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Mendoza-Arriaga, Rafael


 SSRN Author Rank: 23,752 by Downloads
 

University of Texas at Austin - Department of Information, Risk and Operations Management


 CBA 5.202
 Austin, TX 78712
 United States
 email address

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. Mendoza-Arriaga, Rafael's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
1,075
Total
Citations
26
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Time Changed Markov Processes in Unified Credit-Equity Modeling | Show Abstract | Download |
FDIC Center for Financial Research Working Paper No. 2008-03
Working Paper Series
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
Linetsky, Vadim
Northwestern University - Department of Industrial Engineering and Management Sciences
Mendoza-Arriaga, Rafael
University of Texas at Austin - Department of Information, Risk and Operations Management
Posted:
28 Mar 08
381
(44,122)
14

2.  
Sun, Yunpeng
Northwestern University - Department of Industrial Engineering and Management Sciences
Mendoza-Arriaga, Rafael
University of Texas at Austin - Department of Information, Risk and Operations Management
Linetsky, Vadim
Northwestern University - Department of Industrial Engineering and Management Sciences
Posted:
03 Nov 10
Last Revised:
24 Jul 14
258
(69,382)
 

3.  
Pricing Equity Default Swaps under the Jump to Default Extended CEV Model | Show Abstract | Download |
Finance Stochastics, Vol. 15, No. 3, 513-540
Accepted Paper Series
Linetsky, Vadim
Northwestern University - Department of Industrial Engineering and Management Sciences
Mendoza-Arriaga, Rafael
University of Texas at Austin - Department of Information, Risk and Operations Management
Posted:
18 May 09
Last Revised:
24 Jul 14
188
(95,894)
2

4.  
Multivariate Subordination of Markov Processes with Financial Applications | Show Abstract | Download |
Mathematical Finance (Online First), Forthcoming
Accepted Paper Series
Mendoza-Arriaga, Rafael
University of Texas at Austin - Department of Information, Risk and Operations Management
Linetsky, Vadim
Northwestern University - Department of Industrial Engineering and Management Sciences
Posted:
03 Nov 10
Last Revised:
24 Jul 14
125
(136,952)
 

5.  
Time-Changed CIR Default Intensities with Two-Sided Mean-Reverting Jumps | Show Abstract | Download |
The Annals of Applied Probability, 24(2), 811-856
Accepted Paper Series
Mendoza-Arriaga, Rafael
University of Texas at Austin - Department of Information, Risk and Operations Management
Linetsky, Vadim
Northwestern University - Department of Industrial Engineering and Management Sciences
Posted:
09 Sep 12
Last Revised:
24 Jul 14
89
(174,426)
1

6.  
Lorig, Matthew
Applied Mathematics, University of Washington
Lozano-Carbasse, Oriol
Princeton University - Bendheim Center for Finance
Mendoza-Arriaga, Rafael
University of Texas at Austin - Department of Information, Risk and Operations Management
Posted:
10 Sep 12
Last Revised:
02 Jul 13
31
(286,101)
 

7.  
Time-Changed Markov Processes in Unified Credit-Equity Modeling | Show Abstract | Download |
Mathematical Finance, Vol. 20, Issue 4, pp. 527-569, October 2010
Accepted Paper Series
Mendoza-Arriaga, Rafael
University of Texas at Austin - Department of Information, Risk and Operations Management
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences
Linetsky, Vadim
Northwestern University - Department of Industrial Engineering and Management Sciences
Posted:
27 Sep 10
3
(399,592)
9

8.  
Li, Jing
Independent
Li, Lingfei
The Chinese University of Hong Kong
Mendoza-Arriaga, Rafael
University of Texas at Austin - Department of Information, Risk and Operations Management
Posted:
25 Jul 14
 

9.  
Mendoza-Arriaga, Rafael
University of Texas at Austin - Department of Information, Risk and Operations Management
Li, Lingfei
The Chinese University of Hong Kong
Posted:
25 Jul 14
 

10.  
Modeling and Forecasting Mortality Rates | Show Abstract |
Insurance: Mathematics and Economics, Vol. 52, No. 2, 2013
Accepted Paper Series
Mitchell, Daniel
University of Texas at Austin - Red McCombs School of Business
Brockett, Patrick L.
University of Texas at Austin - Department of Information, Risk and Operations Management
Mendoza-Arriaga, Rafael
University of Texas at Austin - Department of Information, Risk and Operations Management
Muthuraman, Kumar
University of Texas at Austin - McCombs School of Business
Posted:
02 Dec 11
Last Revised:
08 Aug 13
 


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