Mikhail Urusov

Publication Activity (10 Years)

Years Active: 2012-2024
Publications (10 Years): 4

Top Topics

Monte Carlo Methods

Approximation Schemes

Operating Point

Top Venues

SIAM J. Financial Math.

Ann. Oper. Res.

Math. Comput. Simul.

Publications

Julia Ackermann, Thomas Kruse, Mikhail Urusov
Self-exciting price impact via negative resilience in stochastic order books. Ann. Oper. Res. 336 (1-2) (2024)
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)