Columbia University      
Department of Industrial Engineering & Operations Research

 

Working Papers

·         Linear-Quadratic Control and Information Relaxations (2011), with Andrew Lim.

·         A Cournot-Stackelberg Model of Supply Contracts with Financial Hedging (2010), with Rene Caldentey.

Published Research Papers

·         A Unified Approach to Multiple Stopping and Duality (2011), with Shyam Chandramouli. Forthcoming in Operations Research Letters.

·         A Note on  Constant Proportion Trading Strategies (2011). Operations Research Letters, Vol. 39, Issue 3, pp 172-179.

·         The Dual Approach to Portfolio Evaluation: A Comparison of the Static, Myopic and Generalized Buy-and-Hold Strategies (2011), with Ashish Jain.  Quantitative Finance, Vol. 11, No. 1 pp 81-99.

·         Supply Contracts with Financial Hedging (2009), with Rene Caldentey. Operations Research, Vol. 57, No.1, January-February, pp 47-65.

·         Cross-Path Regressions and Pathwise Estimators: An Application to Evaluating Portfolio Strategies (2007), with Ashish Jain. Proceedings of the 2007 Winter Simulation Conference.

·         Portfolio Evaluation: A Duality Approach (2006), with Leonid Kogan and Jiang Wang. Operations Research. Vol. 54, No.3, May-June, pp 405-418.

·         Optimal Control and Hedging of Operations in the Presence of Financial Markets (2006), with Rene Caldentey. Mathematics of Operations Research. Vol. 31 Number 2, pp 285-304.

·         Pricing American Options: A Duality Approach (2004), with Leonid Kogan. Operations Research, Vol. 52, No.2, March-April, pp 258-270.

·         Asset Allocation and Derivatives (2001), with Andrew W. Lo. Quantitative Finance, Vol 1, No 1, Jan, pp 45-72.

Other Publications

·         Duality Theory and Simulation in Financial Engineering (2003), Proceedings of the Winter Simulation Conference 2003, pp327-334.

·         Computational Challenges in Portfolio Management (2001), with Andrew W. Lo. Computing in Science and Engineering, May/June, Vol. 3, No. 3, pp 54-59.

·         The Subgroup Generated by the Squares (1997), with P.D. MacHale. Mathematical  Proceedings of the Royal Irish Academy , Vol 97, December, No 2, pp 123-129.

Permanent Working Papers

·         Portfolio Optimization with Position Constraints: an Approximate Dynamic Programming Approach (2006), with Leonid Kogan and Zhen Wu.

Book Chapters

·         Duality and Approximate Dynamic Programming for Pricing American Options and Portfolio Optimization (2008) with Leonid Kogan in J.R. Birge and V. Linetsky (Eds.), Handbooks in OR and MS, Vol. 15, pp 925-948. Elsevier.