Rafael Mendoza-Arriaga

Available identifiers

Publication	Date of Publication	Type
Analysis of Impact of Covid-19 Pandemic on Financial Markets	2022-03-02	Paper
Modelling electricity prices: a time change approach	2021-07-16	Paper
Modeling Dependent Outages of Electric Power Plants	2020-11-04	Paper
Equivalent measure changes for subordinate diffusions	2019-11-18	Paper
Marshall–Olkin distributions, subordinators, efficient simulation, and applications to credit risk	2019-09-16	Paper
Analytical representations for the basic affine jump diffusion	2018-09-28	Paper
Multivariate subordination of Markov processes with financial applications	2016-11-01	Paper
Additive subordination and its applications in finance	2016-09-07	Paper
Variance swaps on defaultable assets and market implied time-changes	2016-06-15	Paper
Pricing equity default swaps under the jump-to-default extended CEV model	2014-12-17	Paper
Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models	2014-05-15	Paper
Time-changed CIR default intensities with two-sided mean-reverting jumps	2014-05-05	Paper
Modeling and forecasting mortality rates	2014-04-03	Paper
TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING	2010-10-15	Paper

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