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A PDE System for Modelling Stochastic Storage in Physical and Financial Systems
Howell, S.D. and Duck, P.W. and Johnson, P.V. and Pinto, H. and Strbac, G. and Hazel, A. and Proudlove, N. and Black, M., "A PDE System for Modelling Stochastic Storage in Physical and Financial Systems", 2011, IMA Journal of Management Mathematics, 22(3), 231-252
A Bridge between American and European Options: The 'Ameripean' Delayed-Exercise Model
P.V. Johnson and N.J. Sharp and P.W. Duck and D.P. Newton, "A Bridge between American and European Options: The 'Ameripean' Delayed-Exercise Model", 2011, SIAM Journal on Financial Mathematics, 2, 965-988
The expected lifetime of an extraction project
Evatt, G.W. and Johnson, P.V. and Duck, P.W. and Howell, S.D. and Moriarty, J., "The expected lifetime of an extraction project", 2010, Proceedings of the Royal Society A: Mathematical, Physical and Engineering Science, 467(2125), 244-263
Enhanced Finite-Difference Techniques for Early-Exercise Options on Single and Multiple Underlyings
Johnson, P.V. and Sharp, N.J. and Duck, P.W. and Newton, D.P.,"Enhanced Finite-Difference Techniques for Early-Exercise Options on Single and Multiple Underlyings", 2007
A New Prepayment Model (with Default) : An Occupation-Time Derivative
Sharp, N.J. and Johnson, P.V. and Newton, D.P. and Duck, P.W.,"A New Prepayment Model (with Default) : An Occupation-Time Derivative", 2009, Journal of Real Estate Finance and Economics, 39(2), 118-145.
METHOD AND APPARATUS FOR VALUATION OF A RESOURCE
Johnson, P.V. and Howell, S.D. and Duck, P.W. and Evatt, G.W. and Moriarty, J., "METHOD AND APPARATUS FOR VALUATION OF A RESOURCE", 2010, US Patent App. 12/952,401
The expected lifetime of an extraction project
Evatt, G.W. and Johnson, P.V. and Duck, P.W. and Howell, S.D. and Moriarty, J., "The expected lifetime of an extraction project", 2010, Proceedings of the Royal Society A: Mathematical, Physical and Engineering Science, 467(2125), 244-263
The Derivation and Impact of an Optimal Cut-Off Grade Regime Upon Mine Valuations
Johnson, P.V. and Evatt, G.W. and Howell, S.D. and Duck, P.W., "The Derivation and Impact of an Optimal Cut-Off Grade Regime Upon Mine Valuations", 2010, Proceedings of the World Congress on Engineering I, 358-363
The Measurement and Inclusion of a Stochastic Ore-Grade Uncertainty in Mine Valuations Using PDEs
G.W. Evatt and Johnson, P.V. and Howell, S.D. and Duck, P.W., "The Measurement and Inclusion of a Stochastic Ore-Grade Uncertainty in Mine Valuations Using PDEs", 2010, 40(4), 1-7
Mine Valuation in the Presence of a Stochastic Ore-Grade Uncertainty
G.W. Evatt and Johnson, P.V. and Howell, S.D. and Duck, P.W., "Mine Valuation in the Presence of a Stochastic Ore-Grade Uncertainty", 2010, Proceedings of the World Congress on Engineering III, 1811-1816
A PDE System for Modelling Stochastic Storage in Physical and Financial Systems
Howell, S.D. and Duck, P.W. and Johnson, P.V. and Pinto, H. and Strbac, G. and Hazel, A. and Proudlove, N. and Black, M., "A PDE System for Modelling Stochastic Storage in Physical and Financial Systems", 2011, IMA Journal of Management Mathematics, 22(3), 231-252
A rapid PDE-based optimization methodology for temperature control and other mixed stochastic and deterministic systems
Howell, S.D. and Johnson, P.V. and Duck, P.W., "A rapid PDE-based optimization methodology for temperature control and other mixed stochastic and deterministic systems", 2011, Energy and Buildings, 43(7), 1523-1530
The Determination of a Dynamic Cut-Off Grade for the Mining Industry
Johnson, P.V. and Evatt, G.W. and Duck, P.W. and Howell, S.D., "The Determination of a Dynamic Cut-Off Grade for the Mining Industry", 2011, Electrical Engineering and Applied Computing: Lecture Notes in Electrical Engineering, 90, 391-403
A Bridge between American and European Options: The 'Ameripean' Delayed-Exercise Model
P.V. Johnson and N.J. Sharp and P.W. Duck and D.P. Newton, "A Bridge between American and European Options: The 'Ameripean' Delayed-Exercise Model", 2011, SIAM Journal on Financial Mathematics, 2, 965-988
The Resource Valuation and Optimisation Model: Real Impact from Real Options
G.W. Evatt and P.V. Johnson and J. Moriarty and P.W. Duck and S.D. Howell, "The Resource Valuation and Optimisation Model: Real Impact from Real Options", 2011, Proceedings of the 35th APCOM Symposium, Application of Computers and Operations Research in the Mining Industry, 535-545
Joint economic and physical constraints on nuclear power: How much Uranium would be needed to decarbonize electricity supply?
