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Mikhail Urusov
Publication Activity (10 Years)
Years Active: 2012-2021
Publications (10 Years): 3
Top Topics
Approximation Schemes
Variance Reduction
Diffusion Models
Bin Packing
Top Venues
SIAM J. Financial Math.
Finance Stochastics
Math. Comput. Simul.
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Publications
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Julia Ackermann
,
Thomas Kruse
,
Mikhail Urusov
Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters.
SIAM J. Financial Math.
12 (2) (2021)
Denis Belomestny
,
Stefan Häfner
,
Mikhail Urusov
Stratified regression-based variance reduction approach for weak approximation schemes.
Math. Comput. Simul.
143 (2018)
Denis Belomestny
,
Stefan Häfner
,
Mikhail Urusov
Regression-Based Complexity Reduction of the Nested Monte Carlo Methods.
SIAM J. Financial Math.
9 (2) (2018)
Aleksandar Mijatovic
,
Mikhail Urusov
Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models.
Finance Stochastics
16 (2) (2012)