Mike Ludkovski Publications

Book

FIC-74

Commodities, Energy, and Environmental Finance

R. Aid, M. Ludkovski, R. Sircar (Eds)
Fields Institute Communications, vol 74
Springer Verlag, 2015
ISBN 978-1493927326

Available from Springer and Amazon

Preprints

  1. Order Flows and Limit Order Book Resiliency on the Meso-Scale (with K. Bechler), 2017 arxiv

  2. Practical Heteroskedastic Gaussian Process Modeling for Large Simulation Experiments (with M. Binois and R. Gramacy), 2016 arxiv

  3. Gaussian Process Models for Mortality Rates and Improvement Factors (with J. Risk and H. Zail), 2016 arxiv

  4. Bayesian Detection of Epidemics in Multiple Populations (with K. Shatskikh), 2015 PDF

Articles

  1. Capacity Expansion Games with Application to Competition in Power Generation Investments (with R. Aid and L. Li), 2016
    Journal of Economic Dynamics and Control, to Appear, 2017. ssrn

  2. Kriging Metamodels and Experimental Design for Bermudan Option Pricing
    Journal of Computational Finance, to Appear, 2017. arxiv

  3. Detection and Identification in the Wiener Disorder Problem with Post-Change Drift Uncertainty (with O. Hadjiliadis and H. Yang)
    Stochastics, 89(3-4), 654-685, 2017. Journal Link

  4. Sequential Design for Ranking Response Surfaces (with R. Hu)
    SIAM/ASA Journal on Uncertainty Quantification, 5(1), 212-239, 2017. arxiv and Journal Link.

  5. Technology Ladders and R&D in Dynamic Cournot Markets (with R. Sircar)
    Journal of Economic Dynamics and Control, 69, 127-151, 2016. ssrn and Journal Link.

  6. Statistical Emulators for Pricing and Hedging Longevity Risk Products (with J. Risk)
    Insurance: Mathematics and Economics, 68, 45-60, 2016. arxiv and Journal Link.

  7. Optimal Execution with Dynamic Order Flow Imbalance (with K. Bechler)
    SIAM Journal on Financial Mathematics, 6(1), 1123-1151, 2015. arxiv and Journal Link.

  8. Stochastic Optimal Coordination of Small UAVs for Target Tracking Using Regression-Based Dynamic Programming (with J. Hespanha and S. Quintero)
    Journal of Intelligent and Robotic Systems, 82(1), 135-162, 2016. PDF and Journal Link.

  9. Sequential Design for Optimal Stopping Problems (with R. Gramacy)
    SIAM Journal on Financial Mathematics, 6(1), 748-775, 2015. arxiv and Journal Link.

  10. Testing Alternative Regression Frameworks for Predictive Modeling of Healthcare Costs (with I. Duncan and M. Loginov)
    North American Actuarial Journal, 20(1), 1-23, 2016. ssrn and Journal Link.

  11. Game Theoretic Models for Energy Production (with R. Sircar), in Commodities, Energy and Environmental Finance, Fields Institute Comunications Series, R. Aid et al., eds., Springer, pp. 317-334, 2015 ssrn and Book link

  12. Dynamic Cournot Models for Production of Exhaustible Commodities under Stochastic Demand (with X. Yang), in Commodities, Energy and Environmental Finance, Fields Institute Communications Series, R. Aid et al., eds., Springer, pp. 371-396, 2015 ssrn and Book link

  13. Sequential Bayesian Inference in Hidden Markov Stochastic Kinetic Models with Application to Detection and Response to Seasonal Epidemics (with J. Lin)
    Statistics and Computing, 24(6), 1047-1062 , 2014. arxiv and Journal Link.

  14. European Option Pricing with Liquidity Shocks (with Q. Shen)
    International Journal of Theoretical and Applied Finance, 16(7), 1350043 (30 pages), 2013. arxiv and Journal Link.

  15. Priority Option: the Value of Being a Leader in Complete and Incomplete Markets (with M. Grasselli and V. Leclere)
    International Journal of Theoretical and Applied Finance, 16(1): 1350004 (37 pages), 2013. ssrn and Journal Link.

  16. Bayesian Quickest Detection in Sensor Arrays
    Sequential Analysis, 31(4), 481-504, 2012. PDF and Journal Link.

  17. Liquidation in Limit Order Books with Controlled Intensity (with E. Bayraktar)
    Mathematical Finance, 24(4), pp. 627-650, 2014. arxiv and Journal Link.

  18. Accounting for Risk Aversion in Derivatives Purchase Timing (with T. Leung)
    Mathematics and Financial Economics, 6(4), 363-386, 2012. ssrn and Journal link.

  19. Exploration and Exhaustibility in Dynamic Cournot Games (with R. Sircar)
    European Journal of Applied Mathematics, 23(3), 343-372, 2012. ssrn and Journal link.

  20. Impact of Counterparty Risk on the Reinsurance Market (with C. Bernard)
    North American Actuarial Journal,16(1), 87-111, 2012. ssrn and Journal Link.

  21. Optimal Timing to Purchase Options (with T. Leung)
    SIAM Journal on Financial Mathematics, 2, 768-793, 2011. arxiv ssrn and Journal link.

  22. Monte Carlo methods for Adaptive Disorder Problems
    Numerical Methods in Finance, Springer Proceedings in Mathematics, vol 12. Carmona et al., eds., pp. 83-112, 2012. PDF and book link.

  23. Stochastic Switching Games and Duopolistic Competition in Emissions Markets
    SIAM Journal on Financial Mathematics, 2, 488-511, 2011. arxiv and Journal link.

