Kumar Muthuraman

University of Texas at Austin - McCombs School of Business

Austin, TX 78712

United States

SCHOLARLY PAPERS

13

DOWNLOADS
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Top 9,525

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3,806

CITATIONS
Rank 16,312

SSRN RANKINGS

Top 16,312

in Total Papers Citations

21

Scholarly Papers (13)

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 - McCombs School of Business
Downloads 615 (30,249)
Citation 1

Abstract:

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 - McCombs School of Business
Downloads 581 (32,476)
Citation 3

Abstract:

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

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 - McCombs School of Business and Purdue University - School of Industrial Engineering
Downloads 463 (46,694)
Citation 1

Abstract:

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 - McCombs School of Business and Purdue University - School of Industrial Engineering
Downloads 13 (479,356)
Citation 1

Abstract:

4.

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 - McCombs School of Business and Independent
Downloads 450 (44,846)
Citation 8

Abstract:

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

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 - McCombs School of Business, Purdue University - College of Industrial Engineering and Purdue University - College of Industrial Engineering
Downloads 310 (73,441)

Abstract:

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

6.

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 - McCombs School of Business and Purdue University - Krannert School of Management
Downloads 252 (83,623)

Abstract:

7.

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 - McCombs School of Business
Downloads 240 (92,732)

Abstract:

Impulse Control, Free boundary problems

8.

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 - McCombs School of Business, Indian School of Business and Case Western Reserve University, Weatherhead School of Management
Downloads 171 (96,344)

Abstract:

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

9.

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 - McCombs School of Business
Downloads 157 (140,796)

Abstract:

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

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 139 (165,838)

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 (549,098)

Abstract:

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

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 - McCombs School of Business
Downloads 104 (173,313)

Abstract:

12.

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 - McCombs School of Business and Independent
Downloads 29 (382,007)
Citation 8

Abstract:

13.

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