Rafael Mendoza-Arriaga

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

CBA 5.202

Austin, TX 78712

United States

http://rafaelmendoza.org

SCHOLARLY PAPERS

15

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1,918

SSRN CITATIONS
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Top 12,707

in Total Papers Citations

15

CROSSREF CITATIONS

80

Scholarly Papers (15)

1.

Marshall-Olkin Distributions, Subordinators, Efficient Simulation, and Applications to Credit Risk

Number of pages: 31 Posted: 03 Nov 2010 Last Revised: 04 Dec 2016
Yunpeng Sun, Rafael Mendoza-Arriaga and Vadim Linetsky
Northwestern University - Department of Industrial Engineering and Management Sciences, University of Texas at Austin - Department of Information, Risk and Operations Management and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 431 (83,337)
Citation 5

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Marshall-Olkin multivariate exponential distribution, Levy process, subordinator, additive subordinator, simulation, dependent lifetimes, failure, default, reliability, credit risk

2.

Time Changed Markov Processes in Unified Credit-Equity Modeling

FDIC Center for Financial Research Working Paper No. 2008-03
Number of pages: 59 Posted: 28 Mar 2008
Peter Carr, Vadim Linetsky and Rafael Mendoza-Arriaga
New York University Finance and Risk Engineering, Northwestern University - Department of Industrial Engineering and Management Sciences and University of Texas at Austin - Department of Information, Risk and Operations Management
Downloads 427 (84,274)
Citation 1

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3.

Pricing Equity Default Swaps under the Jump to Default Extended CEV Model

Finance Stochastics, Vol. 15, No. 3, 513-540
Number of pages: 23 Posted: 18 May 2009 Last Revised: 24 Jul 2014
Vadim Linetsky and Rafael Mendoza-Arriaga
Northwestern University - Department of Industrial Engineering and Management Sciences and University of Texas at Austin - Department of Information, Risk and Operations Management
Downloads 273 (138,168)
Citation 5

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Multivariate Subordination of Markov Processes with Financial Applications

Mathematical Finance (Online First), Forthcoming
Number of pages: 42 Posted: 03 Nov 2010 Last Revised: 24 Jul 2014
Rafael Mendoza-Arriaga and Vadim Linetsky
University of Texas at Austin - Department of Information, Risk and Operations Management and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 185 (200,114)
Citation 4

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JDCEV Model, Multiparameter Semigroups, Multivariate Subordination, Subordinators, Time-Inhomogeneous, Multiple Commodities, Additive Subordinators

Multivariate Subordination of Markov Processes with Financial Applications

Mathematical Finance, Vol. 26, Issue 4, pp. 699-747, 2016
Number of pages: 49 Posted: 20 Sep 2016
Rafael Mendoza-Arriaga and Vadim Linetsky
University of Texas at Austin - Department of Information, Risk and Operations Management and Northwestern University - Department of Industrial Engineering and Management Sciences
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Citation 1
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 JDCEV model, multiparameter semigroups, multivariate subordination, subordinators, time‐inhomogeneous, multiple commodities, additive subordinators, stochastic volatility

5.

Time-Changed CIR Default Intensities with Two-Sided Mean-Reverting Jumps

The Annals of Applied Probability, 24(2), 811-856
Number of pages: 31 Posted: 09 Sep 2012 Last Revised: 24 Jul 2014
Rafael Mendoza-Arriaga and Vadim Linetsky
University of Texas at Austin - Department of Information, Risk and Operations Management and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 122 (280,835)
Citation 2

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SubCIR, Subordinate CIR, semimartingale, subordination, Feller, semigroups, default intensity, bivariate process, default, credit risk

6.

Modeling Dependent Outages of Electricity Power Plants

Number of pages: 47 Posted: 02 Nov 2017
Vishwakant Malladi, Rafael Mendoza-Arriaga and Stathis Tompaidis
University of Texas at Austin - Department of Information, Risk and Operations Management, University of Texas at Austin - Department of Information, Risk and Operations Management and University of Texas at Austin - McCombs School of Business
Downloads 101 (320,121)
Citation 1

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Markov Chain, Dependent transitions, Subordination, Reliability

7.

