Mamon, Rogemar B3 Version 2

Rogemar S. Mamon, PhD 

Professor
Academic Program Director, Master in AI and Data Analytics

EXPERTISE

Quantitative Finance, Actuarial Modelling, Stochastic Processes 

RESEARCH INTERESTS

Financial Mathematics, Applied Probability, Applications of Statistical Modelling 

Rogemar S. Mamon, PhD 

Professor
Academic Program Director, Master in AI and Data Analytics 

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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