Jussi Keppo

Associate Professor

 

IOE Department, University of Michigan

1205 Beal Avenue, Ann Arbor, MI 48109-2117, USA

Office: 2885 IOE, Tel: +1 734 615 4045, Fax: +1 734 764 3451, E-mail: keppo@umich.edu

 

Teaching

Winter 2008: IOE552, Financial Engineering I

Winter 2008: FINENG591, Quantitative Risk Management

 

Office Hours

By appointment

 

Research Interests

Methodological: stochastic control, statistical analysis of stochastic processes, optimization.

Applications: asset pricing, information economics, modeling of telecommunication networks, production optimization, optimal investment under uncertainty, portfolio theory, risk management.

 

Comments

Oil Speculation, July 8, 2008.

 

Downloadable Papers

Optimal Consumption and Portfolio Decisions with Partially Observed Real Prices (with Alain Bensoussan and Suresh P. Sethi), this version: October 28, 2007.

Optimal Electoral Timing: Exercise Wisely and You May Live Longer (with Lones Smith and Dmitry Davydov), this version: October 15, 2007.

Unintended Consequences of the Market Risk Requirement in Banking Regulation (with Leonard Kofman and Xu Meng), this version: March 24, 2007.

A Computational Scheme for the Optimal Strategy in an Incomplete Market (with Xu Meng and Michael G. Sullivan), this version: November 18, 2006.

The demand for information: more heat than light (with Giuseppe Moscarini and Lones Smith), this version: September 20, 2006.

Call routing with continuous uncertainties (with Aniket Gune), this version: March 2, 2006.

Risk, financing and the optimal number of suppliers (with Volodymyr Babich, Goker Aydin, Pierre-Yves Brunet, and Romesh Saigal), this version: December 30, 2005.

Optimal bank capital with costly recapitalization (with Samu Peura), this version: February 4, 2005.

Option pricing with an exponential effect function (with Mattias Jonsson and Xu Meng), this version: March 24, 2004.

 

Recent Publications

Optimal Consumption and Portfolio Decisions with Partially Observable Real Prices (with Alain Bensoussan and Suresh P. Sethi), forthcoming: Mathematical Finance.

Hydropower with Financial Information (with Erkka Nasakkala), forthcoming: Applied Mathematical Finance.

Optimal Electoral Timing: Exercise Wisely and You May Live Longer (with Lones Smith and Dmitry Davydov), Review of Economic Studies, 75 (2008), pp. 597-628.

The demand for information: more heat than light (with Giuseppe Moscarini and Lones Smith), Journal of Economic Theory, 138 (2008), pp. 21-50.

A Computational Scheme for the Optimal Strategy in an Incomplete Market (with Xu Meng and Michael G. Sullivan), Journal of Economic Dynamics and Control, 31 (2007), pp. 3591-3613.

Optimal bank capital with costly recapitalization (with Samu Peura), Journal of Business, 79 (2006), pp. 2163-2201.

Pricing of point-to-point bandwidth contracts, Mathematical Methods of Operations Research, 61 (2005), pp. 191-218.

 

Professional Society Memberships

Institute for Operations Research and Management Sciences (INFORMS)