16081625.2022.2156360 
  • Chen, W., Mamon, R., Xiong, H., & Zeng, P. (2024). Does uncertainty affect the limits of arbitrage? Evidence from the U.S. stock markets. North American Journal of Economics and Finance, 74, 102221. https://doi.org/10.1016/j.najef.2024.102221 
  • Gu, X., Mamon, R., & Duprey, T. (2024). Interfacing learning methods for anomaly detection in multi-country financial stress indicators. Knowledge-Based Systems, 294, 111712. https://doi.org/10.1016/j.knosys.2024.111712 
  • Shu, Q., Xiong, H., Jiang, W., & Mamon, R. (2023). A novel perspective on forecasting non-ferrous metals’ volatility: Integrating deep learning techniques with econometric models. Finance Research Letters, 58, 104482. https://doi.org/10.1016/j.frl.2023.104482 
  • Li, Y., & Mamon, R. (2023). The price tag of cyber risk: A signal-processing approach. IEEE Access,11, 44294–44318. https://doi.org/10.1109/ACCESS.2023.3272572 
  • Chen, Y., Mamon, R., Spagnolo, F., & Spagnolo, N. (2023). Sustainable developments, renewable energy, and economic growth in Canada. Sustainable Development, 31(4), 2950–2966. https://doi.org/10.1002/sd.2561 
  • Li, Y., &Mamon, R. (2023). Modelling health-data breaches with application to cyber insurance. Computers & Security, 124, 102963.https://doi.org/10.1016/j.cose.2022.102963
  • Huang, Y., Mamon, R., & Xiong, H. (2022). Valuing guaranteed minimum accumulation benefits by a change of numéraire approach. Insurance: Mathematics and Economics, 103, 1–26. https://doi.org/10.1016/j.insmatheco.2021.11.002 
  • Xiong, H., &Mamon, R. (2022). An enabling framework for automated extraction of signals from market information in real time. Knowledge-Based Systems, 246, 10862. https://doi.org/10.1016/j.knosys.2022.108612
  • Chen, Y., Mamon, R., Spagnolo, F., & Spagnolo, N. (2022). Renewable energy and economic growth: A Markov-switching approach. Energy, 244, 123089.https://doi.org/10.1016/j.energy.2021.123089 
  • Zhao, Y., Mamon, R., & Xiong, H. (2021). Claim reserving for insurance contracts in line with the International Financial Reporting Standards 17: A new paid-incurred chain approach to risk adjustments. Financial Innovation, 7, 71. https://doi.org/10.1186/s40854-021-00287-5 
  • Gu, X., Mamon, R., Duprey, T., & Xiong, H. (2021). Online estimation for a predictive analytics platform with a financial-stability-analysis application. European Journal of Control, 57, 205–221. https://doi.org/10.1016/j.ejcon.2020.05.008 
  • Mamon, R., Xiong, H., & Zhao, Y. (2021). The valuation of a guaranteed minimum maturity benefit under a regime-switching framework. North American Actuarial Journal, 25(3), 334–359. https://doi.org/10.1080/10920277.2019.1703753 
  • Gweon, H., Li, S., & Mamon, R. (2020). An effective bias-corrected bagging method for the valuation of large variable annuity portfolios. ASTIN Bulletin, 50(3), 853–871.https://doi.org/10.1017/asb.2020.28 
  • Grimm, S., Erlwein-Sayer, C., & Mamon, R. (2020). Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation. Nonlinear Analysis: Hybrid Systems, 35, 100814. https://doi.org/10.1016/j.nahs.2019.08.001 
  • Xiong, H., & Mamon, R. (2019). A higher-order Markov chain-modulated model for electricity spot-price dynamics. Applied Energy, 233–234, 495–515.https://doi.org/10.1016/j.apenergy.2018.09.039 
  • Zhao, Y., & Mamon, R. (2018). An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks. Insurance: Mathematics and Economics, 78, 1–12. https://doi.org/10.1016/j.insmatheco.2017.09.001 
  • Chen, F., Mamon, R., & Nkurunziza, S. (2018). Inference for a change-point problem under a generalised Ornstein–Uhlenbeck setting. Annals of the Institute of Statistical Mathematics, 70, 807–853. https://doi.org/10.1007/s10463-017-0610-4 
