Kumar Muthuraman

University of Texas at Austin - Red McCombs School of Business

Professor

Austin, TX 78712

United States

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 10,198

SSRN RANKINGS

Top 10,198

in Total Papers Downloads

4,530

CITATIONS
Rank 19,187

SSRN RANKINGS

Top 19,187

in Total Papers Citations

35

Scholarly Papers (16)

1.

American Options Under Stochastic Volatility

McCombs Research Paper Series No. IROM-10-08
Number of pages: 30 Posted: 07 Dec 2007 Last Revised: 03 Oct 2012
Arun Chockalingam and Kumar Muthuraman
Eindhoven University of Technology (TUE) - Department of Industrial Engineering and Innovation Sciences and University of Texas at Austin - Red McCombs School of Business
Downloads 688 (36,326)

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American option, stochastic volatility, free boundary

2.

A Moving Boundary Approach to American Option Pricing

McCombs Research Paper Series No. IROM-06-08
Number of pages: 24 Posted: 22 Jun 2006 Last Revised: 23 Nov 2008
Kumar Muthuraman
University of Texas at Austin - Red McCombs School of Business
Downloads 651 (39,044)
Citation 1

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American Option Pricing, stochastic control, Hamilton-Jacobi-Bellman equation, free boundary

3.

Multi-Dimensional Portfolio Optimization with Proportional Transaction Costs

Number of pages: 32 Posted: 13 Jul 2004
Kumar Muthuraman and Sunil Kumar
University of Texas at Austin - Red McCombs School of Business and Independent
Downloads 516 (52,853)
Citation 1

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Portfolio optimization, transaction costs, stochastic control, Hamilton-Jacobi-Bellman equation, free boundary problem

Simulation Based Portfolio Optimization for Large Portfolios with Transaction Costs

Number of pages: 31 Posted: 05 Dec 2005
Kumar Muthuraman and Haining Zha
University of Texas at Austin - Red McCombs School of Business and Purdue University - School of Industrial Engineering
Downloads 489 (55,939)

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Portfolio optimization, simulation, transaction costs, stochastic control, Hamilton-Jacobi-Bellman equation, free boundary problem

Simulation-Based Portfolio Optimization for Large Portfolios with Transaction Costs

Mathematical Finance, Vol. 18, Issue 1, pp. 115-134, January 2008
Number of pages: 20 Posted: 19 Dec 2007
Kumar Muthuraman and Haining Zha
University of Texas at Austin - Red McCombs School of Business and Purdue University - School of Industrial Engineering
Downloads 13 (582,468)
Citation 1
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5.

Regulation of Natural Gas Distribution Using Policy Benchmarks

Number of pages: 32 Posted: 06 Dec 2005 Last Revised: 12 Apr 2015
Kumar Muthuraman, Tarik Aouam and Ronald Rardin
University of Texas at Austin - Red McCombs School of Business, Purdue University - College of Industrial Engineering and Purdue University - College of Industrial Engineering
Downloads 332 (89,641)

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Natural Gas, Regulation, Benchmarks, Linear incentive contracts, Policy Benchmarks

6.

Inventory Management with Stochastic Lead Times

Number of pages: 34 Posted: 11 Dec 2013
Kumar Muthuraman, Sridhar Seshadri and Qi Wu
University of Texas at Austin - Red McCombs School of Business, University of Illinois at Urbana Champaign and Case Western Reserve University, Weatherhead School of Management
Downloads 308 (97,338)
Citation 1

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Inventory control, lead times, stochastic lead times, free boundary

7.

The Impact of Demand Correlation on Replenishment Policies for Multi-Product Stochastic Inventory Systems with Joint-Replenishment Costs

McCombs Research Paper Series No. IROM-08-08
Number of pages: 30 Posted: 05 Jun 2007 Last Revised: 23 Nov 2008
Haolin Feng, Kumar Muthuraman and Vinayak Deshpande
Lingnan (University) College, Sun Yat-sen University, University of Texas at Austin - Red McCombs School of Business and Purdue University - Krannert School of Management
Downloads 295 (102,005)

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8.

A Computational Method for Stochastic Impulse Control Problems

McCombs Research Paper Series No. IROM-04-10
Number of pages: 32 Posted: 26 Sep 2010 Last Revised: 02 Oct 2010
Haolin Feng and Kumar Muthuraman
Lingnan (University) College, Sun Yat-sen University and University of Texas at Austin - Red McCombs School of Business
Downloads 279 (108,275)
Citation 1

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Impulse Control, Free boundary problems

9.

Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio

Number of pages: 35 Posted: 17 Jul 2017 Last Revised: 23 Oct 2018
Long Zhao, Deepayan Chakrabarti and Kumar Muthuraman
University of Texas at Austin, Red McCombs School of Business, Students, University of Texas at Austin - Department of Information, Risk and Operations Management and University of Texas at Austin - Red McCombs School of Business
Downloads 234 (129,818)
Citation 1

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portfolio choice, estimation error

10.

An Approximate Moving Boundary Method for American Options

McCombs Research Paper Series No. IROM-02-10
Number of pages: 16 Posted: 24 Jan 2010 Last Revised: 27 May 2010
Arun Chockalingam and Kumar Muthuraman
Eindhoven University of Technology (TUE) - Department of Industrial Engineering and Innovation Sciences and University of Texas at Austin - Red McCombs School of Business
Downloads 198 (152,260)
Citation 1

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American option pricing, free boundary, Moving Boundary method, approximate boundaries

11.

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 - Red McCombs School of Business
Downloads 165 (180,216)

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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 - Red McCombs School of Business
Downloads 153 (191,498)

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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 - Red McCombs School of Business
Downloads 1 (680,551)
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optimal stopping, American options, stochastic volatility, early exercise boundary, free‚Äźboundary problem, dynamic grid

13.

Unified Classical and Robust Optimization for Least Squares

Number of pages: 31 Posted: 05 Jun 2018 Last Revised: 03 Apr 2019
Long Zhao, Deepayan Chakrabarti and Kumar Muthuraman
University of Texas at Austin, Red McCombs School of Business, Students, University of Texas at Austin - Department of Information, Risk and Operations Management and University of Texas at Austin - Red McCombs School of Business
Downloads 132 (215,503)

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robust optimization, estimation error

14.

Hedge Fund Compensation: Incentive Fees and Performance Intervals

Number of pages: 31 Posted: 30 Jan 2019
Daniel Mitchell, Kumar Muthuraman and Sheridan Titman
University of Minnesota - Twin Cities - Department of Industrial and Systems Engineering, University of Texas at Austin - Red McCombs School of Business and University of Texas at Austin - Department of Finance
Downloads 46 (399,858)

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15.

Multidimensional Portfolio Optimization with Proportional Transaction Costs

Mathematical Finance, Vol. 16, No. 2, pp. 301-335, April 2006
Number of pages: 35 Posted: 08 May 2006
Kumar Muthuraman and Sunil Kumar
University of Texas at Austin - Red McCombs School of Business and Independent
Downloads 30 (464,700)
Citation 4
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16.

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 - Red McCombs School of Business

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Mortality Rates, Statistics, Time Series, Mortality Forecasting