1

TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING

Rafael Mendoza-Arriaga, Peter Carr, Vadim Linetsky
Journal:
Mathematical Finance
Year:
2010
Language:
english
File:
PDF, 415 KB
english, 2010
2

MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS

Mendoza-Arriaga, Rafael, Linetsky, Vadim
Journal:
Mathematical Finance
Year:
2014
Language:
english
File:
PDF, 969 KB
english, 2014
5

Pricing equity default swaps under the jump-to-default extended CEV model

Rafael Mendoza-Arriaga, Vadim Linetsky
Journal:
Finance and Stochastics
Year:
2011
Language:
english
File:
PDF, 983 KB
english, 2011
7

Additive subordination and its applications in finance

Li, Jing, Li, Lingfei, Mendoza-Arriaga, Rafael
Journal:
Finance and Stochastics
Year:
2016
Language:
english
File:
PDF, 2.22 MB
english, 2016
10

Analytical representations for the basic affine jump diffusion

Li, Lingfei, Mendoza-Arriaga, Rafael, Mitchell, Daniel
Journal:
Operations Research Letters
Year:
2016
Language:
english
File:
PDF, 1.56 MB
english, 2016
12

Modelling Electricity Prices: A Time Change Approach

Li, Lingfei, Mendoza-Arriaga, Rafael, Mo, Zhiyu, Mitchell, Daniel
Journal:
SSRN Electronic Journal
Year:
2015
Language:
english
File:
PDF, 595 KB
english, 2015
13

Equivalent measure changes for subordinate diffusions

Li, Lingfei, Mendoza-Arriaga, Rafael
Journal:
Stochastic Models
Year:
2019
Language:
english
File:
PDF, 2.39 MB
english, 2019
15

Analytical Representations for the Basic Affine Jump Diffusion

Li, Lingfei, Mendoza-Arriaga, Rafael, Mitchell, Daniel
Journal:
SSRN Electronic Journal
Year:
2015
Language:
english
File:
PDF, 475 KB
english, 2015
17

Modelling electricity prices: a time change approach

Li, Lingfei, Mendoza-Arriaga, Rafael, Mo, Zhiyu, Mitchell, Daniel
Journal:
Quantitative Finance
Year:
2016
Language:
english
File:
PDF, 1.94 MB
english, 2016