Mike Ludkovski

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Rene CarmonaPrinceton UniversityAdresse e-mail validée de princeton.edu
Jimmy RiskAssistant ProfessorAdresse e-mail validée de cpp.edu
Erhan BayraktarProfessor, University of Michigan, Department of MathematicsAdresse e-mail validée de umich.edu
Robert B. GramacyVirginia TechAdresse e-mail validée de vt.edu
Mickael BinoisInria Sophia Antipolis - MéditerranéeAdresse e-mail validée de inria.fr
Jarad NiemiIowa State UniversityAdresse e-mail validée de iastate.edu
Virginia R. YoungDepartment of Mathematics, University of MichiganAdresse e-mail validée de umich.edu
Aditya MaheshwariSenior Applied Scientist, Amazon.comAdresse e-mail validée de amazon.com
Carole BernardProfessor, Grenoble Ecole de Management, FranceAdresse e-mail validée de grenoble-em.com
Tim LeungBoeing Professor of Applied Mathematics, Computational Finance & Risk Management (CFRM) ProgramAdresse e-mail validée de uw.edu
Xiong (Victoria) LyuPhD at University of California, Santa BarbaraAdresse e-mail validée de ucsb.edu
Rüschendorf,LudgerStochastik,Uni FreiburgAdresse e-mail validée de stochastik.uni-freiburg.de
Ian DuncanAdjunct Professor, Statistics & Applied Probability, University of California, Santa BarbaraAdresse e-mail validée de pstat.ucsb.edu
Miguel HelenoLawrence Berkeley National LaboratoryAdresse e-mail validée de lbl.gov
Ruimeng HuAssociate Professor, University of California, Santa BarbaraAdresse e-mail validée de ucsb.edu
Tao ChenPostdoctoral Assistant Professor, University of Michigan, Ann ArborAdresse e-mail validée de umich.edu
Yuri SaporitoAssociate Professor, School of Applied Mathematics (EMAp), Fundação Getulio Vargas (FGV)Adresse e-mail validée de fgv.br
Matheus GrasselliMcMaster UniversityAdresse e-mail validée de math.mcmaster.ca
vincent leclereEcole des Ponts ParisTechAdresse e-mail validée de enpc.fr
Jan PalczewskiUniversity of LeedsAdresse e-mail validée de leeds.ac.uk

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Mike Ludkovski

Professor, UC Santa Barbara

Adresse e-mail validée de pstat.ucsb.edu - Page d'accueil

Mathematical Finance Energy Finance Stochastic Games Computational Finance


Titre Trier par citations Trier par année Trier par titre	Citée par Citée par	Année
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	245	2018
Valuation of energy storage: An optimal switching approach R Carmona, M Ludkovski Quantitative finance 10 (4), 359-374, 2010	229	2010
Liquidation in limit order books with controlled intensity E Bayraktar, M Ludkovski Mathematical Finance 24 (4), 627-650, 2014	171	2014
Replication or exploration? Sequential design for stochastic simulation experiments M Binois, J Huang, RB Gramacy, M Ludkovski Technometrics 61 (1), 7-23, 2019	147	2019
Pricing asset scheduling flexibility using optimal switching R Carmona, M Ludkovski Applied Mathematical Finance 15 (5-6), 405-447, 2008	139	2008
Spot convenience yield models for the energy markets R Carmona, M Ludkovski Contemporary mathematics 351 (65-80), 9, 2004	81	2004
Optimal trade execution in illiquid markets E Bayraktar, M Ludkovski Mathematical Finance: An International Journal of Mathematics, Statistics …, 2011	72	2011
On comonotonicity of Pareto optimal risk sharing M Ludkovski, L Rüschendorf Statistics & Probability Letters 78 (10), 1181-1188, 2008	72	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	67	2016
Kriging metamodels and experimental design for Bermudan option pricing M Ludkovski arXiv preprint arXiv:1509.02179, 2015	60	2015
Optimal risk sharing under distorted probabilities M Ludkovski, VR Young Mathematics and Financial Economics 2, 87-105, 2009	52	2009
Optimal dynamic policies for influenza management M Ludkovski, J Niemi Statistical Communications in Infectious Diseases 2 (1), 2010	49	2010
Sequential design for optimal stopping problems RB Gramacy, M Ludkovski SIAM Journal on Financial Mathematics 6 (1), 748-775, 2015	46	2015
Impact of counterparty risk on the reinsurance market C Bernard, M Ludkovski North American Actuarial Journal 16 (1), 87-111, 2012	46	2012
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	46	2008
Inventory management with partially observed nonstationary demand E Bayraktar, M Ludkovski Annals of Operations Research 176 (1), 7-39, 2010	45	2010
Exploration and exhaustibility in dynamic Cournot games M Ludkovski, R Sircar European Journal of Applied Mathematics 23 (3), 343-372, 2012	43	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	39	2018
Optimal execution with dynamic order flow imbalance K Bechler, M Ludkovski SIAM Journal on Financial Mathematics 6 (1), 1123-1151, 2015	36	2015

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