Rafael Mendoza-Arriaga

Publication Activity (10 Years)

Years Active: 2011-2020
Publications (10 Years): 4

Top Topics

Computational Intelligence

Electrical Power

Investment Strategies

Financial Markets

Top Venues

Oper. Res. Lett.

Finance Stochastics

SIAM J. Financial Math.

Publications

Vishwakant Malladi, Rafael Mendoza-Arriaga, Stathis Tompaidis
Modeling Dependent Outages of Electric Power Plants. Oper. Res. 68 (1) (2020)
Matthew Lorig, Oriol Lozano-Carbassé, Rafael Mendoza-Arriaga
Variance Swaps on Defaultable Assets and Market Implied Time-Changes. SIAM J. Financial Math. 7 (1) (2016)
Jing Li, Lingfei Li, Rafael Mendoza-Arriaga
Additive subordination and its applications in finance. Finance Stochastics 20 (3) (2016)
Lingfei Li, Rafael Mendoza-Arriaga, Daniel Mitchell
Analytical representations for the basic affine jump diffusion. Oper. Res. Lett. 44 (1) (2016)
Lingfei Li, Rafael Mendoza-Arriaga
Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models. Oper. Res. Lett. 41 (5) (2013)
Yunpeng Sun, Rafael Mendoza-Arriaga, Vadim Linetsky
Valuation of collateralized debt obligations in a multivariate subordinator model. WSC (2011)
Rafael Mendoza-Arriaga, Vadim Linetsky
Pricing equity default swaps under the jump-to-default extended CEV model. Finance Stochastics 15 (3) (2011)