Rodrigo, Marianito R.

Research Areas

0102 - APPLIED MATHEMATICS

Available as Research Supervisor

Selected Publications

Journal Article

Year	Title
2020	A Mellin transform approach to barrier option pricing Published In IMA Journal of Management Mathematics
2020	Bond pricing formulas for Markov-modulated affine term structure models Published In Journal of Industrial and Management Optimization
2020	On a generalisation of the fundamental matrix and the solution of operator equations Published In International Journal of Applied Mathematics
2020	Pricing of Barrier Options on Underlying Assets with Jump-Diffusion Dynamics: A Mellin Transform Approach Published In Mathematics
2018	Pricing of general European options on discrete dividend-paying assets with jump-diffusion dynamics Published In Applied Mathematical Modelling: simulation and computation for engineering and environmental systems
2017	Alternative results for option pricing and implied volatility in jump-diffusion models using Mellin transforms Published In European Journal of Applied Mathematics
2016	A nonlinear least squares approach to time of death estimation via body cooling Published In Journal of Forensic Sciences
2016	Laplace and Z transforms of linear dynamical systems and conic sections Published In Zeitschrift fuer Angewandte Mathematik und Physik
2016	On fractional matrix exponentials and their explicit calculation Published In Journal of Differential Equations
2016	Solution of multilayer diffusion problems via the Laplace transform Published In Journal of Mathematical Analysis and Applications
2015	Model for acid-mediated tumour invasion with chemotherapy intervention II: spatially heterogeneous populations Published In Mathematical Biosciences
2015	Time of death estimation from temperature readings only: A Laplace transform approach Published In Applied Mathematics Letters
2014	A model for acid-mediated tumour growth with nonlinear acid production term Published In Applied Mathematics and Computation
2014	An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions Published In Quantitative Finance
2014	Approximate ordinary differential equations for the optimal exercise boundaries of American put and call options Published In European Journal of Applied Mathematics
2014	Model for acid-mediated tumour invasion with chemotherapy intervention I: spatially homogeneous populations
2013	An integration-based method for estimating parameters in a system of differential equations Published In Applied Mathematics and Computation
2011	A unified approach to explicit bond price solutions under a time-dependent affine term structure modelling framework Published In Quantitative Finance
2011	Exact and approximate traveling waves of reaction-diffusion systems via a variational approach Published In Analysis and Applications
2009	Slow and fast invasion waves in a model of acid-mediated tumour growth Published In Mathematical Biosciences
2008	A new representation of the local volatility surface Published In International Journal of Theoretical and Applied Finance
2007	An application of Mellin transform techniques to a black–Scholes equation problem Published In Analysis and Applications
2007	Recovery of time-dependent parameters of a Black-Scholes-type equation: an inverse Stieltjes moment approach Published In Journal of Applied Mathematics
2007	Remarks on accessible steady states for some coagulation-fragmentation systems Published In Discrete and Continuous Dynamical Systems Series A
2007	Sobre la infinidad de los números primos: un enfoque topológico Published In Miscelánea Matemática

Chapter

Year	Title
2012	Parameter estimation of a regime-switching model using an inverse stieltjes moment approach Published In Stochastic processes, finance and control : a festschrift in honor of Robert J. Elliott

Conference Paper

Year	Title
2019	Stochastic processes in a discrete model of ground combat Published In The 23rd International Congress on Modelling and Simulation (MODSIM2019)

Available as Research Supervisor

Potential Supervision Topics

Financial mathematics
Mathematical biology
Fractional calculus
Forensic medicine

Advisees

Graduate Advising Relationship

Degree	Research Title	Advisee
Doctor of Philosophy	Opening a Window on Diffusion - Mixed Boundary Simulations for Diatom Controlled Release	Ormerod, Carl
Doctor of Philosophy (Integrated)	Population models with variable carrying capacity	Zulkarnaen, Diny
Doctor of Philosophy	Analytical and Numerical Methods for the Multilayer Fractional Diffusion-Wave Equation	Davis, Ashlee
Doctor of Philosophy	Unifying deterministic and stochastic calculus via fractional-order differentials	Futcher, Tom

Orcid Id

http://orcid.org/0000-0003-1872-3904 (pending confirmation)

