Martin B. Haugh

Publication Activity (10 Years)

Years Active: 2001-2024
Publications (10 Years): 8

Top Topics

Diffusion Processes

American Football

Infinite Horizon

Nash Equilibria

Top Venues

INFORMS J. Comput.

SIAM J. Financial Math.

Publications

René Caldentey, Martin B. Haugh
Technical Note - Multimarket Cournot Equilibria with Heterogeneous Resource-Constrained Firms. Oper. Res. 72 (3) (2024)
Martin B. Haugh, Raghav Singal
Counterfactual Analysis in Dynamic Latent State Models. ICML (2023)
Martin B. Haugh, Chun Wang
Play Like the Pros? Solving the Game of Darts as a Dynamic Zero-Sum Game. INFORMS J. Comput. 34 (5) (2022)
Martin B. Haugh, Raghav Singal
How to Play Fantasy Sports Strategically (and Win). Manag. Sci. 67 (1) (2021)
Martin B. Haugh, Octavio Ruiz Lacedelli
Information Relaxation Bounds for Partially Observed Markov Decision Processes. IEEE Trans. Autom. Control. 65 (8) (2020)
David B. Brown, Martin B. Haugh
Information Relaxation Bounds for Infinite Horizon Markov Decision Processes. Oper. Res. 65 (5) (2017)
Andrew Ahn, Martin B. Haugh, Ashish Jain
Consistent Pricing of Options on Leveraged ETFs. SIAM J. Financial Math. 6 (1) (2015)
Andrew Ahn, Martin B. Haugh
Linear Programming and the Control of Diffusion Processes. INFORMS J. Comput. 27 (4) (2015)
Shyam S. Chandramouli, Martin B. Haugh
A unified approach to multiple stopping and duality. Oper. Res. Lett. 40 (4) (2012)
Shyam S. Chandramouli, Martin B. Haugh
Erratum to "A unified approach to multiple stopping and duality" [Oper. Res. Lett. (2012)]. Oper. Res. Lett. 40 (5) (2012)
Martin B. Haugh
A note on constant proportion trading strategies. Oper. Res. Lett. 39 (3) (2011)
René Caldentey, Martin B. Haugh
Supply Contracts with Financial Hedging. Oper. Res. 57 (1) (2009)
Martin B. Haugh, Ashish Jain
Path-wise estimators and cross-path regressions: an application to evaluating portfolio strategies. WSC (2007)
Martin B. Haugh, Leonid Kogan, Jiang Wang
Evaluating Portfolio Policies: A Duality Approach. Oper. Res. 54 (3) (2006)
René Caldentey, Martin B. Haugh
Optimal Control and Hedging of Operations in the Presence of Financial Markets. Math. Oper. Res. 31 (2) (2006)
Martin B. Haugh, Leonid Kogan
Pricing American Options: A Duality Approach. Oper. Res. 52 (2) (2004)
Martin B. Haugh
New simulation methodology for finance: duality theory and simulation in financial engineering. WSC (2003)
Martin B. Haugh, Andrew W. Lo
Computational challenges in portfolio management. Comput. Sci. Eng. 3 (3) (2001)