# Rogemar S. Mamon

Professor

Phone: 519-661-3625

Email: rmamon@stats.uwo.ca

**RECOGNITION OF RESEARCH STANDING**

- Life Fellow (FRSA), Royal Society of Arts (since 2004)
- CSci, The Science Council, UK (since 2005)
- CMath & FIMA, Institute of Mathematics and Its Applications, UK (since 2005 & 2012, respectively)
- FHEA, Higher Education Academy, UK (since 2007)
- Western Faculty Scholar Award, 2017-19
- PCIEERD-DOST Balik-Scientist Award, 2016-17
- IMA Service Award "for dedicated service & significant contribution to the Institute", 2013
- Winner of the Society of Actuaries'
*North American Actuarial Journal Annual Prize for the Best Paper*(Period Covered: Jan-Dec 2008)*,*Awarded in2010 - UWO University Students’ Council Teaching Honour Roll,

2013-14, 2011-12, 2008-09 & 2006-07

- Fellow, Royal Statistical Society, UK, 2004-present
- Elected Member, London Mathematical Society, UK, 2004-2009
- Member, Institute of Electrical and Electronics Engineers (IEEE), USA, 2016-present

- Associate Editor, Annals of Actuarial Science, Dec 2023 - present
- NSERC Discovery Grant Evaluator, 1508 (Mathematics and Statistics Grant Selection Committee), 2022-23 & 2018-21
- Member (representing the Fields Institute for Research in Mathematical Sciences), Scientific Advisory Committee of the Canadian Statistical Sciences Institute (CANSSI), 2016-20
- Member, Peer Review College of the Engineering and Physical Sciences Research Council (EPSRC), UK, 2012-13
- Co-editor, IMA J Managment Maths, published by Oxford University Press, 2009-21

* ** *

* Highly Qualified Personnel (HQP), as defined by NSERC, in my research group

JOURNAL ARTICLES & PEER-REVIEWED BOOK CHAPTERS

**[95] **Chen, Y.*, Erlwein-Sayer, C., Mamon, R., Spagnolo, F. and Spagnolo, N. (2024) Impact of green bonds on issuers environmental improvements, under second review. URL: TBA

**[94] **Chen, Y.*, Mamon, R., Spagnolo, F. and Spagnolo, N. (2024) Stock market responses to climate risks: Sectoral-level evidence from the U.S., under second review. URL: TBA

**[93]** Chen, Y.*, Mamon, R., Spagnolo, F. and Spagnolo, N. (2024) Modelling spot and option-on-futures prices of the EU carbon allowance, under review. URL: TBA

**[92] **Huang, Y*, Mamon, R. and Xiong, H. (2024) Endowment-risk-adjusted measure with num´eraire transformation technique for guaranteed minimum income benefit valuation. URL: TBA.

**[91] **Gu, X.*, Mamon, R. and T. Duprey. (2024). Interfacing learning methods for anomaly detection in multi-country financial stress indicators. *Knowledge-Based Systems*, accepted. URL link: TBA.

**[90] **Cheng, B.* and Mamon, R. (2024). Examining the identifiability and estimability of the phase-type ageing model. *Computational Statistics*, 39(2), 063-1004. URL link. ^{[}^{®]}

**[89] **Li, Y. and Mamon, R. (2024). A comparison of three algorithms in the filtering of a Markov-modulated

non-homogeneous Poisson process [with application to cyber-incident counts]. *International Journal of Systems Science**, *55(4), 741-770. URL link.

**[88] **Chen, W., Mamon, R., Xiong, H. and 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 and Economics*, 31(1), 1-24. URL link.

**[87]** Cheng, B.* and Mamon, R. (2023). A uniformisation-driven algorithm for inference-related estimation of a phase-type ageing model. *Lifetime Data Analysis*, 29, 142-187. URL link. ^{[®]}

**[86] **Shu, Q., Xiong, H., Jiang, W. and Mamon, R. (2023). A novel perspective on forecasting non-ferrous metal's volatility: Integrating deep learning techniques with econometric models. *Finance Research Letters*, 58(C), 104482. URL link.

**[85] **Li, Y.* and Mamon, R. (2023). The price tag of cyber risk: A signal-processing approach, *IEEE Access*, 11, 44294-44318. URL link.

**[84]** Zheng, X.* and Mamon, R. (2023). Assessment of a pandemic emergency financing facility. *Progress in Disaster Science*, 18, 100281. URL link.

**[83] **Chen, Y.*, Mamon, R., Spagnolo, F. and Spagnolo, N. (2023). Sustainable developments, renewable energy and economic growth in Canada. *Sustainable Development*, 31(4), 2950-2966. URL link.

