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ECONIS (ZBW)
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Kriging metamodels and experimental design for Bermudan option pricing
Ludkovski, Mike
- In:
The journal of computational finance
22
(
2018
)
1
,
pp. 37-77
Persistent link: https://www.econbiz.de/10011890178
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2
Accounting for risk aversion in derivatives purchase timing
Leung, Tim
;
Ludkovski, Mike
- In:
Mathematics and financial economics
6
(
2012
)
4
,
pp. 363-386
Persistent link: https://www.econbiz.de/10009623554
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3
Order flows and limit order book resiliency on the Meso-scale
Bechler, Kyle
;
Ludkovski, Mike
- In:
Market microstructure and liquidity
3
(
2017
)
3/4
,
pp. 1-33
Persistent link: https://www.econbiz.de/10011988892
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4
Gaussian process models for mortality rates and improvement factors
Ludkovski, Mike
;
Risk, Jimmy
;
Zail, Howard
- In:
Astin bulletin : the journal of the International …
48
(
2018
)
3
,
pp. 1307-1347
Persistent link: https://www.econbiz.de/10011999992
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5
Multi-output Gaussian processes for multi-population longevity modelling
Nhan Huynh
;
Ludkovski, Mike
- In:
Annals of actuarial science : publ. by the Institute of …
15
(
2021
)
2
,
pp. 318-345
Persistent link: https://www.econbiz.de/10012593583
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6
An impulse-regime switching game model of vertical competition
Aïd, René
;
Campi, Luciano
;
Li, Liangchen
;
Ludkovski, Mike
- In:
Dynamic games and applications : DGA
11
(
2021
)
4
,
pp. 631-669
Persistent link: https://www.econbiz.de/10012666343
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7
KrigHedge : Gaussian process surrogates for Delta hedging
Ludkovski, Mike
;
Saporito, Yuri
- In:
Applied mathematical finance
28
(
2021
)
4
,
pp. 330-360
Persistent link: https://www.econbiz.de/10013411700
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8
On parametric optimal execution and machine learning surrogates
Chen, Tao
;
Ludkovski, Mike
;
Voß, Moritz
- In:
Quantitative finance
24
(
2024
)
1
,
pp. 15-34
Persistent link: https://www.econbiz.de/10014551893
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9
Joint models for cause-of-death mortality in multiple populations
Nhan Huynh
;
Ludkovski, Mike
- In:
Annals of actuarial science : publ. by the Institute of …
18
(
2024
)
1
,
pp. 51-77
Persistent link: https://www.econbiz.de/10014519968
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10
Expressive mortality models through Gaussian process kernels
Risk, Jimmy
;
Ludkovski, Mike
- In:
ASTIN bulletin : the journal of the International …
54
(
2024
)
2
,
pp. 327-359
Persistent link: https://www.econbiz.de/10015055291
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