Full List of Publications

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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.