**[82]** Li, Y.* and Mamon, R. (2023). Modelling health-data breaches with application to cyber insurance. *Computers & Security*, 124, 102963. URL link.

**[81] **Fan, W.* and Mamon, R. (2023). A hybridised stochastic SIR-Vasicek model in evaluating a pandemic emergency financing facility. *IEEE Transactions on Computational Social Systems*, 10(3), 1105-1114. URL link.

**[80]** Mamplata, J.*, Mamon, R. and David, G. (2022). Modelling and filtering for dynamic investment in the precious-metals market. *International Journal of Computer Mathematics*, 99(12), 2382-2409. URL link.

**[79]** Rodrigo, M. and Mamon, R. (2022). Jumping hedges on the strength of the Mellin transform. *Results in Applied Mathematics*, 14, Article 100262. URL link.

**[78]** Xiong, H.* and Mamon, R. (2022). An enabling framework for automated extraction of signals from market information in real time. *Knowledge-Based Systems*, 246, 108612. URL link.

**[77]** Chen, Y.*, Mamon, R., Spagnolo, F. and Spagnolo, N. (2022). Renewable energy and economic growth: A Markov-switching approach. *Energy: **The International Journal*, 244 (Part B), 123089. URL link.

**[76]** Huang, Y.*, Mamon, R. and Xiong, H. (2022). Valuing guaranteed minimum accumulation benefits by a reference-probability approach. *Insurance: Mathematics and Economics*, 103, 1-26. URL link.

**[75]** Zhao, Y.*, Xiong, H. and Mamon, R. (2021). Claim reserving for insurance contracts in the context of IFRS 17: A new paid-incurred chain approach to risk adjustments. *Financial Innovation*, 7, 71 . URL link.

**[74]** Mamon, R., Xiong, H. and Zhao, Y.* (2021). The valuation of a guaranteed minimum maturity benefit under a regime-switching framework*. North American Actuarial Journal*, 25(3), 334-359. URL link.

**[73]** Xiang, R*, Jones, C.*, Mamon, R`.`

and Chavez, M.* (2021). Modelling exchange-driven fish price dynamics. *Journal of Modelling in Management*, 16(4), 1054-1069. URL link.

**[72]** Rodrigo, M. and Mamon, R. (2021). Bond pricing formulas for Markov-modulated affine term structure models. *Journal of Industrial and Management Optimization*, 17(5), 2685-2702. URL link.

**[71]** Gu, X.*, Mamon, R., Davison, M. and Yu, H. (2021). An automated financial indices-processing scheme for classifying market liquidity regimes. *International Journal of Control*, 94(3), 735-756. URL link.

**[70]** Gu, X.*, Mamon, R., Duprey, T. and Xiong, H. (2021). Online estimation for a predictive analytics platform with a financial-stability-analysis application. *European Journal of Control*, 57, 205-221. URL link.

**[69]** Giorgini, A.*, Mamon, R. and Rodrigo, M. (2021). A stochastic harmonic oscillator temperature model for the valuation of weather derivatives. *Mathematics*, *9*(22), 2890. URL link.

**[68]** Gweon, H., Li, S. and Mamon, R. (2020). An effective bias-corrected bagging method for the valuation of large variable annuity portfolios. *ASTIN Bulletin - The Journal of the International Actuarial Association,* 50(3), 853-871. URL link.

**[67]** Grimm, S.*, Erlwein-Sayer, C. and Mamon, R. (2020). Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation. *Nonlinear Analysis: Hybrid Systems*, 100814. URL link.

**[66]** Chen, F.*, Mamon, R. and Nkurunziza, S. (2020). Inference for a change-point problem under an Ornstein-Uhlenbeck setting with unequal and unknown volatilities. *Canadian Journal of Statistics*, 48(1), 62-78. URL link.

**[65]** Zhao, Y.* and Mamon, R. (2020). Annuity valuation under dependent risks. *Japan Journal of Industrial and Applied Mathematics*, 37(1), 1-23. URL link.

**[64]** Mamon, R., Scarf, P. and Syntetos, A. (2020). Management Mathematics: a retrospective. *IMA Journal of Management Mathematics*, 31(1), 1-3. URL link.

**[63]** Xiong, H.* and Mamon, R. (2019). A higher-order Markov chain model for electricity spot price dynamics. *Applied Energy*, (233-234), 495-515. URL link.

**[62]** Zhao, Y.*, Mamon, R. and Gao, H. (2018). A two-decrement model for the risk measurement of a guaranteed annuity option. *Econometrics and Statistics, *8, 231-249. URL link.

