Daniel Mitchell

University of Texas at Austin - Red McCombs School of Business

Austin, TX 78712

United States

SCHOLARLY PAPERS

4

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Scholarly Papers (4)

1.

Optimal VWAP Tracking

Number of pages: 66 Posted: 01 Oct 2013
University of Texas at Austin - Red McCombs School of Business, University of Canterbury - Department of Economics and Finance and University of Texas at Austin - McCombs School of Business
Downloads 250 (63,831)

Abstract:

Volume Weighted Average Price, Algorithmic Trading, Trading Volume, Trading Costs, Dynamic Programming

Boundary Evolution Equations for American Options

McCombs Research Paper Series No. IROM-02-12
Number of pages: 37 Posted: 02 Dec 2011 Last Revised: 12 Jan 2012
Daniel Mitchell, Jonathan Goodman and Kumar Muthuraman
University of Texas at Austin - Red McCombs School of Business, New York University (NYU) - Courant Institute of Mathematical Sciences and University of Texas at Austin - McCombs School of Business
Downloads 143 (171,814)

Abstract:

Optimal Stopping, American Options, Stochastic Volatility, Early Exercise Boundary, Free-Boundary Problem, Dynamic Grid

Boundary Evolution Equations for American Options

Mathematical Finance, Vol. 24, Issue 3, pp. 505-532, 2014
Number of pages: 28 Posted: 11 Jun 2014
Daniel Mitchell, Jonathan Goodman and Kumar Muthuraman
University of Texas at Austin - Red McCombs School of Business, New York University (NYU) - Courant Institute of Mathematical Sciences and University of Texas at Austin - McCombs School of Business
Downloads 1 (580,002)
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Abstract:

optimal stopping, American options, stochastic volatility, early exercise boundary, free‚Äźboundary problem, dynamic grid

3.

Impulse Control of Interest Rates

Number of pages: 45 Posted: 06 Feb 2013 Last Revised: 01 Oct 2013
Daniel Mitchell, Haolin Feng and Kumar Muthuraman
University of Texas at Austin - Red McCombs School of Business, Lingnan (University) College, Sun Yat-sen University and University of Texas at Austin - McCombs School of Business
Downloads 104 (172,451)

Abstract:

4.

Modeling and Forecasting Mortality Rates

Insurance: Mathematics and Economics, Vol. 52, No. 2, 2013
Posted: 02 Dec 2011 Last Revised: 08 Aug 2013
University of Texas at Austin - Red McCombs School of Business, University of Texas at Austin - Department of Information, Risk and Operations Management, University of Texas at Austin - Department of Information, Risk and Operations Management and University of Texas at Austin - McCombs School of Business

Abstract:

Mortality Rates, Statistics, Time Series, Mortality Forecasting