  24. Finite Horizon Decision Timing with Partially Observable Poisson Processes (with S. Sezer)
    Stochastic Models, 28(2), 207-247, 2012. arxiv (older longer version) and Journal link

  25. Optimal Dynamic Policies for Influenza Management (with J. Niemi)
    Statistical Communications in Infectious Diseases, 2(1), article 5 (electronic), 2010. PDF and Journal link.

  26. A Simulation Approach to Optimal Stopping under Partial Information
    Stochastic Processes and Applications, 119(12), 2071-2087, 2009. PDF and Journal link.

  27. Optimal Trade Execution in Illiquid Markets (with E. Bayraktar)
    Mathematical Finance 21(4), 681-701, 2011. arxiv and Journal link

  28. Inventory Management with Partially Observed Nonstationary Demand (with E. Bayraktar)
    Annals of Operations Research, 176, 7-39, 2010. PDF and Journal link.

  29. Ex Post Moral Hazard And Bayesian Learning In Insurance (with V. R. Young)
    Journal of Risk and Insurance, 77 (4), 829-856, 2010. PDF and Journal link.

  30. Optimal Risk Sharing under Distorted Probabilities (with V.R. Young)
    Mathematics and Financial Economics, 2(2): 87-105, 2009. arxiv and Journal link.

  31. Sequential Tracking of a Hidden Markov Chain using Point Process Observations (with E. Bayraktar),
    Stochastic Processes and Applications, 119(6): 1792-1822, 2009. arxiv and Journal Link

  32. Valuation of Energy Storage: An Optimal Switching Approach (with R. Carmona)
    Quantitative Finance, 10(4), 359-374, 2010. PDFand Journal Link

  33. Relative Hedging of Systematic Mortality Risk (with E. Bayraktar)
    North American Actuarial Journal, 13(1): 106-140, 2009. PDF and Journal Link.

  34. Financial Hedging of Operational Flexibility,
    International Journal of Theoretical and Applied Finance, 11(8): 799-839, 2008. PDF and Journal Link.

  35. On Comonotonicity of Pareto Optimal Allocations (with L. Ruschendorf),
    Statistics and Probability Letters
    , 78(10): 1181-1188, 2008. PDF and Journal Link.

  36. Indifference Pricing of Annuities and Pure Endowments under Stochastic Hazard and Interest Rates (with V.R. Young),
    Insurance: Mathematics and Economics
    , 42(1): 14-30, 2008. Journal Link.

  37. Filling the Gap between American and Russian Options: Adjustable Regret (with S. Dayanik),
    Stochastics
    , 79(1): 61-83, 2007. PDF.

  38. Pricing Asset Scheduling Flexibility Using Optimal Switching (with R. Carmona)
    Applied Mathematical Finance, 15(6):405-447, 2008. PDF

Conference Proceedings

  1. [POSTER] Information directed sampling for stochastic root finding (with S. Rodriguez), Proceedings of the 2015 Winter Simulation Conference, (S. Jain et al., Eds.), 2015, pp 3142-3143.

  2. [POSTER] Computational Method for Epidemic Detection in Multiple Populations (with E. Shatskikh), ISDS 2014 Annual Meeting, Dec 2014
    Online Journal of Public Health Informatics, Vol 7, Issue 1: e158
    [Online Link]

  3. Sequential Bayesian Inference for Detection and Response to Seasonal Epidemics (with J. Lin), ISDS 2012 Annual Meeting,
    Online Journal of Public Health Informatics, Vol 5, Issue 1
    [Online Link]

  4. Tau-leaped Particle Learning (with J. Niemi), ISDS 2012 Annual Meeting,
    Online Journal of Public Health Informatics, Vol 5, Issue 1
    [Online Link]

  5. Bayesian Quickest Detection with Observation-Changepoint Feedback
    Proceedings of the 2012 Conference on Decisions and Control

    Dec 2012. PDF.

  6. Optimal Disease Outbreak Decisions using Stochastic Simulation (with J. Niemi)
    Proceedings of the 2011 Winter Simulation Conference, (S. Jain et al., Eds.),

    July 2011. PDF.

  7. Optimal sequential management decisions for measles outbreaks (with J. Niemi) ISDS 2011 Annual Meeting,
    Emerging Health Threats Journal, Vol 4
    [Online Link]

  8. Spot Convenience Yield Models for Energy Markets (with R. Carmona)
    AMS Mathematics of Finance, G. Yin & Y. Zhang eds., vol. 351 of Contemporary Mathematics, pp. 65--80, 2004. PDF

Other Publications

  1. Swing Options (with R. Carmona),
    Encyclopedia of Quantitative Finance, (R. Cont Ed.),
    August 2008.PDF

  2. Energy Trading (with R. Carmona),
    SIAM News, July 2006. Reprinted in "Weather, Energy and Environmental Hedging: An Introduction", A.F.C. da Silva (ed.), Icfai University Press, 2007.

  3. Illiquidity Effects in Optimal Consumption-Investment Problems (with H. Min), 2010. arxiv

  4. Indifference Pricing of Commodity Forwards with Partial Observations and Basis Risk (with R Carmona).
    Permanent Working Paper, May 2004, revised July 2006. PDF

  5. (Summer Research Internship report): B. Lin, Dual simulation methods in optimal switching problems, PDF, July 2009.

  6. Optimal Switching with Applications to Energy Tolling Agreements,
    PhD Thesis, Princeton University, June 2005. PDF