**[61]** Chen, F.*, Mamon, R. and Nkurunziza, S. (2018). Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting. *Annals of the Institute of Statistical Mathematics**, *70(4), 807-853. URL link.

**[60]** Xiong, H.* and Mamon, R. (2018). Putting a price tag on temperature. *Computational Management Science,*15(2), 259-296. URL link.

**[59]** Zhao, Y.* and Mamon, R. (2018). An efficient algorithm for the valuation of guaranteed options with correlated financial and mortality risks. *Insurance: Mathematics and Economics*, 78 1-12. URL link.

**[58]** Chen, F.*, Mamon, R. and Davison, M. (2017). Inference for a mean-reverting stochastic process with multiple change points”, *Electronic Journal of Statistics (a journal co-sponsored by the Institute of Mathematical Statistics* and *Bernoulli Society**),* 11(1) 2199-2257. URL link.

**[57]** Tenyakov, A.*, Mamon, R. (2017). A computing platform for pairs-trading implementation via a blended Kalman-HMM filtering approach. *Journal of Big Data*, 4:46 [https://doi.org/10.1186/s40537-017-0106-3]. URL link.

**[56]** Gao, H.*, Mamon, R. and Liu, X. (2017). Risk measurement of a guaranteed annuity option under a stochastic modelling framework. *Mathematics and Computers in Simulation*, 132 100-119. URL link.

**[55]** Xiong, H.* and 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. URL link.

**[54]** Tenyakov, A.*, Mamon, R. and Davison, M. (2016). Filtering of a discrete-time HMM-driven multivariate Ornstein-Uhlenbeck model with application to forecasting market liquidity regimes. *IEEE Journal on Seleted Topics in Signal Processing*, 10(6) 994-1005. URL link.

**[53]** Tenyakov, A.*, Mamon, R. and Davison, M. (2016). Modelling high-frequency FX rate dynamics: A zero-delay multi-dimensional HMM-based approach. *Knowledge-Based Systems*, 101 142-155. URL link.

**[52]** Mamon, R. (2016). Editor’s Introduction – Virtual Issue: Quantitative Methods in Finance. *IMA Journal of Management Mathematics*. URL link.

**[51]** Gao, H.*, Mamon, R., Liu, X. and Tenyakov, A.* (2015). Mortality modelling with regime-switching for the valuation of a guaranteed annuity option. *Insurance: Mathematics and Economics*, 63 108-120. URL link.

**[50]** Gao, H.*, Mamon, R. and Liu, X. (2015). Pricing a guaranteed annuity option under correlated and regime-switching risk factors. *European Actuarial Journal*, 5(2) 309-326. URL link.

**[49]** Jalen, L.* and Mamon, R. (2014). Parameter estimation in a regime-switching model with non-normal noise terms. In: *Hidden Markov Models in Finance: Volume II* (Further Developments and Applications) (eds.: Mamon, R. and Elliott, R), 241-261. URL link.

**[48]** Xi, X.* and Mamon, R. (2014). Parameter estimation in a WHMM setting with independent and volatility components. In: *Hidden Markov Models in Finance: Volume II* (Further Developments and Applications) (eds.: Mamon, R. and Elliott, R), 227-240. URL link.

**[47]** Xi, X.*, Mamon, R. and Davison, M. (2014). A higher-order hidden Markov chain-modulated model for asset allocation. *Journal of Mathematical Modelling and Algorithms in Operations Research*, 13(1) 59-85. URL link.

**[46]** Rodrigo, M. R. and Mamon, R. (2014). An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions. *Quantitative Finance*, 14(11) 1961-1970. URL link.

**[45]** Xi, X.* and Mamon, R. (2014). Capturing the regime-switching and memory properties of interest rates. *Computational Economics*, 44(3) 307-337. URL link.

**[44]** Liu, X., Mamon, R.* and Gao, H. (2014). A generalised pricing framework addressing correlated mortality and interest risks: A change of probability measure approach. *Stochastics (An International Journal of Probability and Stochastic Processes)*, 86(4) 594-608. URL link.

**[43]** Xi, X.* and Mamon, R. (2013). Yield curve modelling using a multivariate higher-order HMM. In: *State-Space Models and Applications in Economics and Finance* (eds.: Zeng, Y. and Wu, S.), 1 Springer, 185-202. URL link.

**[42]** Mitra, S., Date, P., Mamon, R. and Wang, I. (2013). Pricing and risk management of interest rate swaps. *European Journal of Operational Research*, 228(1) 102-111. URL link.

**[41]** Liu, X., Mamon, R. and Gao, H.* (2013). A comonotonicity-based valuation method for guaranteed annuity options. *Journal of Computational and Applied Mathematics*, 250 58-69. URL link.

