Rafael Mendoza-Arriaga

According to our database, Rafael Mendoza-Arriaga authored at least 7 papers between 2011 and 2020.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2020

Modeling Dependent Outages of Electric Power Plants.

Vishwakant Malladi, Rafael Mendoza-Arriaga, Stathis Tompaidis

Oper. Res., 2020

2016

Variance Swaps on Defaultable Assets and Market Implied Time-Changes.

Matthew Lorig, Oriol Lozano-Carbassé, Rafael Mendoza-Arriaga

SIAM J. Financial Math., 2016

Analytical representations for the basic affine jump diffusion.

Lingfei Li, Rafael Mendoza-Arriaga, Daniel Mitchell

Oper. Res. Lett., 2016

Additive subordination and its applications in finance.

Jing Li, Lingfei Li, Rafael Mendoza-Arriaga

Finance Stochastics, 2016

2013

Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models.

Lingfei Li, Rafael Mendoza-Arriaga

Oper. Res. Lett., 2013

2011

Pricing equity default swaps under the jump-to-default extended CEV model.

Rafael Mendoza-Arriaga, Vadim Linetsky

Finance Stochastics, 2011

Valuation of collateralized debt obligations in a multivariate subordinator model.

Yunpeng Sun, Rafael Mendoza-Arriaga, Vadim Linetsky

Proceedings of the Winter Simulation Conference 2011, 2011