Local Distribution Companies (LDCs) play the role of purchasing and delivering natural gas to their consumers and state regulators oversee the pricing of natural gas to consumers. The common method of regulation, based on the cost of service, provides arguably little incentive for the LDC to...

The problem of pricing an American option written on an underlying asset with constant price volatility has been studied extensively in literature. Real-world data, however, demonstrates that volatility is not constant and stochastic volatility models are used to account for dynamic volatility...

We consider a portfolio optimization problem where the investor's objective is to maximize the long-term expected growth rate, in the presence of proportional transaction costs. This problem belongs to the class of stochastic control problems with singular controls, which are usually solved by...

We provide a computational study of the problem of optimally allocating wealth among multiple stocks and a bank account, in order to maximize the infinite horizon discounted utility of consumption. We consider the situation where the transfer of wealth from one asset to another involves...

Performance fees that are designed to incentivize money managers to exert more effort may also distort a manager's risk choices. In this paper, we analyze the impact of the standard performance fee contract that includes what is known as a high-water mark provision. We investigate the effect the...

This paper analyzes optimal replenishment policies that minimize expected discounted cost of multi-product stochastic inventory systems. The distinguishing feature of the multi-product inventory system that we analyze is the existence of correlated demand and joint-replenishment costs across...

This paper describes a method to solve the free-boundary problem that arises in the pricing of American options. Most numerical methods for American option pricing exploit the representation of the option price as the expected pay-off under the risk-neutral measure and calculate the price for a...