Valuation of collateralized debt obligations in a multivariate subordinator model. - Yunpeng Sun; Rafael Mendoza-Arriaga; Vadim Linetsky (WSC, 2011)

Pricing equity default swaps under the jump-to-default extended CEV model. - Rafael Mendoza-Arriaga; Vadim Linetsky (Finance Stochastics, 2011)

Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models. - Lingfei Li; Rafael Mendoza-Arriaga (Oper. Res. Lett., 2013)

Additive subordination and its applications in finance. - Jing Li; Lingfei Li; Rafael Mendoza-Arriaga (Finance Stochastics, 2016)

Analytical representations for the basic affine jump diffusion. - Lingfei Li; Rafael Mendoza-Arriaga; Daniel Mitchell (Oper. Res. Lett., 2016)

Variance Swaps on Defaultable Assets and Market Implied Time-Changes. - Matthew Lorig; Oriol Lozano-Carbassé; Rafael Mendoza-Arriaga (SIAM J. Financial Math., 2016)

Modeling Dependent Outages of Electric Power Plants. - Vishwakant Malladi; Rafael Mendoza-Arriaga; Stathis Tompaidis (Oper. Res., 2020)