Kumar Muthuraman

University of Texas at Austin - Red McCombs School of Business

Professor

Austin, TX 78712

United States

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 11,791

SSRN RANKINGS

Top 11,791

in Total Papers Downloads

5,068

SSRN CITATIONS
Rank 20,919

SSRN RANKINGS

Top 20,919

in Total Papers Citations

20

CROSSREF CITATIONS

29

Scholarly Papers (17)

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 714 (44,154)

Abstract:

Loading...

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 663 (48,731)
Citation 3

Abstract:

Loading...

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 538 (63,575)
Citation 4

Abstract:

Loading...

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 507 (67,729)

Abstract:

Loading...

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 (704,737)
Citation 2
  • Add to Cart

Abstract:

Loading...

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 341 (108,961)

Abstract:

Loading...

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 333 (111,913)
Citation 1

Abstract:

Loading...

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 310 (120,811)

Abstract:

Loading...

8.

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
NUS Business School, University of Texas at Austin - Department of Information, Risk and Operations Management and University of Texas at Austin - Red McCombs School of Business
Downloads 289 (130,179)
Citation 1

Abstract:

Loading...

portfolio choice, estimation error

9.

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 286 (131,597)
Citation 1

Abstract:

Loading...

Impulse Control, Free boundary problems

10.

Unified Classical and Robust Optimization for Least Squares

Number of pages: 44 Posted: 05 Jun 2018 Last Revised: 08 Dec 2020
Long Zhao, Deepayan Chakrabarti and Kumar Muthuraman
NUS Business School, University of Texas at Austin - Department of Information, Risk and Operations Management and University of Texas at Austin - Red McCombs School of Business
Downloads 277 (136,063)

Abstract:

Loading...

robust optimization, estimation error

11.

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 211 (177,525)
Citation 1

Abstract:

Loading...

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

12.

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 200 (186,607)
Citation 1

Abstract:

Loading...

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 168 (217,745)

Abstract:

Loading...

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 (813,698)
  • Add to Cart

Abstract:

Loading...

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

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 150 (239,113)
Citation 3

Abstract:

Loading...

15.

Facility Location with Joint Disruptions

Indian School of Business
Number of pages: 48 Posted: 31 Jan 2020
Vishwakant Malladi and Kumar Muthuraman
Indian School of Business (ISB), Hyderabad and University of Texas at Austin - Red McCombs School of Business
Downloads 36 (531,661)

Abstract:

Loading...

Facility Location, Disruption Modeling, Stochastic Processes

16.

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 31 (558,097)
Citation 8
  • Add to Cart

Abstract:

Loading...

17.

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

Abstract:

Loading...

Mortality Rates, Statistics, Time Series, Mortality Forecasting