papers
Publications (16)
q-fin.PM2010
Illiquidity Effects in Optimal Consumption-Investment Problems
Michael Ludkovski, Hyekyung Min
stat.ME2017
Practical heteroskedastic Gaussian process modeling for large simulation experiments
Mickael Binois, Robert B. Gramacy, Michael Ludkovski
q-fin.RM2018
Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement
Michael Ludkovski, James Risk
q-fin.TR2017
Order Flows and Limit Order Book Resiliency on the Meso-Scale
Kyle Bechler, Michael Ludkovski
q-fin.CP2016
Kriging Metamodels and Experimental Design for Bermudan Option Pricing
Michael Ludkovski
q-fin.PR2012
European Option Pricing with Liquidity Shocks
Michael Ludkovski, Qunying Shen
math.PR2019
Dynamic Contagion in a Banking System with Births and Defaults
Tomoyuki Ichiba, Michael Ludkovski, Andrey Sarantsev
math.OC2010
Stochastic Switching Games and Duopolistic Competition in Emissions Markets
Michael Ludkovski
q-fin.PR2011
Optimal Timing to Purchase Options
Tim Leung, Michael Ludkovski
q-fin.CP2018
Simulation Methods for Stochastic Storage Problems: A Statistical Learning Perspective
Michael Ludkovski, Aditya Maheshwari
stat.ML2017
Generalized Probabilistic Bisection for Stochastic Root-Finding
Sergio Rodriguez, Michael Ludkovski
q-fin.ST2015
Statistical Emulators for Pricing and Hedging Longevity Risk Products
James Risk, Michael Ludkovski
stat.CO2013
Sequential Bayesian Inference in Hidden Markov Stochastic Kinetic Models with Application to Detection and Response to Seasonal Epidemics
Junjing Lin, Michael Ludkovski
econ.GN2018
Stochastic Switching Games
Liangchen Li, Michael Ludkovski
stat.CO2015
Bayesian Epidemic Detection in Multiple Populations
Michael Ludkovski, Katherine Shatskikh
math.OC2011
Finite Horizon Decision Timing with Partially Observable Poisson Processes
Michael Ludkovski, Semih Sezer