Michael Ludkovski

University of California, Santa Barbara

Dept of Statistics & Applied Probability

Santa Barbara, CA 93106

United States

http://www.pstat.ucsb.edu/faculty/ludkovski

  • University of California, Santa Barbara

SCHOLARLY PAPERS

16

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SSRN CITATIONS
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22

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81

Scholarly Papers (16)

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1.

Optimal Timing to Purchase Options

SIAM Journal on Financial Mathematics, Vol. 2, No. 1, pp. 768-793, 2011
Number of pages: 24 Posted: 23 Aug 2010 Last Revised: 12 Jan 2012
Tim Leung and Michael Ludkovski
University of Washington - Department of Applied Math and University of California, Santa Barbara
Downloads 326 (97,169)

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optimal stopping, delayed purchase premium, martingale measures, risk premia

2.

Impact of Counterparty Risk on the Reinsurance Market

North American Actuarial Journal, Forthcoming
Number of pages: 34 Posted: 07 Jan 2011 Last Revised: 24 Jan 2012
Carole Bernard and Michael Ludkovski
Grenoble Ecole de Management and University of California, Santa Barbara
Downloads 305 (104,581)
Citation 2

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Optimal Insurance Design, Multiplicative background risk, Counterparty risk, Reinsurance market, Stop-loss Insurance

3.

Testing Alternative Regression Frameworks for Predictive Modeling of Healthcare Costs

Number of pages: 31 Posted: 06 Mar 2015
Ian Duncan, Michael Loginov and Michael Ludkovski
University of California, Santa Barbara (UCSB), University of California, Santa Barbara (UCSB) and University of California, Santa Barbara
Downloads 216 (148,784)

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4.

Accounting for Risk Aversion in Derivatives Purchase Timing

Mathematics & Financial Economics, 2012
Number of pages: 24 Posted: 05 Sep 2011 Last Revised: 05 Mar 2012
Tim Leung and Michael Ludkovski
University of Washington - Department of Applied Math and University of California, Santa Barbara
Downloads 185 (171,797)
Citation 1

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sequential purchase timing, indifference pricing, exponential utility, stochastic control with optimal stopping

5.

Capacity Expansion Games with Application to Competition in Power Generation Investments

Number of pages: 41 Posted: 25 Jan 2017
René Aïd, Liangchen Li and Michael Ludkovski
Université Paris-Dauphine, University of California, Santa Barbara (UCSB) and University of California, Santa Barbara
Downloads 142 (215,228)

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Capacity Expansion; Continuous-time Games of Timing; Non-zero-sum Stopping Games; Power generation investments

6.

Game Theoretic Models for Energy Production

Number of pages: 18 Posted: 18 Mar 2015
Michael Ludkovski and Ronnie Sircar
University of California, Santa Barbara and Princeton University - Department of Operations Research and Financial Engineering
Downloads 122 (242,163)
Citation 1

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dynamic games, energy production, Cournot and Bertrand markets, exhaustible resources

7.

Dynamic Cournot Models for Production of Exhaustible Commodities Under Stochastic Demand

Number of pages: 20 Posted: 21 Mar 2014
Michael Ludkovski and Xuwei Yang
University of California, Santa Barbara and University of California, Santa Barbara (UCSB)
Downloads 98 (282,499)
Citation 1

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Cournot games, exploration control, stochastic demand, stochastic differential games, exhaustible resources

8.

Exploration and Exhaustibility in Dynamic Cournot Games

Number of pages: 26 Posted: 13 Feb 2011 Last Revised: 18 Aug 2011
Michael Ludkovski and Ronnie Sircar
University of California, Santa Barbara and Princeton University - Department of Operations Research and Financial Engineering
Downloads 97 (284,412)
Citation 4

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Cournot games, exploration control, stochastic differential games, exhaustible resources

9.

Priority Option: The Value of Being a Leader in Complete and Incomplete Markets

Number of pages: 33 Posted: 13 Aug 2012
Matheus R. Grasselli, Vincent Leclere and Michael Ludkovski
McMaster University, affiliation not provided to SSRN and University of California, Santa Barbara
Downloads 95 (288,292)

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real options, duopoly game, strategic competition

10.

Gaussian Process Models for Mortality Rates and Improvement Factors

Number of pages: 27 Posted: 31 Aug 2016
Michael Ludkovski, James Risk and Howard Zail
University of California, Santa Barbara, University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity and Elucidor, LLC
Downloads 44 (429,851)
Citation 1

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Gaussian Processes, Mortality Modeling, Kriging, Actuarial Science

11.

Technology Ladders and R&D in Dynamic Cournot Markets

Number of pages: 32 Posted: 17 Jun 2015
Michael Ludkovski and Ronnie Sircar
University of California, Santa Barbara and Princeton University - Department of Operations Research and Financial Engineering
Downloads 43 (433,708)
Citation 2

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Cournot markets, R&D innovations, technology ladder, dynamic oligopoly

12.

Liquidation in Limit Order Books with Controlled Intensity

Downloads 35 (467,146)
Citation 31

Liquidation in Limit Order Books with Controlled Intensity

Mathematical Finance, Forthcoming, DOI: 10.1111/j.1467-9965.2012.00529.x
Number of pages: 23 Posted: 27 Jan 2014
Erhan Bayraktar and Michael Ludkovski
University of Michigan at Ann Arbor - Department of Mathematics and University of California, Santa Barbara
Downloads 35 (478,175)

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Limit order books, controlled intensity, optimal control of point processes, optimal control of queueing networks, fluid limit

Liquidation in Limit Order Books with Controlled Intensity

Mathematical Finance, Vol. 24, Issue 4, pp. 627-650, 2014
Number of pages: 24 Posted: 24 Sep 2014
Erhan Bayraktar and Michael Ludkovski
University of Michigan at Ann Arbor - Department of Mathematics and University of California, Santa Barbara
Downloads 0
Citation 3
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Limit order books, controlled intensity, optimal control of point processes, optimal control of queueing networks, fluid limit

13.

Ex Post Moral Hazard and Bayesian Learning in Insurance

Journal of Risk and Insurance, Vol. 77, Issue 4, pp. 829-856, December 2010
Number of pages: 28 Posted: 16 Nov 2010
Michael Ludkovski and V.R. Young
University of California, Santa Barbara and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 3 (661,554)
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14.

Optimal Trade Execution in Illiquid Markets

Mathematical Finance, Vol. 21, Issue 4, pp. 681-701, 2011
Number of pages: 21 Posted: 23 Aug 2011
Erhan Bayraktar and Michael Ludkovski
University of Michigan at Ann Arbor - Department of Mathematics and University of California, Santa Barbara
Downloads 2 (671,082)
Citation 4
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optimal order execution, liquidity modeling, dark pools, Markov‐modulated Poisson process

15.

Kriging Metamodels and Experimental Design for Bermudan Option Pricing

Journal of Computational Finance, Vol. 22, No. 1, 2018
Number of pages: 42 Posted: 28 Jun 2018
Michael Ludkovski
University of California, Santa Barbara
Downloads 0 (700,513)
Citation 1
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regression Monte Carlo (RMC), Gaussian process regression, sequential design, Bermudan option valuation, stochastic simulation.

16.

Financial Hedging of Operational Flexibility

International Journal of Theoretical and Applied Finance (IJTAF), Vol. 11, No. 8, pp. 799-839, 2008
Posted: 16 Apr 2010 Last Revised: 20 Apr 2010
Michael Ludkovski
University of California, Santa Barbara

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Operational flexibility, indifference pricing, compound options, stochastic income