Additive Subordination and Its Applications in Finance

Number of pages: 36 Posted: 25 Jul 2014 Last Revised: 24 Jun 2015
Jing Li, Lingfei Li and Rafael Mendoza-Arriaga
Independent, The Chinese University of Hong Kong and University of Texas at Austin - Department of Information, Risk and Operations Management
Downloads 93 (337,482)
Citation 4

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time dependency, time change, Bochner's subordination, additive subordination,diffusions, jumps, derivative pricing, spread options

8.

Analytical Representations for the Basic Affine Jump Diffusion

Number of pages: 14 Posted: 17 Jun 2015
Lingfei Li, Rafael Mendoza-Arriaga and Daniel Mitchell
The Chinese University of Hong Kong, University of Texas at Austin - Department of Information, Risk and Operations Management and Singapore University of Technology and Design (SUTD)
Downloads 80 (369,959)
Citation 3

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Basic Affine Jump Diffusion, subordination, transition density

9.

Modelling Electricity Prices: A Time Change Approach

Number of pages: 35 Posted: 16 Jun 2015
Lingfei Li, Rafael Mendoza-Arriaga, Zhiyu Mo and Daniel Mitchell
The Chinese University of Hong Kong, University of Texas at Austin - Department of Information, Risk and Operations Management, The Chinese University of Hong Kong (CUHK) and Singapore University of Technology and Design (SUTD)
Downloads 76 (380,969)
Citation 2

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electricity spot prices, electricity futures and futures options, spikes, mean-reversion, seasonality, stochastic time change, Laplace transform

10.

Variance Swaps on Defaultable Assets and Market Implied Time-Changes

Number of pages: 36 Posted: 10 Sep 2012 Last Revised: 20 Jun 2015
Matthew Lorig, Oriol Lozano-Carbasse and Rafael Mendoza-Arriaga
University of Washington - Applied Mathematics, Princeton University - Bendheim Center for Finance and University of Texas at Austin - Department of Information, Risk and Operations Management
Downloads 60 (431,694)
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11.

Equivalent Measure Changes for Subordinate Diffusions

Number of pages: 22 Posted: 22 Jul 2015 Last Revised: 05 Aug 2015
Lingfei Li and Rafael Mendoza-Arriaga
The Chinese University of Hong Kong and University of Texas at Austin - Department of Information, Risk and Operations Management
Downloads 45 (489,794)
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12.

(Online Appendix) Marshall-Olkin Distributions, Subordinators, Efficient Simulation, and Applications to Credit Risk

Number of pages: 4 Posted: 07 Dec 2016
Yunpeng Sun, Rafael Mendoza-Arriaga and Vadim Linetsky
Northwestern University - Department of Industrial Engineering and Management Sciences, University of Texas at Austin - Department of Information, Risk and Operations Management and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 22 (614,709)
Citation 4

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Marshall-Olkin multivariate exponential distribution, Levy process, subordinator, additive subordinator, simulation, dependent lifetimes, failure, default, reliability, credit risk

13.

Time-Changed Markov Processes in Unified Credit-Equity Modeling

Mathematical Finance, Vol. 20, Issue 4, pp. 527-569, October 2010
Number of pages: 43 Posted: 27 Sep 2010
Rafael Mendoza-Arriaga, Peter Carr and Vadim Linetsky
University of Texas at Austin - Department of Information, Risk and Operations Management, New York University Finance and Risk Engineering and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 3 (756,868)
Citation 3
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14.

Ornstein-Uhlenbeck Processes Time Changed with Additive Subordinators and Their Applications in Commodity Derivative Models

Operations Research Letters, 41(5), 521-525
Posted: 25 Jul 2014
Rafael Mendoza-Arriaga and Lingfei Li
University of Texas at Austin - Department of Information, Risk and Operations Management and The Chinese University of Hong Kong

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Commodity derivatives, Additive processes, Time change Ornstein-Uhlenbeck, Time-dependent and mean-reverting jumps, Eigenfunction expansions

15.

Modeling and Forecasting Mortality Rates

Insurance: Mathematics and Economics, Vol. 52, No. 2, 2013
Posted: 02 Dec 2011 Last Revised: 08 Aug 2013
University of Texas at Austin - Red McCombs School of Business, University of Texas at Austin - Department of Information, Risk and Operations Management, University of Texas at Austin - Department of Information, Risk and Operations Management and University of Texas at Austin - Red McCombs School of Business

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Mortality Rates, Statistics, Time Series, Mortality Forecasting