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From McCombs Today

Assistant IROM Professor Rafael Mendoza-Arriaga received the 2009 Nemhauser Doctoral Dissertation Prize for his paper “Unified Credit-Equity Modeling.” The award is given to the best doctoral dissertation in Industrial Engineering and Management Sciences (IEMS) at Northwestern University.

“Being recognized with an award named after Professor Nemhauser is a great honor that carries with it the great responsibility to produce excellent research during the academic career that I have just started at McCombs,” says Mendoza-Arriaga, who joined the McCombs faculty this fall. ”I hope to contribute much more to the quantitative finance group in the near future.

“I feel very grateful for the support received from everyone in the IEMS program: faculty, staff and classmates. In particular, I feel very in debt to my advisor Vadim Linetsky, from whom I learnt so much about quantitative finance.”

His thesis proposes a modeling framework that allows to consistently price and hedge the entire book of credit as well as equity derivatives, in addition to the ability to incorporate a rich assortment of empirically relevant features of these markets.