Concepedia

Michael Ludkovski

ML

25

Publications

1.1K

Citations

18

H-Index

2001

Active since

Affiliations

University of California, Santa Barbara(Current)

University of Michigan

Princeton University

Michael Ludkovski is an author at University of California, Santa Barbara specializing in engineering, operations research, and finance.

Top concepts

EngineeringFinanceBusinessEconomicsOperations ResearchManagementSystems EngineeringStatisticsEnergy ManagementPredictive Analytics

Publications per year

2001–2021

25

Publications

25

Valuation of energy storage: an optimal switching approach

René Carmona, Michael Ludkovski · Quantitative Finance · 2009 · 183 citations

Mathematical Programming, Electrical Engineering, Option Pricing +14

LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY

Erhan Bayraktar, Michael Ludkovski · Mathematical Finance · 2012 · 134 citations · Full text

Market Manipulation, Engineering, Order Arrivals +12

Pricing Asset Scheduling Flexibility using Optimal Switching

René Carmona, Michael Ludkovski · Applied Mathematical Finance · 2008 · 89 citations

On comonotonicity of Pareto optimal risk sharing

Michael Ludkovski, Ludger Rüschendorf · Statistics & Probability Letters · 2008 · 65 citations

Economics, Portfolio Optimization, Risk Management +6

OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS

Erhan Bayraktar, Michael Ludkovski · Mathematical Finance · 2010 · 63 citations

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