**[40]** Date, P., Mamon, R. and Tenyakov, A.*(2013). Filtering and forecasting commodity futures prices under an HMM framework. *Energy Economics*, 40 1001-1013. URL link.

**[39]** Xi, X.*, Rodrigo, M. R. and Mamon, R. (2012). Parameter estimation of a regime-switching model using an inverse Stieltjes moment approach. In: *Stochastic Processes, Finance and Control* (Festschrift in Honour of Robert Elliott's 70th Birthday), Advances in Statistics, Probability and Actuarial Science, Volume I , (eds.: Cohen, S., Madan, D., Siu, T. and Yang, H.), World Scientific, 549-569. URL link.

**[38]** Zhou, N.* and Mamon, R. (2012). An accessible implementation of interest rate models with regime-switching. *Expert Systems with Applications*, 39(5) 4679-4689. URL link.

**[37]** Xi, X.* and Mamon, R. (2011). Parameter estimation of an asset price model driven by a weak hidden Markov chain. *Economic Modelling*, 28 36-46. URL link.

**[36]** Erlwein, C.*, Davison, M. and Mamon, R. (2011). An examination of HMM-based investment strategies for asset allocation. *Applied Stochastic Models in Business and Industry*, 27(3) 204-221. URL link.

**[35]** Rodrigo, M. R. and Mamon, R. (2011). A unified approach to explicit bond price solutions under an affine term structure modelling framework. *Quantitative Finance*, 11(4) 487-493. URL link. *Chosen as a featured article by the Editor.*

**[34]** Duan, Z.* and Mamon, R. (2010). A self-tuning model for inflation rate dynamics. *Communications in Nonlinear Science and Numerical Simulation*, 15 2521-2528. URL link.

**[33]** Erlwein, C.*, Benth, F. and Mamon, R. (2010). HMM filtering and parameter estimation of electricity spot price model. *Energy Economics*, 32(5) 1034-1043. URL link.

**[32]** Date, P., Jalen, L.* and Mamon, R. (2010). A partially linearised sigma point filter for latent state estimation in nonlinear time series models. *Journal of Computational and Applied Mathematics*, 233 2675-2682. URL link.

**[31]** Date, P., Mamon, R., Jalen, L.* and Wang, I. (2010). A linear algebraic method in pricing temporary life annuities and insurance policies. *Insurance: Mathematics and Economics*, 47(1) 98-104. URL link.

**[30]** Erlwein, C.* and Mamon, R. (2009). An on-line estimation scheme for a Hull-White model with HMM-driven parameters. *Statistical Methods and Applications*, 18(1) 87-107. URL link.

**[29]** Mamon, R. (2009). Review of D. McDonald's Elements of applied probability for engineering, mathematics and systems sciences. *Technometrics*, 51(1) 100. URL link.

**[28]** Jalen, L.* and Mamon, R. (2009). Valuation of contingent claims with mortality and interest rate risks. *Mathematical and Computer Modelling*, 49 1893-1904. URL link.

**[27]** Mamon, R. (2008). Review of A. van de Bos's Parameter estimation for scientists and engineers. *Technometrics*, 50(4) 546. URL link.

**[26]** Rodrigo, M. R. and Mamon, R. (2008). A new representation of the local volatility surface. *International Journal of Theoretical and Applied Finance*, 11(7) 691-703. URL link.

**[25]** Date, P., Mamon, R. and Jalen, L.* (2008). A new moment matching algorithm for sampling from partially specified symmetric distributions . *Operations Research Letters*, 36(6) 669-672. URL link.

**[24]** Mamon, R., Erlwein, C.*, and Gopaluni, B. (2008). Adaptive signal processing of asset price dynamics with predictability analysis. *Information Sciences*, 178 203-219. URL link.

**[23]** Siu, T. K. ., Erlwein, C.* and Mamon, R. (2008). The pricing of credit default swaps under a Markov-modulated Merton’s structural model. *North American Actuarial Journal (NAAJ)*, 12(1) 19-46. URL link. ** Winner of the NAAJ Prize for the Best Paper published in 2008**. Awarded by the

**Society of Actuaries**in 2010.

**[22]** Date, P., Jalen, L.* and Mamon, R. (2008). A new algorithm for latent state estimation in nonlinear time series models. *Applied Mathematics and Computation*, 203(1) 224-232. URL link.

**[21]** Mamon, R. and Jalen, L.* and (2008). Parameter estimation in a regime-switching model when the drift and volatility are independent. *Proceedings of the 5th International Conference on Dynamic Systems and Applications*, Dynamic Publishers, Inc., Atlanta, 291-298. URL link.