Research Areas

0102 - APPLIED MATHEMATICS

Selected Publications

Journal Article

Year	Title
2020	A Mellin transform approach to barrier option pricing Published In IMA Journal of Management Mathematics
2020	Bond pricing formulas for Markov-modulated affine term structure models Published In Journal of Industrial and Management Optimization
2020	On a generalisation of the fundamental matrix and the solution of operator equations Published In International Journal of Applied Mathematics
2020	Pricing of Barrier Options on Underlying Assets with Jump-Diffusion Dynamics: A Mellin Transform Approach Published In Mathematics
2018	Pricing of general European options on discrete dividend-paying assets with jump-diffusion dynamics Published In Applied Mathematical Modelling: simulation and computation for engineering and environmental systems
2017	Alternative results for option pricing and implied volatility in jump-diffusion models using Mellin transforms Published In European Journal of Applied Mathematics
2016	A nonlinear least squares approach to time of death estimation via body cooling Published In Journal of Forensic Sciences
2016	Laplace and Z transforms of linear dynamical systems and conic sections Published In Zeitschrift fuer Angewandte Mathematik und Physik
2016	On fractional matrix exponentials and their explicit calculation Published In Journal of Differential Equations
2016	Solution of multilayer diffusion problems via the Laplace transform Published In Journal of Mathematical Analysis and Applications
2015	Model for acid-mediated tumour invasion with chemotherapy intervention II: spatially heterogeneous populations Published In Mathematical Biosciences
2015	Time of death estimation from temperature readings only: A Laplace transform approach Published In Applied Mathematics Letters
2014	A model for acid-mediated tumour growth with nonlinear acid production term Published In Applied Mathematics and Computation
2014	An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions Published In Quantitative Finance
2014	Approximate ordinary differential equations for the optimal exercise boundaries of American put and call options Published In European Journal of Applied Mathematics
2014	Model for acid-mediated tumour invasion with chemotherapy intervention I: spatially homogeneous populations
2013	An integration-based method for estimating parameters in a system of differential equations Published In Applied Mathematics and Computation
2011	A unified approach to explicit bond price solutions under a time-dependent affine term structure modelling framework Published In Quantitative Finance
2011	Exact and approximate traveling waves of reaction-diffusion systems via a variational approach Published In Analysis and Applications
2009	Slow and fast invasion waves in a model of acid-mediated tumour growth Published In Mathematical Biosciences
2008	A new representation of the local volatility surface Published In International Journal of Theoretical and Applied Finance
2007	An application of Mellin transform techniques to a black–Scholes equation problem Published In Analysis and Applications
2007	Recovery of time-dependent parameters of a Black-Scholes-type equation: an inverse Stieltjes moment approach Published In Journal of Applied Mathematics
2007	Remarks on accessible steady states for some coagulation-fragmentation systems Published In Discrete and Continuous Dynamical Systems Series A
2007	Sobre la infinidad de los números primos: un enfoque topológico Published In Miscelánea Matemática

Chapter

Year	Title
2012	Parameter estimation of a regime-switching model using an inverse stieltjes moment approach Published In Stochastic processes, finance and control : a festschrift in honor of Robert J. Elliott

Conference Paper

Year	Title
2019	Stochastic processes in a discrete model of ground combat Published In The 23rd International Congress on Modelling and Simulation (MODSIM2019)

Potential Supervision Topics

Financial mathematics
Mathematical biology
Fractional calculus
Forensic medicine

Advisees

Graduate Advising Relationship

Degree	Research Title	Advisee
Doctor of Philosophy	Opening a Window on Diffusion - Mixed Boundary Simulations for Diatom Controlled Release	Ormerod, Carl
Doctor of Philosophy (Integrated)	Population models with variable carrying capacity	Zulkarnaen, Diny
Doctor of Philosophy	Analytical and Numerical Methods for the Multilayer Fractional Diffusion-Wave Equation	Davis, Ashlee
Doctor of Philosophy	Unifying deterministic and stochastic calculus via fractional-order differentials	Futcher, Tom

Orcid Id

http://orcid.org/0000-0003-1872-3904 (pending confirmation)

Rodrigo, Marianito R. Dr.

Faculty Member

Overview

Research Areas

Available as Research Supervisor

Publications

Selected Publications

Journal Article

Chapter

Conference Paper

Supervision

Available as Research Supervisor

Potential Supervision Topics

Advisees

Graduate Advising Relationship

Identity

Orcid Id

Overview

Research Areas

Publications

Selected Publications

Journal Article

Chapter

Conference Paper

Supervision

Potential Supervision Topics

Advisees

Graduate Advising Relationship

Identity

Orcid Id

Visualisations

Research Areas