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Biography

Dr. Mendoza received his doctorate in Industrial Engineering and Management Sciences from Northwestern University. He also holds a Master’s degree in mathematical finance from the University of Toronto and in industrial engineering and management sciences from Northwestern University. Previously, he was a financial engineer at Algorithmics Inc. and a quantitative researcher at Citadel Group. Dr. Mendoza’s industry experience includes the areas of market and credit risk, asset management and distributed computing. His research interests are on the application of analytical and computational methods for derivative security pricing based on spectral expansions and integral transforms. He has developed a credit-equity modeling framework based on time-changes of state dependent Markov processes with state dependent default hazard rates. He is currently working on the application of multidimensional time-changes to the modeling of default clusters and credit risk management.

Publications

Rafael Mendoza-Arriaga and Vadim Linetsky. 2014. Time-Changed CIR Default Intensities with Two-Sided Mean-Reverting Jumps. Annals of Applied Probability 24(2), 811-856.
Lingfei Li and Rafael Mendoza-Arriaga. 2013. Ornstein–Uhlenbeck Processes Time Changed with Additive Subordinators and Their Applications in Commodity Derivative Models. Operations Research Letters 41(5), 521-525.
Rafael Mendoza-Arriaga and V. Linetsky. 2011. Pricing Equity Default Swaps under the Jump to Default Extended CEV Model. Finance and Stochastics 15(3), 513-540.
V. Linetsky and Rafael Mendoza-Arriaga. 2010. The Constant Elasticity of Variance Model, in Encyclopedia of Quantitative Finance, R. Cont, ed. Wiley.
Rafael Mendoza-Arriaga, P. Carr, and V. Linetsky. 2010. Time Changed Markov Processes in Unified Credit-Equity Modeling. Mathematical Finance 20(4), 527-569.
V. Linetsky and Rafael Mendoza-Arriaga. 2010. Unified Credit-Equity Modeling. in Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings and Liquidity, T. Bielecki, D. Brigo, and F. Patras, eds. John Wiley & Sons.
Curt Burmeister, H. Mausser, and Rafael Mendoza-Arriaga. 2006. Techniques for Managing Tracking Error, in Portfolio Analysis Advanced Topics in Performance Measurement (Risk and Attribution), Timothy P. Ryan, ed. Risk Books.
Curt Burmeister, H. Mausser, and Rafael Mendoza-Arriaga. 2005. Actively Managing Tracking Error. Journal of Asset Management 5(6), 410-422.

Professional Awards

Nemhauser Doctoral Dissertation Prize, IEMS Northwestern University2009
Terminal Year Fellowship, McCormick School of Engineering, Northwestern University2008
Fellowship Minority MEAS Tuition Grant, IEMS Northwestern University2004
Fellowship MMF Algorithmics Inc., University of Toronto2001