Curriculum Vitae Rafael Mendoza-Arriaga
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1 Curriculum Vitae Rafael Mendoza-Arriaga Information, Risk, & Operations Management (IROM) McCombs School of Business The University of Texas mobile: (512) University Station phone: (512) CBA 5.202, B Austin, TX mccombs.utexas.edu Education Ph.D. Industrial Engineering & Management Sciences. Northwestern University, M.Sc. Industrial Engineering & Management Sciences. Northwestern University, M.Sc. Mathematical Finance. University of Toronto, B.Sc. Engineering Physics. Instituto Tecnológico y de Estudios Superiores de Monterrey, Ph.D. Thesis Title: Unified Credit-Equity Modeling Supervisor: Vadim Linetsky Description: This dissertation research consolidates the credit and equity risk into a unified class of models called hybrid credit-equity models. I develop a rich class of analytical tractable credit-equity models that include jumps, stochastic volatility, and the possibility of bankruptcy. Area of Specialization Financial Mathematics, Stochastic Processes, Quantitative Finance, Risk Management, Derivative Pricing: Credit and Credit-Equity models, Commodity and Energy Markets. Employment Academic Positions Assistant Professor in Risk Analysis and Decision Making, McCombs School of Business, University of Texas at Austin, 2009-present Industrial Experience Citadel Investment Group L.L.C. Quantitative Researcher, Summer Algorithmics Inc. Financial Engineer, (México), (Canada), Summer 2005 (U.S.). Quantitative Researcher, Spring 2002 (U.S.).
2 Honors, Awards McCombs Research Excellence Fund, McCombs School of Business, Society of Teaching Excellence of the School of Undergraduate Studies and the Academy of Distinguished Teachers at the University of Texas at Austin, George L. Nemhauser Dissertation Prize, best dissertation in two consecutive years, IEMS Northwestern University, Terminal Year Fellowship, McCormick School of Engineering, Northwestern University, Fellowship Minority MEAS Tuition Grant, IEMS Northwestern University, Fellowship UofT Masters of Mathematical Finance, Algorithmics Inc., Research Refereed Journal Publications Mendoza-Arriaga, R. and V. Linetsky (2013). Time-Changed CIR Default Intensities with Two-Sided Mean-Reverting Jumps. To appear: Annals of Applied Probability. Mendoza-Arriaga, R. and V. Linetsky (2013). Multivariate Subordination of Markov Processes with Financial Applications. To appear Mathematical Finance. Mitchell, D., P. L. Brockett, R. Mendoza-Arriaga, and K. Muthuraman (2013). Modeling and Forecasting Mortality Rates. Insurance: Mathematics and Economics 52(2), Li, L. and R. Mendoza-Arriaga (2013). Ornstein-Uhlenbeck Processes Time Changed with Additive Subordinators and Their Applications in Commodity Derivative Models. Operations Research Letters 41(5), Mendoza-Arriaga, R. and V. Linetsky (2011). Pricing Equity Default Swaps under the Jump to Default Extended CEV Model. Finance and Stochastics 15(3), Mendoza-Arriaga, R., P. Carr, and V. Linetsky (2010). Time Changed Markov Processes in Credit- Equity Modeling. Mathematical Finance 20(4), Burmeister, C., H. Mausser, and R. Mendoza (2005). Actively Managing Tracking Error. Journal of Asset Management 5(6), Book Chapters and Other Publications Linetsky, V. and R. Mendoza-Arriaga (2011). Unified Credit-Equity Modeling. In T. Bielecki, D. Brigo, and F. Patras (Eds.), Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings and Liquidity. New Jersey: Bloomberg Press. Sun, Y., R. Mendoza-Arriaga, and V. Linetsky (2011). Valuation of Collaterized Debt Obligations (CDOs) in a Multivariate Subordinator Model. In S. Jain, R. R. Creasey, J. Himmelspach, K. P. White, and M. Fu (Eds.), Proceedings of the 2011 Winter Simulation Conference. Linetsky, V. and R. Mendoza (2010). The Constant Elasticity of Variance Model. In R. Cont (Ed.), Encyclopedia of Quantitative Finance. Chichester, West Sussex: Wiley. Burmeister, C., H. Mausser, and R. Mendoza (2006). Techniques for Managing Tracking Error. In T. P. Ryan (Ed.), Portfolio Analysis: Advanced Topics in Performance Measurement, Risk and Attribution. London: Risk Books.