  • Tenyakov, A., & Mamon, R. (2017). A computing platform for pairs-trading online implementation via a blended Kalman-HMM filtering approach. Journal of Big Data, 4, 46. https://doi.org/10.1186/s40537-017-0106-3 
  • Xiong, H., & Mamon, R. (2016). A self-updating model driven by a higher-order hidden Markov chain for temperature dynamics. Journal of Computational Science, 17, 47–61. https://doi.org/10.1016/j.jocs.2016.09.004 
  • Gao, H., Mamon, R., Liu, X., & Tenyakov, A. (2015). Mortality modelling with regime-switching for the valuation of a guaranteed annuity option. Insurance: Mathematics and Economics, 63, 108–120. https://doi.org/10.1016/j.insmatheco.2015.03.018 
  • Rodrigo, M. R., & Mamon, R. S. (2014). An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions. Quantitative Finance, 14(11), 1961–1970. https://doi.org/10.1080/14697688.2013.765062 
  • Mitra, S., Date, P., Mamon, R. S., & Wang, I.-C. (2013). Pricing and risk management of interest rate swaps. European Journal of Operational Research, 228(1), 102–111.https://doi.org/10.1016/j.ejor.2012.11.032 
  • Date, P., Mamon, R. S., & Tenyakov, A. (2013). Filtering and forecasting commodity futures prices under an HMM framework. Energy Economics, 40, 1001–1013.https://doi.org/10.1016/j.eneco.2013.05.016 

BOOKS

PEER-REVIEWED JOURNALS

  • Chen, Y., Mamon, R., Spagnolo, F., & Spagnolo, N. (2025). Stock market returns and climate risk in the U.S. Journal of Multinational Financial Management, 77, 100887.  https://doi.org/10.1016/j.mulfin.2024.100887 
  • Costabile, M., Massabó, I., Russo, E., Staino, A., Mamon, R., & Zhao, Y. (2025). A lattice-based approach for life insurance pricing in a stochastic correlation framework. Mathematics and Computers in Simulation, 235, 145-159. https://doi.org/10.1016/j.matcom.2025.03.027 
  • Cheng, B., & Mamon, R. (2024). Examining the identifiability and estimability of the phase-type ageing model. Computational Statistics, 39, 963-1004. https://doi.org/10.1007/s00180-023-01329-5 
  • Chen, W., Mamon, R., Xiong, H., & Zeng, P. (2024). How do foreign investors affect China’s stock return volatility? Evidence from the Shanghai–Hong Kong Stock Connect Program. Asia-Pacific Journal of Accounting & Economics, 31(1), 1–24.  https://doi.org/10.1080/16081625.2022.2156360 
  • Chen, W., Mamon, R., Xiong, H., & Zeng, P. (2024). Does uncertainty affect the limits of arbitrage? Evidence from the U.S. stock markets. North American Journal of Economics and Finance, 74, 102221. https://doi.org/10.1016/j.najef.2024.102221
  • Gu, X., Mamon, R., & Duprey, T. (2024). Interfacing learning methods for anomaly detection in multi-country financial stress indicators. Knowledge-Based Systems, 294, 111712. https://doi.org/10.1016/j.knosys.2024.111712
  • Shu, Q., Xiong, H., Jiang, W., & Mamon, R. (2023). A novel perspective on forecasting non-ferrous metals’ volatility: Integrating deep learning techniques with econometric models. Finance Research Letters, 58, 104482. https://doi.org/10.1016/j.frl.2023.104482
  • Li, Y., & Mamon, R. (2023). The price tag of cyber risk: A signal-processing approach. IEEE Access, 11, 44294–44318. https://doi.org/10.1109/ACCESS.2023.3272572
  • Chen, Y., Mamon, R., Spagnolo, F., & Spagnolo, N. (2023). Sustainable developments, renewable energy, and economic growth in Canada. Sustainable Development, 31(4), 2950–2966. https://doi.org/10.1002/sd.2561
  • Li, Y., & Mamon, R. (2023). Modelling health-data breaches with application to cyber insurance. Computers & Security, 124, 102963. https://doi.org/10.1016/j.cose.2022.102963
