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Rafael Mendoza Arriaga
Rafael Mendoza Arriaga
SS&C Algorithmics Director of Financial Risk Quantitative Research
Verificeret mail på sscinc.com - Startside
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Modeling and forecasting mortality rates
D Mitchell, P Brockett, R Mendoza-Arriaga, K Muthuraman
Insurance: Mathematics and economics 52 (2), 275-285, 2013
1462013
Time‐Changed Markov Processes in Unified Credit‐Equity Modeling
R Mendoza‐Arriaga, P Carr, V Linetsky
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2010
1452010
Time-changed CIR default intensities with two-sided mean-reverting jumps
R Mendoza-Arriaga, V Linetsky
522014
Nonlinear stability of discontinuous Galerkin methods for delay differential equations
D Li, C Zhang
Applied Mathematics Letters 23 (4), 457-461, 2010
47*2010
Pricing equity default swaps under the jump-to-default extended CEV model
R Mendoza-Arriaga, V Linetsky
Finance and Stochastics 15, 513-540, 2011
422011
Multivariate subordination of Markov processes with financial applications
R Mendoza‐Arriaga, V Linetsky
Mathematical Finance 26 (4), 699-747, 2016
342016
Additive subordination and its applications in finance
J Li, L Li, R Mendoza-Arriaga
Finance and Stochastics 20 (3), 589-634, 2016
332016
Modelling electricity prices: a time change approach
L Li, R Mendoza-Arriaga, Z Mo, D Mitchell
Quantitative Finance 16 (7), 1089-1109, 2016
272016
Ornstein–Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models
L Li, R Mendoza-Arriaga
Operations Research Letters 41 (5), 521-525, 2013
162013
Marshall–Olkin distributions, subordinators, efficient simulation, and applications to credit risk
Y Sun, R Mendoza-Arriaga, V Linetsky
Advances in Applied Probability 49 (2), 481-514, 2017
142017
Variance swaps on defaultable assets and market implied time-changes
M Lorig, O Lozano-Carbasse, R Mendoza-Arriaga
SIAM Journal on Financial Mathematics 7 (1), 273-307, 2016
122016
Constructing Markov processes with dependent jumps by multivariate subordination: applications to multi-name credit-equity modeling
R Mendoza-Arriaga, V Linetsky
preprint, 2011
112011
Analytical representations for the basic affine jump diffusion
L Li, R Mendoza-Arriaga, D Mitchell
Operations Research Letters 44 (1), 121-128, 2016
102016
Marshall–Olkin multivariate exponential distributions, multidimensional Lévy subordinators, efficient simulation, and applications to credit risk
Y Sun, R Mendoza-Arriaga, V Linetsky
working paper, 2012
72012
Equivalent measure changes for subordinate diffusions
L Li, R Mendoza-Arriaga
Available at SSRN 2633817, 2015
62015
Marshall-Olkin Distributions, Subordinators, Efficient Simulation, and Applications to Credit Risk
Y Sun, R Mendoza-Arriaga, V Linetsky
Available at SSRN 1702087, 2016
42016
Unified credit-equity modeling
V Linetsky, R Mendoza-Arriaga
Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS …, 2012
42012
Analysis of Impact of Covid-19 Pandemic on Financial Markets
C Burmeister, A Kreinin, R Mendoza-Arriaga, H Rasouli, O Romanko
Analysis of Infectious Disease Problems (Covid-19) and Their Global Impact …, 2021
32021
Valuation of collateralized debt obligations in a multivariate subordinator model
Y Sun, R Mendoza-Arriaga, V Linetsky
Proceedings of the 2011 Winter Simulation Conference (WSC), 3742-3754, 2011
32011
Modeling dependent outages of electric power plants
V Malladi, R Mendoza-Arriaga, S Tompaidis
Operations Research 68 (1), 1-15, 2020
22020
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Artikler 1–20