3 Submitted for Publication Lorig, M., O. Lozano-Carbassé, and R. Mendoza-Arriaga (2013). Variance Swaps on Defaultable Assets and Market Implied Time-Changes. Submitted for publication. Sun, Y., R. Mendoza-Arriaga, and V. Linetsky (2013). Marshall-Olkin Distributions, Subordinators, Efficient Simulation, and Applications to Credit Risk. Submitted for publication. Working Papers Li, L. and R. Mendoza-Arriaga (2013). Working paper. On Additive Subordination with Financial Applications. Malladi, V., S. Tompaidis, and R. Mendoza-Arriaga (2013). Modeling the Electricity Supply Stack with Time-subordinated Processes. Working paper. Mendoza-Arriaga, R. (2013). On the Transition Density of the Jump-CIR Process with Applications to Finance and Subordination. Working paper.
4 Invited Seminars & Conferences 2014 Johns Hopkins University. Baltimore, MD. Department of Applied Mathematics and Statistics Seminar. Time-Dependent Modeling Via Additive Subordinators: Applications to Energy Markets Stanford University. Stanford, CA. The Fifth Western Conference in Mathematical Finance. Time- Dependent Modeling Via Additive Subordinators: Applications to Energy Markets INFORMS Minneapolis, MN. Time-dependent Modeling via Additive Subordinators 2012 UC Berkeley. Berkeley, CA. Workshop on Probability and Statistics in Finance. Positive Subordinate CIR Processes with Two-Sided Mean-Reverting Jumps Purdue University. West Lafayette, IN. 8th. International Purdue Symposium on Statistics: Quantitative Finance. Positive Subordinate CIR Processes with Two-Sided Mean-Reverting Jumps and Default Correlation and Clustering INFORMS Phoenix, AZ. Positive Subordinate CIR Processes with Two-Sided Mean-Reverting Jumps SIAM Conference on Financial Mathematics and Engineering. Minneapolis, MN. Positive Subordinate CIR Processes with Two-Sided Mean-Reverting Jumps 2011 Fields Institute. Toronto, Canada. Fields Quantitative Finance Seminar. Constructing Markov Processes with Dependent Jumps by Multivariate Subordination: Applications to Multi-Name Credit- Equity Modeling INFORMS Charlotte, NC. Positive Subordinate CIR Processes with Two-Sided Mean-Reverting Jumps INFORMS Charlotte, NC. Modeling Default Correlation and Clustering 2010 Fields Institute. Toronto, Canada. Industrial-Academic Forum on Credit-Hybrid Risk. Time Changed Texas Quantitative Finance Festival. Austin, TX. McCombs School of Business. Constructing Markov Processes with Dependent Jumps by Multivariate Subordination: Applications to Multi-Name Credit- Equity Modeling SMM/CAIMS/SIAM. Huatulco, Mexico. First North American Meeting on Industrial and Applied Mathematics. Modeling Default Correlation and Clustering SIAM Conference on Financial Mathematics and Engineering. San Francisco, CA. Constructing Markov Processes with Dependent Jumps by Multivariate Subordination: Applications to Multi-Name Credit- Equity Modeling NFORMS Austin, TX. Modeling Default Correlation and Clustering: A Time Change Approach SIAM Annual Meeting Pittsburg, PA. Modeling Default Correlation and Clustering Bachelier Finance Congress 2010 (Fields Institute). Toronto, Canada. Modeling Default Correlation and Clustering