  • Huang, Y., Mamon, R., & Xiong, H. (2022). Valuing guaranteed minimum accumulation benefits by a change of numéraire approach. Insurance: Mathematics and Economics, 103, 1-26. https://doi.org/10.1016/j.insmatheco.2021.11.002
  • Xiong, H., & Mamon, R. (2022). An enabling framework for automated extraction of signals from market information in real time. Knowledge-Based Systems, 246, 108612. https://doi.org/10.1016/j.knosys.2022.108612
  • Chen, Y., Mamon, R., Spagnolo, F., & Spagnolo, N. (2022). Renewable energy and economic growth: A Markov-switching approach. Energy, 244, 123089. https://doi.org/10.1016/j.energy.2021.123089
  • Zhao, Y., Mamon, R., & Xiong, H. (2021). Claim reserving for insurance contracts in line with the International Financial Reporting Standards 17: A new paid-incurred chain approach to risk adjustments. Financial Innovation, 7, 71. https://doi.org/10.1186/s40854-021-00287-5
  • Gu, X., Mamon, R., Duprey, T., & Xiong, H. (2021). Online estimation for a predictive analytics platform with a financial-stability-analysis application. European Journal of Control, 57, 205–221. https://doi.org/10.1016/j.ejcon.2020.05.008
  • Mamon, R., Xiong, H., & Zhao, Y. (2021). The valuation of a guaranteed minimum maturity benefit under a regime-switching framework. North American Actuarial Journal, 25(3), 334-359.  https://doi.org/10.1080/10920277.2019.1703753
  • Gweon, H., Li, S., & Mamon, R. (2020). An effective bias-corrected bagging method for the valuation of large variable annuity portfolios. ASTIN Bulletin, 50(3), 853–871. https://doi.org/10.1017/asb.2020.28
  • Grimm, S., Erlwein-Sayer, C., & Mamon, R. (2020). Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation. Nonlinear Analysis: Hybrid Systems, 35, 100814. https://doi.org/10.1016/j.nahs.2019.08.001
  • Xiong, H., & Mamon, R. (2019). A higher-order Markov chain-modulated model for electricity spot-price dynamics. Applied Energy, 233–234, 495–515. https://doi.org/10.1016/j.apenergy.2018.09.039
  • Zhao, Y., & Mamon, R. (2018). An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks. Insurance: Mathematics and Economics, 78, 1-12.  https://doi.org/10.1016/j.insmatheco.2017.09.001 
  • Chen, F., Mamon, R., & Nkurunziza, S. (2018). Inference for a change-point problem under a generalised Ornstein–Uhlenbeck setting. Annals of the Institute of Statistical Mathematics, 70, 807-853.  https://doi.org/10.1007/s10463-017-0610-4
  • Tenyakov, A., & Mamon, R. (2017). A computing platform for pairs-trading online implementation via a blended Kalman-HMM filtering approach. Journal of Big Data, 4, 46. https://doi.org/10.1186/s40537-017-0106-3
  • Xiong, H., & Mamon, R. (2016). A self-updating model driven by a higher-order hidden Markov chain for temperature dynamics. Journal of Computational Science, 17, 47-61. https://doi.org/10.1016/j.jocs.2016.09.004
  • Gao, H., Mamon, R., Liu, X., & Tenyakov, A. (2015). Mortality modelling with regime-switching for the valuation of a guaranteed annuity option. Insurance: Mathematics and Economics, 63, 108-120. https://doi.org/10.1016/j.insmatheco.2015.03.018
  • Rodrigo, M. R., & Mamon, R. S. (2014). An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions. Quantitative Finance, 14(11), 1961-1970. https://doi.org/10.1080/14697688.2013.765062
  • Mitra, S., Date, P., Mamon, R. S., & Wang, I.-C. (2013). Pricing and risk management of interest rate swaps. European Journal of Operational Research, 228(1), 102-111. https://doi.org/10.1016/j.ejor.2012.11.032
  • Date, P., Mamon, R. S., & Tenyakov, A. (2013). Filtering and forecasting commodity futures prices under an HMM framework. Energy Economics, 40, 1001–1013. https://doi.org/10.1016/j.eneco.2013.05.016 

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