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

14

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CITATIONS
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27

Scholarly Papers (14)

1.

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 (NYU) - Courant Institute of Mathematical Sciences, Northwestern University - Department of Industrial Engineering and Management Sciences and University of Texas at Austin - Department of Information, Risk and Operations Management
Downloads 388 (56,782)
Citation 12

Abstract:

2.

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 321 (61,344)

Abstract:

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

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 202 (103,316)
Citation 2

Abstract:

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 163 (144,793)

Abstract:

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
Downloads 0
Citation 1

Abstract:

 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 107 (190,623)
Citation 2

Abstract:

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

6.

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 42 (318,354)
Citation 1

Abstract:

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 20 (264,345)

Abstract:

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 19 (291,574)

Abstract:

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 18 (321,262)

Abstract:

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

10.

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 13 (396,001)

Abstract:

11.

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 (NYU) - Courant Institute of Mathematical Sciences and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 3 (508,790)
Citation 8

Abstract:

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 0 (490,947)

Abstract:

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

13.

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

Abstract:

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

14.

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 - McCombs School of Business

Abstract:

Mortality Rates, Statistics, Time Series, Mortality Forecasting