Three ways to solve for bond prices in the Vasicek model. - Rogemar S. Mamon (Adv. Decis. Sci., 2004)

Explicit solutions to European options in a regime-switching economy. - Rogemar S. Mamon; Marianito R. Rodrigo (Oper. Res. Lett., 2005)

An alternative approach to solving the Black-Scholes equation with time-varying parameters. - Marianito R. Rodrigo; Rogemar S. Mamon (Appl. Math. Lett., 2006)

Recovery of Time-Dependent Parameters of a Black-Scholes-Type Equation: An Inverse Stieltjes Moment Approach. - Marianito R. Rodrigo; Rogemar S. Mamon (J. Appl. Math., 2007)

A new algorithm for latent state estimation in non-linear time series models. - Paresh Date; Luka Jalen; Rogemar S. Mamon (Appl. Math. Comput., 2008)

Adaptive signal processing of asset price dynamics with predictability analysis. - Rogemar S. Mamon; Christina Erlwein; R. Bhushan Gopaluni (Inf. Sci., 2008)

A new moment matching algorithm for sampling from partially specified symmetric distributions. - Paresh Date; Rogemar S. Mamon; Luka Jalen (Oper. Res. Lett., 2008)

Valuation of contingent claims with mortality and interest rate risks. - Luka Jalen; Rogemar S. Mamon (Math. Comput. Model., 2009)

An online estimation scheme for a Hull-White model with HMM-driven parameters. - Christina Erlwein; Rogemar S. Mamon (Stat. Methods Appl., 2009)

A partially linearized sigma point filter for latent state estimation in nonlinear time series models. - Paresh Date; Luka Jalen; Rogemar S. Mamon (J. Comput. Appl. Math., 2010)

An accessible implementation of interest rate models with Markov-switching. - Nanxin Zhou; Rogemar S. Mamon (Expert Syst. Appl., 2012)

Pricing and risk management of interest rate swaps. - Sovan Mitra; Paresh Date; Rogemar S. Mamon; Chieh Wang (Eur. J. Oper. Res., 2013)

A comonotonicity-based valuation method for guaranteed annuity options. - Xiaoming Liu 014; Rogemar S. Mamon; Huan Gao (J. Comput. Appl. Math., 2013)

A Higher-Order Hidden Markov Chain-Modulated Model for Asset Allocation. - Xiaojing Xi; Rogemar S. Mamon; Matt Davison 001 (J. Math. Model. Algorithms Oper. Res., 2014)

A self-updating model driven by a higher-order hidden Markov chain for temperature dynamics. - Heng Xiong; Rogemar S. Mamon (J. Comput. Sci., 2016)

Filtering of a Discrete-Time HMM-Driven Multivariate Ornstein-Uhlenbeck Model With Application to Forecasting Market Liquidity Regimes. - Anton Tenyakov; Rogemar S. Mamon; Matt Davison 001 (IEEE J. Sel. Top. Signal Process., 2016)

Modelling high-frequency FX rate dynamics: A zero-delay multi-dimensional HMM-based approach. - Anton Tenyakov; Rogemar S. Mamon; Matt Davison 001 (Knowl. Based Syst., 2016)

A computing platform for pairs-trading online implementation via a blended Kalman-HMM filtering approach. - Anton Tenyakov; Rogemar S. Mamon (J. Big Data, 2017)

Risk measurement of a guaranteed annuity option under a stochastic modelling framework. - Huan Gao; Rogemar S. Mamon; Xiaoming Liu 014 (Math. Comput. Simul., 2017)

Putting a price tag on temperature. - Heng Xiong; Rogemar S. Mamon (Comput. Manag. Sci., 2018)

Online estimation for a predictive analytics platform with a financial-stability-analysis application. - Xing Gu; Rogemar S. Mamon; Thibaut Duprey; Heng Xiong (Eur. J. Control, 2021)

An automated financial indices-processing scheme for classifying market liquidity regimes. - Xing Gu; Rogemar S. Mamon; Matt Davison 001; Hao Yu (Int. J. Control, 2021)

Modelling and filtering for dynamic investment in the precious-metals market. - Jonathan B. Mamplata; Rogemar S. Mamon; Guido David (Int. J. Comput. Math., 2022)

An enabling framework for automated extraction of signals from market information in real time. - Heng Xiong; Rogemar S. Mamon (Knowl. Based Syst., 2022)

The Price Tag of Cyber Risk: A Signal-Processing Approach. - Yuying Li 002; Rogemar S. Mamon (IEEE Access, 2023)

Modelling health-data breaches with application to cyber insurance. - Yuying Li 002; Rogemar S. Mamon (Comput. Secur., 2023)

A Hybridized Stochastic SIR-Vasiček Model in Evaluating a Pandemic Emergency Financing Facility. - Weili Fan; Rogemar S. Mamon (IEEE Trans. Comput. Soc. Syst., 2023)

Interfacing learning methods for anomaly detection in multi-country financial stress indicators. - Xing Gu; Rogemar S. Mamon; Thibaut Duprey (Knowl. Based Syst., 2024)

A comparison of three algorithms in the filtering of a Markov-modulated non-homogeneous Poisson process. - Yuying Li; Rogemar S. Mamon (Int. J. Syst. Sci., 2024)

Examining the identifiability and estimability of the phase-type ageing model. - Boquan Cheng; Rogemar S. Mamon (Comput. Stat., 2024)

A lattice-based approach for life insurance pricing in a stochastic correlation framework. - Massimo Costabile; Ivar Massabò; Emilio Russo; Alessandro Staino; Rogemar S. Mamon; Yixing Zhao (Math. Comput. Simul., 2025)