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Faculty Profiles

Lucia M. Kimball
lkimball@bentley.edu
MOR 375
781/891-2467
Associate Professor of Mathematical Sciences

PhD, Worcester Polytechnic Inst, 1997
Research Interests:

Mathematics of Finance

Numerical Methods

Optimization
Teaching Interests:

Actuarial Sciences
Lucia M. Kimball
Selected Publications and presentations:

Journal articles
N. Josephy, L. Kimball, V. Steblovskaya. "A Time-Series Approach to Non-Self-Financing Hedging in a Discrete-Time Incomplete Market," Journal of Applied Mathematics and Stochastic Analysis, vol. 2008, 2008.

N. Josephy, L. Kimball, V. Steblovskaya. "Optimal Hedging of Path Dependent Options in a Discrete Time Incomplete Market," Communications on Stochastic Analysis, vol. 2, no. 3, 385-404, 2008.

Norman Josephy, Lucia Kimball, Victoria Steblovskaya, Alexander Nagaev, Michael Pasniewski. "An algorithmic approach to non-self-financinghedging in a discrete-time incomplete market," Discrete Mathematics and Applications, vol. 17, no. 2, 189-207, 2007.

Nejdawi, Imad, Kimball, Lucia. "Dynamic Optimal Power Flow with minimal inter-temporal control variable changes," Electric Power Compnents and Systems, vol. 33, no. 10, 1071-1080, 2005.

L.M. Kimball, K.A. Clements, P.W. Davis. "An Implementation of the Stochastic OPF," Electric Power Components and Systems, vol. 31, no. 12, 1193-1204, 2003.

L. Kimball, K. Clements, P. Davis, I. Nejdawi. "Multiperiod Hydrothermal Economic Dispatch," Mathematical Problems in Engineering, vol. 8, no. 1, 33-42, 2002.

I. Nejdawi, K. Clements, L. Kimball, P. Davis. "Nonlinear Optimal Power Flow with Inter-Temporal Constraints," IEEE Power Engineering Review, vol. 20, no. 5, 2000.

G. Irisarri, L. Kimball, K. Clements, P. Davis, A. Bagchi. "Economic Dispatch with Network and Ramping Constraints via Interior Point Methods," IEEE Transactions in Power Systems, vol. 13, no. 1, 1998.

Conference papers
Norman Josephy, Lucia Kimball, Vistoria Steblovskaya. "Risk Management in Incomplete Markets," in Hawaii International Conference on Statistics, Mathematics and Related Fields, January 2006.

L. M. Kimball, K. A. Clements, P.W. Davis, Slobodan Pajic. "Stochastic OPF by Constraint Relaxation," in IEEE Bologna Power Tech, June 2003.

L. Kimball, K. Clements, P. Davis. "Stochastic OPF via Bender’s Method," in IEEE Power Tech, October 2001.

Professional Memberships:
Mathematical Association of America
Association of Women in Mathematics

Scholarly Work in Progress:
Alternative Hedging in a Discrete Time Incomplete Market.

Other Activities:
MAA Notheastern Section Dinner Meeting Coordinator

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Actuarial program coordinator. Teaching interests include actuarial education and mathematics of finance. Research interests include models of financial markets, risk management, numerical methods and optimization. Project NeXT (New Experiences in Teaching) fellow.