Rafael Mendoza-Arriaga

zbMath Openmendoza-arriaga.rafaelMaRDI QIDQ309161

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Analysis of impact of Covid-19 pandemic on financial markets Infosys Science Foundation Series	2022-03-02	Paper
Modelling electricity prices: a time change approach Quantitative Finance	2021-07-16	Paper
Modeling Dependent Outages of Electric Power Plants Operations Research	2020-11-04	Paper
Equivalent measure changes for subordinate diffusions Stochastic Models	2019-11-18	Paper
Marshall-Olkin distributions, subordinators, efficient simulation, and applications to credit risk Advances in Applied Probability	2019-09-16	Paper
Analytical representations for the basic affine jump diffusion Operations Research Letters	2018-09-28	Paper
Multivariate subordination of Markov processes with financial applications Mathematical Finance	2016-11-01	Paper
Additive subordination and its applications in finance Finance and Stochastics	2016-09-07	Paper
Variance swaps on defaultable assets and market implied time-changes SIAM Journal on Financial Mathematics	2016-06-15	Paper
Pricing equity default swaps under the jump-to-default extended CEV model Finance and Stochastics	2014-12-17	Paper
Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models Operations Research Letters	2014-05-15	Paper
Time-changed CIR default intensities with two-sided mean-reverting jumps The Annals of Applied Probability	2014-05-05	Paper
Modeling and forecasting mortality rates Insurance Mathematics \& Economics	2014-04-03	Paper
Time-changed Markov processes in unified credit-equity modeling Mathematical Finance	2010-10-15	Paper

Research outcomes over time

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