Lucy Kimball

Lucy Kimball

Teaching Interests

Actuarial Sciences

Research Interests

Mathematics of Finance;
Numerical Methods;
Optimization

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.

Awards and Honors

  • Innovation in Teaching Award, Teaching and Scholarly Awards Committee

    • Scholarly Contributions and Creative Productions

    Journal Articles

  • Kimball, L., Josephy, N., Steblovskaya, V. (2017). On The Numerical Aspects Of Optimal Option Hedging With Transaction Costs. International Journal of Theoretical and Applied Finance, (20) 1 1750002 (22 pages). (Link)
  • Steblovskaya, V. R., Josephy, N. H., Kimball, L. M. (2015). Optimal Hedging in an Extended Binomial Market under Transaction Costs. Quantitative Finance, (16) 5, May 2016 763-776.
  • 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). 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. (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., 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
  • Bernstein, L., Berk, A., Acharya, P., Robertson, D., Anderson, G., Chetwynd, J., Kimball, L. (1996). Very narrow band model calculations of atmospheric fluxes and cooling rates. Journal of the Atmospheric Sciences, (53) Issue 20 (Link)

    • Conference Proceedings

  • Anderson, G., Kneizys, F., Chetwynd, J., Rothman, L., Hoke, M., Berk, A., Bernstein, L., Acharya, P., Snell, H., Miawer, E., Clough, S., Wang, J., Lee, S., Revercomb, H., Yokota, T., Kimball, L., Shettle, E., Abreu, L., Selby, J. (1996). “Reviewing Atmospheric Radiative Transfer Modeling: New Developments in High and Moderate Resolution FASCODE/FASE and MODTRAN”
  • Anderson, G., Wang, J., Hoke, M., Kneizys, F., Chetynd, J., Rothman, L., Kimball, L., McClatchey, R., Shettle, E., Clough, S., Gallery, W., Abreu, L., Selby, J. (1994). “History of one family of atmospheric radiative transfer codes”
  • Anderson, G., Chetwynd, J., Kneizys, F., Kimball, L., Bernstein, L., Acharya, P., Berk, A., Robertson, D., Abreu, L., Shettle, E. (1994). “MODTRAN2: Evolution and applications”

    • Presentations

  • Steblovskaya, V. R., Kimball, L. M., Josephy, N. H. (2018). “Optimal Hedging in an Extended Binomial Market with Transaction Costs” Presented at the Monash University Business School, Australia The 4th Symposium on Quantitative Finance and Risk Analysis (QFRA 2018) Mykonos, Greece
  • Steblovskaya, V. R., Kimball, L. M., Josephy, N. H. (2018). “Optimal Hedging in an Extended Binomial Market with Transaction Costs” Presented at the Cardiff University Research seminar at the Mathematics Department of Cardiff University Cardiff, Wales, UK
  • Kimball, L. M. (2017). “Mathematics of Options Pricing and Hedging” Presented at the Providence College Math department Research Seminar
  • Kimball, L. M. (2013). Presented at the KPMG 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 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 Swedish Workshop on Applied Mathematics V√§xj√∂-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

    Service: Department

  • Committee Chair for Teaching Methods Committee - Present
  • Committee Member for Mathematical Sciences P&T - Present
  • Committee Member for Data 101 2022-11-01 - Present
  • Committee Member for MA Dept Search Committee 2019-08-01 - 2019-12-31
  • Course Coordinator for MA Department Internship Coordinator 2019-07-01 - 2019-12-31
  • Committee Member for MA Dept Search Committee 2017-07-01 - 2017-12-31
  • Committee Chair for MA Dept Promotion and Tenure Committee 2016-07-01 - Present
  • Principal Advisor to Tenure-Track Faculty for MA Dept Promotion and Tenure Committee, Secondary evaluator for Pannappa Changpetch 2016-01-01 - 2016-12-31
  • Principal Advisor to Tenure-Track Faculty for MA Dept Promotion and Tenure Committee 2015-09-01 - 2015-12-31
  • Committee Chair for Search Committee 2014-01-01 - 2014-05-31
  • Committee Member for MA dept Search Committee 2011-09-01 - 2013-08-31
  • for Actuarial Program Coordinator 1999-07-01 - 2011-07-31
  • Mentor (Faculty) for Math Club 1997-09-01 - 2011-07-31

    • Service: Professional

  • Board of Advisors for University of Massachusetts, Lowell 2013-05-01 - Present

    • Service: Ph.D. Advising

  • Committee Member 2024/02 - Present
  • Supervisor 2016/03 - 2021/03

    • Service: University

  • Dean for Bentley University Arts and Sciences - Present
  • Committee Chair for Search Dean of Arts and Sciences - Present
  • Committee Member for Post Baccalaureate AIG 2023-07-01 - Present
  • Committee Member for Search Vice President of Advancement 2022-03-01 - 2022-09-30
  • Committee Member for Strategic Planning Committee - Positioning and Partnerships 2021-11-01 - 2022-07-31
  • Committee Member for A&S Curriculum Reform Working Group - FA2 2021-09-01 - 2022-02-27
  • Committee Member for Search Committee Bentley University Registrar 2021-11-01 - 2022-01-25
  • Committee Chair for NECHE self study- Standard 6 2020-11-01 - 2021-12-31
  • Committee Member for Summer Working Group 2020-09-01 - 2021-01-01
  • Committee Member for Promotion and Tenure 2018-07-01 - 2020-12-01
  • Committee Member for A&S Dean Search Committee 2018-01-01 - 2018-05-01
  • Committee Chair for Bentley Learning and Teaching Council 2015-07-01 - 2018-07-31
  • Committee Member for Centennial Planning Committee 2015-08-01 - 2016-12-31
  • Committee Member for Bentley Research Colloquium Steering Committee 2015-07-01 - 2015-11-30
  • Committee Member for Bentley Campaign Planning Committee 2013-12-01 - 2015-01-31
  • Committee Chair for First Year Seminar Review Committee 2013-09-01 - 2014-05-31
  • Committee Member for NEASC Academic Programs Committee 2012-01-01 - 2013-12-31
  • for Graduate Council 2011-07-01 - 2014-07-31
  • for Graduate Curriculum Committee 2011-07-01 - 2014-07-31
  • Committee Member for Bentley Risk Management Committee 2010-09-01 - 2011-09-30
  • Committee Member for BSM Task Force 2011-03-01 - 2011-05-31
  • Task Force Member for MS Task Force 2010-01-01 - 2010-05-31