Rogemar Mamon

Department of Statistical & Actuarial Sciences, University of Western Ontario

London, Ontario N6A 5B8

Canada

SCHOLARLY PAPERS

2

DOWNLOADS

356

CITATIONS

0

Scholarly Papers (2)

1.

Pricing and Evaluating a Bond Portfolio Using a Regime Switching Markov Model

Number of pages: 43 Posted: 11 Feb 2008
Leela R. Mitra, Gautam Mitra and Rogemar Mamon
CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications and Department of Statistical & Actuarial Sciences, University of Western Ontario
Downloads 356 (82,215)

Abstract:

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Credit risk, Markov model, regime switching, risk measures, Value at Risk (VaR), Conditional Value at Risk (CVaR)

2.

A New Representative of the Local Volatility Surface

International Journal of Theoretical and Applied Finance, Vol. 11, No. 7, pp. 691-703, 2008
Posted: 26 Apr 2010
Rogemar Mamon
Department of Statistical & Actuarial Sciences, University of Western Ontario

Abstract:

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Implied volatility, Dupire's equation, inverse problem, ansatz approach, nonlinear system