# Lucy M. Kimball

Professor, Mathematical SciencesPh.D., Worcester Polytechnic Inst, 1997

Office: Morison Hall 375 | 781.891. 2467 | lkimball@bentley.edu

Department Phone: 781.891. 2702 | Department Fax: 781.891.2457

### Bio

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.

### Teaching Interests

Actuarial Sciences

### Research Interests

Mathematics of Finance; Numerical Methods; Optimization

### Awards and Honors

2014, Innovation in Teaching Award, Teaching and Scholarly Awards Committee

### Publications

**Journal Article(s)**

Steblovskaya, V. R., Josephy, N. H., Kimball, L. M. (2015). Optimal Hedging in an Extended Binomial Market under Transaction Costs. *Quantitative Finance*.

Josephy, N. H., Kimball, L. M., Steblovskaya, V. R. (2013). Alternative Hedging in a Discrete Time Incomplete Market. *Journal of Risk*.

Josephy, N. H., Kimball, L. M., Steblovskaya, V. R. (2011). Optimal Hedging and Pricing of Equity-Linked Life Insurance Products in a Discrete Time Incomplete Market. *Journal of Probability and Statistics**, 2011*, 23 pages.
(link)

Josephy, N. H., Kimball, L. M., Steblovskaya, V. R. (2008). Optimal Hedging of Path Dependent Options in a Discrete Time Incomplete Market. *Communications on Stochastic Analysis**, 2* (3), 385-404.

Josephy, N. H., Kimball, L. M., Steblovskaya, V. R. (2008). A Time-Series Approach to Non-Self-Financing Hedging in a Discrete-Time Incomplete Market. *Journal of Applied Mathematics and Stochastic Analysis**, 2008*.
(link)

Josephy, N. H., Kimball, L. M., Steblovskaya, V. R., Nagaev, A., Pasniewski, M. (2007). An algorithmic approach to non-self-financinghedging in a discrete-time incomplete market. *Discrete Mathematics and Applications**, 17* (2), 189-207.

Nejdawi, I., Kimball, L. M. (2005). Dynamic Optimal Power Flow with minimal inter-temporal control variable changes. *Electric Power Compnents and Systems**, 33* (10), 1071-1080.

Kimball, L. M., Clements, K. A., Davis, P. W. (2003). An Implementation of the Stochastic OPF. *Electric Power Components and Systems**, 31* (12), 1193-1204.

Kimball, L. M., Clements, K., Davis, P., Nejdawi, I. (2002). Multiperiod Hydrothermal Economic Dispatch. *Mathematical Problems in Engineering**, 8* (1), 33-42.

Nejdawi, I., Clements, K., Kimball, L. M., Davis, P. (2000). Nonlinear Optimal Power Flow with Inter-Temporal Constraints. *IEEE Power Engineering Review**, 20* (5).

Irisarri, G., Kimball, L. M., Clements, K., Davis, P., Bagchi, A. (1998). Economic Dispatch with Network and Ramping Constraints via Interior Point Methods. *IEEE Transactions in Power Systems**, 13* (1).

### Conference Presentations

Kimball,
L.
M. (2013). Presented at the
KPMG's
*KPMG Faculty Symposium Big Data*,
New York.

Steblovskaya,
V.
R., Josephy,
N.
H., Kimball,
L.
M. (2013).
"Optimal Hedging under Proportional Transaction Costs."
Presented at the
American Mathematical Society's
* AMS Eastern Sectional Meeting, special section on Financial Mathematics*,
Boston College, Chestnut Hill, MA.

Kimball,
L.
M. (2011).
"Hedging with Transaction Costs in a Discrete Time Incomplete Market."
Presented at the
Linnaeus University's
*Swedish Workshop on Applied Mathematics*,
Växjö-Kalmar, Sweden.

Josephy,
N.
H., Kimball,
L.
M., Steblovskaya,
V.
R. (2006).
"Risk Management in Incomplete Markets."
Presented at the
*Hawaii International Conference on Statistics, Mathematics and Related Fields*,
Honolulu, Hawaii.

Kimball,
L.
M., Josephy,
N.
H., Steblovskaya,
V.
R. (2006).
"Optimal Hedging in Incomplete Markets."
Presented at the
*SIAM Conference on Financial Mathematics and Engineering*,
Boston, MA.

Kimball,
L.
M., Clements,
K.
A., Davis,
P.
W., Pajic,
S. (2003).
"Stochastic OPF by Constraint Relaxation."
Presented at the
*IEEE Bologna Power Tech*,
Bologna, Italy.

Kimball,
L.
M., Clements,
K., Davis,
P. (2001).
"Stochastic OPF via Bender’s Method."
Presented at the
*IEEE Power Tech*,
Porto, Portugal.

### Service

**Department Service**

Principal Advisor to Tenure-Track Faculty for MA Dept Promotion and Tenure Committee, 2015 - 2016

Committee Member for Departmental Graduate Curriculum Committee - 2014

Internship Coordinator - 2014

Mathematical Sciences Assurance of Learning Coordinator - 2014

Committee Chair for Search Committee, 2014 - 2014

Committee Chair for MA123L/MA126L Review Committee - 2013

MA131/MA139 Review Committee - 2013

Committee Member for MA dept Search Committee, 2011 - 2013

Actuarial Program Coordinator, 1999 - 2011

Mentor (Faculty) for Math Club, 1997 - 2011**University Service**

Committee Member for Centennial Planning Committee, 2015 - Present

Committee Chair for Bentley Learning and Teaching Council, 2015 - 2018

Committee Member for Bentley Research Colloquium Steering Committee, 2015 - 2015

Committee Member for Bentley Campaign Planning Committee, 2013 - 2015

Graduate Council, 2011 - 2014

Graduate Curriculum Committee, 2011 - 2014

Committee Chair for First Year Seminar Review Committee, 2013 - 2014

Committee Member for NEASC Academic Programs Committee, 2012 - 2013

Committee Member for Bentley Risk Management Committee, 2010 - 2011

Committee Member for BSM Task Force, 2011 - 2011

Task Force Member for MS Task Force, 2010 - 2010**Professional Service**

Committee Chair for MAA Northeast Regional - Present

Board of Advisors of a Company for University of Massachusetts, Lowell, 2013 - Present