# Lucy M. Kimball

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

Office: Morison Hall 361 | 781.891. 2467 | lkimball@bentley.edu

### Bio

Chair, Mathematical Sciences department. 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

### Professional Memberships

Association of Women in Mathematics

Mathematical Association of America

### Publications

**Journal Articles**

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 Proceedings and 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**

Committee Member for Departmental Graduate Curriculum Committee - Present

Internship Coordinator - Present

Committee Chair for MA123L/MA126L Review Committee - Present

MA131/MA139 Review Committee - Present

Mathematical Sciences Assurance of Learning Coordinator - Present

Committee Member for MA dept Search Committee, 2011 - 2014

Actuarial Program Coordinator, 1999 - 2011

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

Committee Member for NEASC Academic Programs Committee, 2012 - Present

Graduate Council, 2011 - Present

Graduate Curriculum Committee, 2011 - Present

Committee Member for Bentley Campaign Planning Committee, 2013 - 2014

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

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