**[20] **Mamon, R., Bakyar, C., Cavers, M., Joshi, Y., Kaur, M., Kim, D., Liu, X., Oloude, F. and Sorokin, Y. (2008). The quantification of market risk. *Proceedings of the Graduate Industrial Mathematical Modelling Camp and Industrial Problem Solving Workshop (GIMCC/IPSW)*, Pacific Institute for Mathematical Sciences, 30-39.

**[19]** Date, P., Mamon, R. and Wang, I. (2007). Valuation of cashflows under random rates of interest: A linear algebraic approach. *Insurance: Mathematics and Economics*, 41(1) 84-95. URL link.

**[18]** Rodrigo, M. R. and Mamon, R. (2007). Recovery of time-dependent parameters of a Black-Scholes-type equation: An inverse Stieltjes moment approach. *Journal of Applied Mathematics*, 2007 Article ID 62098, 8 pages. URL link.

**[17]** Date, P. and Mamon, R. (2007). Editorial - Special issue in financial mathematics. *IMA Journal of Management Mathematics*, 18(4) 313-314. URL link.

**[16]** Russo, E.*, Spagnolo, F. and Mamon, R. (2007). An empirical investigation of the unbiased forward exchange rate hypothesis in a regime-switching market. In: *Hidden Markov Models in Finance* (eds.: Mamon, R.S. & Elliott, R.J.), Springer, 133-153. URL link.

**[15]** Mamon, R. and Rodrigo, M. R. (2007). An application of Mellin transform techniques to a Black-Scholes equation problem. *Analysis and Applications*, 5(1) 51-66. URL link.

**[14]** Mamon, R and Rodrigo, M. R. (2006). An alternative approach to solving the Black-Scholes PDE with time-varying parameters. *Applied Mathematics Letters*, 19(4) 398-402. URL link.

**[13]** Mamon, R. and Yu, K. (2006). Discussion of A. Beskos, et al.'s exact and computationally efficient likelihood-based estimation for discretely observed processes. *Journal of the Royal Statistical Society, Series B (Statistical Methodology)*, 68(3) 372-373. URL link.

**[12]** Yu, K. and Mamon, R. (2006). Discussion of Y. Lee & J. Nelder's double hierarchical generalised linear models. *Journal of the Royal Statistical Society, Series C (Applied Statistics)*, 55(2) 178-179. URL link.

**[11]** Mamon, R. (2006). Stochastic modelling of interest rate dynamics: An expository note. *Diliman Review*, 53(1-4) 197-233. URL link.

**[10]** Mamon, R. and Rodrigo, M. R. (2005). Explicit solutions to European options in a regime-switching economy. *Operations Research Letters*, 33(6) 581-586. URL link.

**[9]** Mamon, R. (2005). A streamlined derivation of the Black-Scholes option pricing formula. *Journal of Interdisciplinary Mathematics*, 8(3) 327-334. URL link.

**[8]** Mamon, R. (2004). Analytic pricing solutions to term structure derivatives in a Markov chain market. *IMA Journal of Management Mathematics*, 15(3) 243-252. URL link.

**[7]** Mamon, R. (2004). On the interface of probabilistic and PDE methods in a multi-factor term structure theory. *International Journal of Mathematical Education in Science and Technology*, 35(5) 661-668. URL link.

**[6]** Mamon, R. (2004). Three ways to solve for bond prices in the Vasicek model. *Journal of Applied Mathematics and Decision Sciences*, 8(1) 1-14. URL link.

**[5]** Elliott, R. J. and Mamon, R. (2003). A complete yield curve description of a Markov interest rate model. *International Journal of Theoretical and Applied Finance*, 6(4) 317-326. URL link.

**[4]** Elliott, R. J. and Mamon, R. (2002). An interest rate model with a Markovian mean-reverting level. *Quantitative Finance*, 2(6) 454-458. URL link.

**[3]** Mamon, R. (2002). A time-varying Markov chain model of term structure. *Statistics and Probability Letters*, 60(3) 309-312. URL link

**[2]** Mamon, R. and Elliott, R. J. (2014). *Hidden Markov Models in Finance. Volume II* (Further Developments and Applications), 209 XII, 292 p., 46 illus. 40 in colour, Springer, New York. ISBN: 978-1-4899-7441-9. URL link. *More than 33,000 accesses based on Springer's record.*

**[1]** Mamon, R. and Elliott, R. J. (2007). *Hidden Markov Models in Finance*. International Series in Operations Research and Management Science, 104 XIX, 184p., Springer, New York. URL link. *More than 20,000 accesses based on Springer's record.*