Rafael Mendoza-Arriaga

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Equity default swaps (EDS) are hybrid credit-equity products that provide a bridge from credit default swaps (CDS) to equity derivatives with barriers. This paper develops an analytical solution to the EDS pricing problem under the Jump-to-Default Extended Constant Elasticity Variance Model (JDCEV) of Carr and Linetsky. Mathematically, we obtain an(More)
The present paper introduces a jump-diffusion extension of the classical diffusion default intensity model by means of subordination in the sense of Bochner. We start from the bi-variate process (X, D) of a diffusion state variable X driving default intensity and a default indicator process D and time change it with a Lévy subordinator T. We characterize(More)
Synopsis: I investigate firm level drivers of salesperson brand identification. I consider the influence that (1) the company's internal marketing programs and (2) the salesperson's manager, have on salesperson brand identification. Furthermore, I identify two important salesperson characteristics (i.e., salesperson susceptibility to normative influence and(More)
We characterize Ornstein-Uhlenbeck processes time changed with additive subordinators as time-inhomogeneous Markov semimartingales, based on which a new class of commodity derivative models is developed. Our models are tractable for pricing European, Bermudan and American futures options. Calibration examples show that they can be better alternatives than(More)
The paper develops valuation of multi-name credit derivatives, such as collateralized debt obligations (CDOs), based on a novel multivariate subordinator model of dependent default (failure) times. The model can account for high degree of dependence among defaults of multiple firms in a credit portfolio and, in particular, exhibits positive probabilities of(More)
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