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.