W.P. Liu and D.,G. Butler and P.V. Johnson and S. Hall and P.W. Duck and G.W. Evatt and S.D. Howell, "Joint economic and physical constraints on nuclear power: How much Uranium would be needed to decarbonize electricity supply?", 2012, Proceedings of the Institution of Mechanical Engineers, Part A: Journal of Power and Energy, 226(3), 350-371
Mineral reserves under price uncertainty
Evatt, G.W. and Soltan, M.O. and Johnson, P.V., "Mineral reserves under price uncertainty", 2012, Resources Policy
Optimal Bank and Regulatory Capital Reserve Strategies Under Loan-Loss Uncertainty
Evatt, G.W. and Johnson, P.V. and Chen, M. and Glover, K., "Optimal Bank and Regulatory Capital Reserve Strategies Under Loan-Loss Uncertainty", 2012, Available at SSRN 2136977
Continuous-Time Revenue Management in Carparks
Papayiannis, A. and Johnson, P.V. and Yumashev, D. and Howell, S.D. and Proudlove, N. and Duck, P.W., "Continuous-Time Revenue Management in Carparks", 2012, 1st International Conference on Operations Research and Enterprise Systems
Dynamic Pricing Strategies in an Uncertain World
Johnson, P.V. and Papayiannis, A. and Poquet, K., "Dynamic Pricing Strategies in an Uncertain World", 2012, Real Option Conference
Perpetual Options on Multiple Underlyings
Duck, P.W. and Evatt, G.W. and Johnson, P.V., "Perpetual Options on Multiple Underlyings", 2013, Applied Mathematical Finance
Optimal regulatory control of early contract termination
Evatt, G.W. and Johnson, P.V. and Duck, P.W., "Optimal regulatory control of early contract termination", 2013, IMA Journal of Management Mathematics
Continuous-Time Revenue Management in Carparks - Part two: Refining the PDE
Papayiannis, A. and Yumashev, D. and Johnson, P.V. and Duck, P.W., "Continuous-Time Revenue Management in Carparks - Part two: Refining the PDE", 2013, 2nd International Conference on Operations Research and Enterprise Systems
Optimal Staffing Policy: A Service System with Stochastic Travel Times
Al-Foriah, M. and Johnson, P.V. and Evatt, G.W. and Duck, P.W., "Optimal Staffing Policy: A Service System with Stochastic Travel Times", 2013, 2nd International Conference on Operations Research and Enterprise Systems
Optimal costless extraction rate changes from a non-renewable resource
Evatt, G. W., P. V. Johnson, P. W. Duck and S. D. Howell, "Optimal costless extraction rate changes from a non-renewable resource", 2014, European Journal of Applied Mathematics
Investment Lags: A Numerical Approach
Al-Foriah, M., Johnson, P.V. and Duck, P.W., "Investment Lags: A Numerical Approach", 2014, 3rd International Conference on Operations Research and Enterprise Systems
SLADI---a semi-Lagrangian alternating-direction implicit method for the numerical solution of advection-diffusion problems with application to electricity storage
Hernandez Avalo, J., P. V. Johnson and P. W. Duck, "SLADI---a semi-Lagrangian alternating-direction implicit method for the numerical solution of advection-diffusion problems with application to electricity storage", 2015, Journal of Computational Finance
A Comparative Analysis of Pickup Forecasting Methods for Customer Arrivals in Airport Carparks
Andreas Papayiannis and Paul Johnson and Peter Duck, "A Comparative Analysis of Pickup Forecasting Methods for Customer Arrivals in Airport Carparks", 2016, Proceedings of 5th the International Conference on Operations Research and Enterprise Systems - Volume 1: ICORES
PDE methods for stochastic dynamic optimisation: An application to wind power generation with energy storage
Johnson, P.,Howell, S. and Duck, P., "PDE methods for stochastic dynamic optimisation: An application to wind power generation with energy storage", Philosophical Transactions of the Royal Society A, to appear 2017.
Flexible decision making in the wake of large scale nuclear emergencies : long-term response.
Yumashev, D and Johnson, P, "Flexible decision making in the wake of large scale nuclear emergencies: long-term response", 2017, European Journal of Operational Research.
Optimal trading of imbalance options for power systems using an energy storage device
Szabo, D.Z., Duck, P. and Johnson, P., "Optimal trading of imbalance options for power systems using an energy storage device", European Journal of Operational Research, 2018
The optimal interaction between a hedge fund manager and investor
Ramirez, Hugo Eduardo, Paul Johnson, Peter Duck, Sydney Howell, "The optimal interaction between a hedge fund manager and investor", Applied Mathematical Finance, 2018, Pages 1-28.
Stochastic wind speed modelling for estimation of expected wind power output
Angeliki Loukatou, Sydney Howell, Paul Johnson, Peter Duck, "Stochastic wind speed modelling for estimation of expected wind power output", Applied Energy, Volume 228, 2018, Pages 1328-1340.
Hedge Funds Management with Liquidity Constraint
Ramirez, Hugo Eduardo, Peter Duck, Paul Johnson, Sydney Howell, "Hedge Funds Management with Liquidity Constraint", International Journal of Theoretical and Applied Finance
Revenue management of airport car parks in continuous time
Papayiannis, A., Johnson, P.V., Yumashev, D. and Duck, P., "Revenue management of airport car parks in continuous time", IMA Journal of Management Mathematics, 2018.
Management of Unaccounted for Gas
Lubomir Botev and Paul Johnson, "Applications of statistical process control in the management of Unaccounted for Gas", Journal of Natural Gas Science and Engineering