Mike Ludkovski
Mike Ludkovski
Professor, UC Santa Barbara
Verified email at pstat.ucsb.edu - Homepage
TitleCited byYear
Valuation of energy storage: An optimal switching approach
R Carmona, M Ludkovski
Quantitative finance 10 (4), 359-374, 2010
1732010
Liquidation in limit order books with controlled intensity
E Bayraktar, M Ludkovski
Mathematical Finance 24 (4), 627-650, 2014
1322014
Pricing asset scheduling flexibility using optimal switching
R Carmona, M Ludkovski
Applied Mathematical Finance 15 (5-6), 405-447, 2008
982008
Optimal trade execution in illiquid markets
E Bayraktar, M Ludkovski
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2011
612011
Spot convenience yield models for the energy markets
R Carmona, M Ludkovski
Contemporary Mathematics 351, 65-80, 2004
57*2004
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
532018
On comonotonicity of Pareto optimal risk sharing
M Ludkovski, L Rüschendorf
Statistics & Probability Letters 78 (10), 1181-1188, 2008
482008
Optimal switching with applications to energy tolling agreements
M Ludkovski
Princeton University, 2005
362005
Optimal dynamic policies for influenza management
M Ludkovski, J Niemi
Statistical Communications in Infectious Diseases 2 (1), 2010
352010
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
352008
Exploration and exhaustibility in dynamic Cournot games
M Ludkovski, R Sircar
European Journal of Applied Mathematics 23 (3), 343-372, 2012
332012
Sequential design for optimal stopping problems
RB Gramacy, M Ludkovski
SIAM Journal on Financial Mathematics 6 (1), 748-775, 2015
312015
Optimal risk sharing under distorted probabilities
M Ludkovski, VR Young
Mathematics and Financial Economics 2 (2), 87-105, 2009
312009
A simulation approach to optimal stopping under partial information
M Ludkovski
Stochastic processes and their applications 119 (12), 4061-4087, 2009
292009
Inventory management with partially observed nonstationary demand
E Bayraktar, M Ludkovski
Annals of Operations Research 176 (1), 7-39, 2010
282010
Replication or exploration? Sequential design for stochastic simulation experiments
M Binois, J Huang, RB Gramacy, M Ludkovski
Technometrics 61 (1), 7-23, 2019
262019
Kriging metamodels and experimental design for Bermudan option pricing
M Ludkovski
Journal of Computational Finance 22 (1), 2018
22*2018
Optimal timing to purchase options
T Leung, M Ludkovski
SIAM Journal on Financial Mathematics 2 (1), 768-793, 2011
212011
Sequential tracking of a hidden Markov chain using point process observations
E Bayraktar, M Ludkovski
Stochastic Processes and their Applications 119 (6), 1792-1822, 2009
192009
Accounting for risk aversion in derivatives purchase timing
T Leung, M Ludkovski
Mathematics and Financial Economics 6 (4), 363-386, 2012
182012
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Articles 1–20