Rafael Mendoza-Arriaga, Ph.D.
Affiliations: | 2009 | Industrial Engineering and Management Sciences | Northwestern University, Evanston, IL |
Area:
Operations Research, Industrial EngineeringGoogle:
"Rafael Mendoza-Arriaga"Parents
Sign in to add mentor| Vadim Linetsky | grad student | 2009 | Northwestern | |
| (Unified credit-equity modeling.) | ||||
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Publications
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| Li L, Mendoza-Arriaga R. (2019) Equivalent Measure Changes for Subordinate Diffusions Stochastic Models. 35: 357-390 |
| Sun Y, Mendoza-Arriaga R, Linetsky V. (2017) Marshall-Olkin Distributions, Subordinators, Efficient Simulation, and Applications to Credit Risk Advances in Applied Probability. 49: 481-514 |
| Lorig M, Lozano-Carbassé O, Mendoza-Arriaga R. (2016) Variance Swaps on Defaultable Assets and Market Implied Time-Changes Siam Journal On Financial Mathematics. 7: 273-307 |
| Mendoza-Arriaga R, Linetsky V. (2016) Multivariate Subordination of Markov Processes with Financial Applications Mathematical Finance. 26: 699-747 |
| Li L, Mendoza-Arriaga R, Mo Z, et al. (2016) Modelling electricity prices: a time change approach Quantitative Finance. 1-21 |
| Li L, Mendoza-Arriaga R, Mitchell D. (2016) Analytical representations for the basic affine jump diffusion Operations Research Letters. 44: 121-128 |
| Li J, Li L, Mendoza-Arriaga R. (2016) Additive subordination and its applications in finance Finance and Stochastics. 20: 589-634 |
| Mendoza-Arriaga R, Linetsky V. (2014) Time-changed CIR default intensities with two-sided mean-reverting jumps Annals of Applied Probability. 24: 811-856 |
| Li L, Mendoza-Arriaga R. (2013) Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models Operations Research Letters. 41: 521-525 |
| Mitchell D, Brockett P, Mendoza-Arriaga R, et al. (2013) Modeling and forecasting mortality rates Insurance: Mathematics and Economics. 52: 275-285 |