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Mikhail Urusov

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Journal Articles

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2024
[j5]
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  - journals/anor/AckermannKU24
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  - https://dblp.org/rec/journals/anor/AckermannKU24
Julia Ackermann, Thomas Kruse, Mikhail Urusov:
Self-exciting price impact via negative resilience in stochastic order books. Ann. Oper. Res. 336(1-2): 637-659 (2024)
2021
[j4]
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  - journals/siamfm/AckermannKU21
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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): 788-822 (2021)
2018
[j3]
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  - journals/mcs/BelomestnyHU18
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Denis Belomestny, Stefan Häfner, Mikhail Urusov:
Stratified regression-based variance reduction approach for weak approximation schemes. Math. Comput. Simul. 143: 125-137 (2018)
[j2]
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Denis Belomestny, Stefan Häfner, Mikhail Urusov:
Regression-Based Complexity Reduction of the Nested Monte Carlo Methods. SIAM J. Financial Math. 9(2): 665-689 (2018)
2012
[j1]
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  - journals/fs/MijatovicU12
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Aleksandar Mijatovic, Mikhail Urusov:
Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models. Finance Stochastics 16(2): 225-247 (2012)

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