Mike Ludkovski

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Rene CarmonaPrinceton UniversityEmail verificata su princeton.edu
Erhan BayraktarProfessor, University of Michigan, Department of MathematicsEmail verificata su umich.edu
Robert B. GramacyVirginia TechEmail verificata su vt.edu
Jimmy RiskAssistant ProfessorEmail verificata su cpp.edu
Mickael BinoisInria Sophia Antipolis - MéditerranéeEmail verificata su inria.fr
Jarad NiemiIowa State UniversityEmail verificata su iastate.edu
Virginia R. YoungDepartment of Mathematics, University of MichiganEmail verificata su umich.edu
Aditya MaheshwariSenior Applied Scientist, Amazon.comEmail verificata su amazon.com
Tim LeungBoeing Professor of Applied Mathematics, Computational Finance & Risk Management (CFRM) ProgramEmail verificata su uw.edu
Carole BernardProfessor, Grenoble Ecole de Management, FranceEmail verificata su grenoble-em.com
Xiong (Victoria) LyuPhD at University of California, Santa BarbaraEmail verificata su ucsb.edu
Rüschendorf,LudgerStochastik,Uni FreiburgEmail verificata su stochastik.uni-freiburg.de
Ian DuncanAdjunct Professor, Statistics & Applied Probability, University of California, Santa BarbaraEmail verificata su pstat.ucsb.edu
Miguel HelenoLawrence Berkeley National LaboratoryEmail verificata su lbl.gov
Ruimeng HuAssociate Professor, University of California, Santa BarbaraEmail verificata su ucsb.edu
Tao ChenPostdoctoral Assistant Professor, University of Michigan, Ann ArborEmail verificata su umich.edu
Matheus GrasselliMcMaster UniversityEmail verificata su math.mcmaster.ca
vincent leclereEcole des Ponts ParisTechEmail verificata su enpc.fr
Yuri SaporitoAssociate Professor, School of Applied Mathematics (EMAp), Fundação Getulio Vargas (FGV)Email verificata su fgv.br
Olympia HadjiliadisProfessor of Mathematics and Statistics, CUNYEmail verificata su hunter.cuny.edu

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Mike Ludkovski

Professor, UC Santa Barbara

Email verificata su pstat.ucsb.edu - Home page

Mathematical Finance Energy Finance Stochastic Games Computational Finance


Titolo Ordina per citazioni Ordina per anno Ordina per titolo	Citata da Citata da	Anno
Practical heteroscedastic Gaussian process modeling for large simulation experiments M Binois, RB Gramacy, M Ludkovski Journal of Computational and Graphical Statistics 27 (4), 808-821, 2018	225	2018
Valuation of energy storage: An optimal switching approach R Carmona, M Ludkovski Quantitative finance 10 (4), 359-374, 2010	225	2010
Liquidation in limit order books with controlled intensity E Bayraktar, M Ludkovski Mathematical Finance 24 (4), 627-650, 2014	168	2014
Replication or exploration? Sequential design for stochastic simulation experiments M Binois, J Huang, RB Gramacy, M Ludkovski Technometrics 61 (1), 7-23, 2019	144	2019
Pricing asset scheduling flexibility using optimal switching R Carmona, M Ludkovski Applied Mathematical Finance 15 (5-6), 405-447, 2008	137	2008
Spot convenience yield models for the energy markets R Carmona, M Ludkovski Contemporary Mathematics 351, 65-80, 2004	75	2004
Optimal trade execution in illiquid markets E Bayraktar, M Ludkovski Mathematical Finance: An International Journal of Mathematics, Statistics …, 2011	74	2011
On comonotonicity of Pareto optimal risk sharing M Ludkovski, L Rüschendorf Statistics & Probability Letters 78 (10), 1181-1188, 2008	69	2008
Testing alternative regression frameworks for predictive modeling of health care costs I Duncan, M Loginov, M Ludkovski North American Actuarial Journal 20 (1), 65-87, 2016	64	2016
Kriging metamodels and experimental design for Bermudan option pricing M Ludkovski arXiv preprint arXiv:1509.02179, 2015	58	2015
Optimal risk sharing under distorted probabilities M Ludkovski, VR Young Mathematics and Financial Economics 2, 87-105, 2009	50	2009
Optimal dynamic policies for influenza management M Ludkovski, J Niemi Statistical Communications in Infectious Diseases 2 (1), 2010	48	2010
Inventory management with partially observed nonstationary demand E Bayraktar, M Ludkovski Annals of Operations Research 176 (1), 7-39, 2010	46	2010
Sequential design for optimal stopping problems RB Gramacy, M Ludkovski SIAM Journal on Financial Mathematics 6 (1), 748-775, 2015	45	2015
Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates M Ludkovski, VR Young Insurance: Mathematics and Economics 42 (1), 14-30, 2008	44	2008
Exploration and exhaustibility in dynamic Cournot games M Ludkovski, R Sircar European Journal of Applied Mathematics 23 (3), 343-372, 2012	43	2012
Impact of counterparty risk on the reinsurance market C Bernard, M Ludkovski North American Actuarial Journal 16 (1), 87-111, 2012	42	2012
Optimal switching with applications to energy tolling agreements M Ludkovski Princeton University, 2005	41	2005
Gaussian process models for mortality rates and improvement factors M Ludkovski, J Risk, H Zail ASTIN Bulletin: The Journal of the IAA 48 (3), 1307-1347, 2018	37	2018
A simulation approach to optimal stopping under partial information M Ludkovski Stochastic processes and their applications 119 (12), 4061-4087, 2009	37	2009

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