Valuation of energy storage: An optimal switching approach R Carmona, M Ludkovski Quantitative finance 10 (4), 359-374, 2010 | 221 | 2010 |
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 | 218 | 2018 |
Liquidation in limit order books with controlled intensity E Bayraktar, M Ludkovski Mathematical Finance 24 (4), 627-650, 2014 | 166 | 2014 |
Replication or exploration? Sequential design for stochastic simulation experiments M Binois, J Huang, RB Gramacy, M Ludkovski Technometrics 61 (1), 7-23, 2019 | 140 | 2019 |
Pricing asset scheduling flexibility using optimal switching R Carmona, M Ludkovski Applied Mathematical Finance 15 (5-6), 405-447, 2008 | 135 | 2008 |
Optimal trade execution in illiquid markets E Bayraktar, M Ludkovski Mathematical Finance: An International Journal of Mathematics, Statistics …, 2011 | 73 | 2011 |
Spot convenience yield models for the energy markets R Carmona, M Ludkovski Contemporary Mathematics 351, 65-80, 2004 | 73 | 2004 |
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 | 61 | 2016 |
Kriging metamodels and experimental design for Bermudan option pricing M Ludkovski Journal of Computational Finance, 2018 | 58 | 2018 |
Optimal risk sharing under distorted probabilities M Ludkovski, VR Young Mathematics and Financial Economics 2, 87-105, 2009 | 49 | 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 | 45 | 2010 |
Sequential design for optimal stopping problems RB Gramacy, M Ludkovski SIAM Journal on Financial Mathematics 6 (1), 748-775, 2015 | 44 | 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 | 41 | 2012 |
Optimal switching with applications to energy tolling agreements M Ludkovski Princeton University, 2005 | 41 | 2005 |
A simulation approach to optimal stopping under partial information M Ludkovski Stochastic processes and their applications 119 (12), 4061-4087, 2009 | 37 | 2009 |
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 | 35 | 2018 |