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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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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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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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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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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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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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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