Mike Ludkovski

University of California

Mike Ludkovski is a Professor of Statistics and Applied Probability at University of California Santa Barbara where he co-directs the Center for Financial Mathematics and Actuarial Research. Among his research interests are Monte Carlo techniques for optimal stopping/stochastic control, stochastic modeling of energy markets, and applications of machine learning in longevity and non-life insurance. His research has been supported by NSF, DOE, ARPA-E and CAS. He is a past Chair of the SIAM Activity Group on Financial Mathematics and Engineering, and is a current member of the Council of the Bachelier Finance Society. He holds a Ph.D. in Operations Research and Financial Engineering from Princeton University and has held visiting positions at London School of Economics and Paris Dauphine University.

Articles by Mike Ludkovski

Original research

Toward a unified implementation of regression Monte Carlo algorithms

The authors put forward a publicly available computational template for machine learning, named mlOSP, which presents a unified numerical implementation of RMC approaches for optimal stopping.

10 Aug 2023

Original research

Kriging metamodels and experimental design for Bermudan option pricing

This paper investigates two new strategies for the numerical solution of optimal stopping problems in the regression Monte Carlo (RMC) framework.

22 Jun 2018

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