Michael Ludkovski

Available identifiers

zbMath Open ludkovski.michaelMaRDI QIDQ260999

List of research outcomes

Publication	Date of Publication	Type
Regression Monte Carlo for impulse control	2022-11-08	Paper
KrigHedge: Gaussian Process Surrogates for Delta Hedging	2022-07-26	Paper
Large-scale local surrogate modeling of stochastic simulation experiments	2022-07-22	Paper
Practical Heteroscedastic Gaussian Process Modeling for Large Simulation Experiments	2022-03-28	Paper
Relative Hedging of Systematic Mortality Risk	2022-02-11	Paper
An impulse-regime switching game model of vertical competition	2022-01-20	Paper
Evaluating Gaussian process metamodels and sequential designs for noisy level set estimation	2021-12-09	Paper
Statistical learning for probability-constrained stochastic optimal control	2021-06-03	Paper
Dynamic contagion in a banking system with births and defaults	2020-01-31	Paper
Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement	2019-03-20	Paper
GAUSSIAN PROCESS MODELS FOR MORTALITY RATES AND IMPROVEMENT FACTORS	2018-10-19	Paper
Technology ladders and R\&D in dynamic Cournot markets	2018-08-09	Paper
Capacity expansion games with application to competition in power generation investments	2018-08-09	Paper
Practical Heteroscedastic Gaussian Process Modeling for Large Simulation Experiments	2018-07-11	Paper
Quickest detection in the Wiener disorder problem with post-change uncertainty	2017-04-11	Paper
Statistical emulators for pricing and hedging longevity risk products	2016-10-06	Paper
Sequential Bayesian inference in hidden Markov stochastic kinetic models with application to detection and response to seasonal epidemics	2016-03-22	Paper
Optimal Execution with Dynamic Order Flow Imbalance	2015-12-09	Paper
Sequential Design for Optimal Stopping Problems	2015-08-28	Paper
LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY	2014-11-05	Paper
Impact of Counterparty Risk on the Reinsurance Market	2014-07-19	Paper
EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS	2014-02-11	Paper
PRIORITY OPTION: THE VALUE OF BEING A LEADER	2013-04-22	Paper
Accounting for risk aversion in derivatives purchase timing	2013-02-26	Paper
Optimal risk sharing under distorted probabilities	2013-01-20	Paper
Bayesian Quickest Detection in Sensor Arrays	2012-11-27	Paper
Monte Carlo Methods for Adaptive Disorder Problems	2012-09-28	Paper
Finite Horizon Decision Timing with Partially Observable Poisson Processes	2012-08-13	Paper
Exploration and exhaustibility in dynamic Cournot games	2012-06-04	Paper
Stochastic Switching Games and Duopolistic Competition in Emissions Markets	2012-04-19	Paper
Optimal Timing to Purchase Options	2012-04-19	Paper
OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS	2011-11-21	Paper
Inventory management with partially observed nonstationary demand	2010-09-20	Paper
Valuation of energy storage: an optimal switching approach	2010-05-26	Paper
A simulation approach to optimal stopping under partial information	2009-12-16	Paper
Sequential tracking of a hidden Markov chain using point process observations	2009-06-04	Paper
FINANCIAL HEDGING OF OPERATIONAL FLEXIBILITY	2009-04-21	Paper
Pricing Asset Scheduling Flexibility using Optimal Switching	2009-03-23	Paper
Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates	2008-08-22	Paper
On comonotonicity of Pareto optimal risk sharing	2008-08-08	Paper
Filling the gap between American and Russian options: adjustable regret	2007-03-30	Paper
https://portal.mardi4nfdi.de/entity/Q3160497	2005-02-09	Paper
https://portal.mardi4nfdi.de/entity/Q2741433	2001-10-15	Paper

Research outcomes over time

Doctoral students

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