5 2009 Princeton University. Princeton, NJ. Operations Research and Financial Engineering. Time Changed Columbia University. New York, NY. Industrial Engineering & Operations Research. Time Changed University of Illinois at Urbana-Champaign. Urbana, IL. Industrial and Enterprise Systems Engineering. Time Changed McCombs School of Business. Austin, TX. Time Changed Markov Processes in Unified Credit-Equity Modeling UCSB. The Third Western Conference in Mathematical Finance. Santa Barbara, CA. Modeling Default Correlation and Clustering: A Time Change Approach Universitat Pompeu Fabra. Barcelona, Spain. Economic and Business Sciences. Time Changed Laboratoire J.A. Dieudonné, CNRS et Université de Nice Sophia Antipolis. Nice, France. Recent Advancements in the Theory and Practice of Credit Derivatives Credit-Equity Modeling Universidad de Navarra. Pamplona, Spain. Facultad de CC. Económicas y Empresariales. Time Changed INFORMS San Diego, CA. Equity Default Swaps under the Jump to Default extended Constant Elasticity of Variance (JDCEV) INFORMS San Diego, CA. Modeling Correlated Defaults American Mathematical Society 2009: Financial Mathematics. Washington, DC. Time Changed Markov Processes in Unified Credit-Equity Modeling 2008 Rutgers University. Brunswick, NJ Mathematical Finance and Probability Seminars, Time Changed ITAM. Mexico City, Mexico. Seminario de Matemáticas, Time Changed Markov Processes in Unified Credit-Equity Modeling INFORMS Washington, DC. Time Changed INFORMS Washington, DC. Pricing EDS under the JDCEV Model Bachelier Finance Congress 2008 (Imperial College). London, UK. Time Changed Markov Processes in Unified Credit-Equity Modeling
6 Teaching Experience McCombs School of Business STA 371G. Statistics and Modeling. Fall STA 309H. Elementary Business Statistics Honors. Fall STA 309. Elementary Business Statistics. Spring Northwestern University IEMS 326. Economics & Finance for Engineers. Spring Service Ph.D. committee member at McCombs School of Business Yinglu Deng Daniel Mitchell McCombs service Society of Teaching Excellence (established by the School of Undergraduate Studies and the Academy of Distinguished Teachers in 2011). UT-Austin, 2011 Third Year Review Committee. McCombs School of Business, 2010 Plan II Sophomore Adviser, Students: Christopher Nguyen, and Thomas R. Lemens Ad hoc journal reviewer Operations Research Mathematical Finance SIAM Journal on Applied Mathematics SIAM Journal on Financial Mathematics International Journal of Theoretical and Applied Finance IIE Transactions Finance & Stochastics Conference Session Chair INFORMS Cluster: Quantitative Finance. Session: Analytical Methods in Quantitative Finance INFORMS Cluster: Quantitative Finance. Session: Portfolio Credit Risk INFORMS Cluster: Quantitative Finance. Session: Operator Methods in Finance (Co-chair with L. Feng from UIUC) Conference reviewer Bachelier Finance Congress Fields Institute. Toronto, Canada Seminar organizer Co-organizer of the RADM Brown Bag Series in Quantitative Finance, , Co-organizer of the Quantitative Finance Seminar,
7 Societies Society for Industrial and Applied Mathematics SIAM Activity Group in Financial Mathematics and Engineering Bachelier Finance Society INFORMS
CANAN ULU. Operations and Information Management Area, http://explore.georgetown.edu/people/cu50/ Washington, D.C. 20057.
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Adam J. Fleischhacker
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Stathis Tompaidis. Education B.Sc. Aristotle s University (Thessaloniki, Greece) 1989 Ph.D. University of Texas at Austin 1994
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David S. Lee. FIELDS OF INTEREST Labor Economics, Econometrics, Political Economy, Public Policy
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