Kumar Muthuraman

H. Timothy (Tim) Harkins Centennial Professor
GSB 5.156,
Dept. of Information, Risk, and Operations Mgmt. and
Dept. of Finance

(512) 232 3732
kumar.muthuraman at mccombs.utexas.edu

 


Other Affiliations


Founder and Board Member:
        GetFriday.com
        HomeShikari.com
        YourManInIndia.com
        SimplyCrow.com

Consultant:
        Highfields Capital Management


Education


Ph.D. (2003), Stanford University, CA.

M.S. (2000), Stanford University, CA.

B.Tech. (1998), Central Electrochemical Research Institute, India.


Ph.D. Students


Long Zhao, Current

Dongyang (Ester) Wang, Current

Dan Mitchell, Assistant Prof., Industrial & Systems Engineering, University of Minnesota.

Qi Wu, Assistant Prof., Weatherhead School of Mgmt, Case Western Univ.

Arun Chockalingam, Assistant Prof., School of Industrial Engg., Eindhoven Univ. of Technology, Netherlands

Haolin Feng, Associate Prof., Dept of Logistics Engg and Management, Lingnan (University) College, Sun Yat-sen Univ., China

Tarik Aouam, Associate Prof., Dept of Management Information Science and Operation Management, Ghernt University, Belgium


Book


Solving free-boundary problems with applications in finance, Amazon link


Selected downloadable papers




    Quantitative Finance/Financial Engineering
  • D. Mitchell, H. Feng and K. Muthuraman, “Impulse Control of Interest Rates”, to appear in Operations Research link
  • A. Chockalingam and K. Muthuraman, “American Options Under Stochastic Volatility”, Operations Research 59(4), 793-809, 2011. link
  • D. Mitchell, J. Goodman and K. Muthuraman, “Boundary Evolution Equations for American Options”, to appear in Mathematical Finance. link
  • H. Feng and K. Muthuraman, “A Computational Method for Stochastic Impulse Control Problems”, Mathematics of Operations Research 35(4), 2010. link
  • K. Muthuraman, “A moving boundary approach to American option pricing”, Journal of Economic Dynamics and Control, 32(11), 3520-3537, 2008. link
  • K. Muthuraman and H. Zha, “Simulation based portfolio optimization for large portfolios with transaction costs”, Mathematical Finance, 18(1), 115-134, 2008. link
  • K. Muthuraman and S. Kumar, “Multi-dimensional portfolio optimization with proportional transaction costs”, Mathematical Finance, 16(2), 301-335, 2006. link


  • Operations Management
  • Q. Wu, K. Muthuraman and S. Seshadri, “Inventory Management with Financing Decisions: Theory and Evidence”, submitted to Management Science
  • K. Muthuraman, S. Seshadri and Q. Wu, “Inventory management with Stochastic Lead Times”, to appear in Mathematics of Operations Research link
  • H. Feng, K. Muthuraman and V. Deshpande, “The Impact of Demand Correlation on Replenishment Policies for Multi-Product Stochastic Inventory Systems with Joint-Replenishment Costs”, in revision for Production and Operations Management. link
  • S. Kumar and K. Muthuraman, “A numerical method for solving singular stochastic control problems”, Operations Research, 52(4), 563-582, 2004. link


  • HealthCare
  • S. Chakraborty, K. Muthuraman and M. Lawley, “Sequential clinical scheduling with patient no-shows and general service time distributions”, IIE Transactions, 42(5), 354-366, 2010. Best paper in Operations Engineering and Analysis award.
  • K. Muthuraman and M. A. Lawley, “Stochastic overbooking model for outpatient clinical scheduling with no-shows”, IIE Transactions, 40(9), 2008. Among the Top 10 most cited articles of 2008-2010 in IIE Transactions.
  • F. Lin, K. Muthuraman and M. Lawley, “ An optimal control theory approach to non-pharmaceutical interventions”, BMC Infectious Diseases, 10(32), 2010


  • Other
  • T. Aouam, R. Rardin and K. Muthuraman, “Robust optimization policy benchmarks and modeling errors in natural gas”, European Journal of Operations Research, 240(2), 431-438. 2016 link
  • D. Mitchell, P. Brockett, R. Mendoza and K. Muthuraman, “Modeling and Forecasting Mortality Rates”, Insurance: Mathematics and Economics 52 (2), 2013. link
  • K. Muthuraman, T. Aouam and R. Rardin, “Regulation of natural gas distribution using policy benchmarks”, Operations Research, 56(5), 1131-1145. 2008 link

Complete CV


    Link