Mikhail Urusov

According to our database, Mikhail Urusov authored at least 5 papers between 2012 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2024

Self-exciting price impact via negative resilience in stochastic order books.

Julia Ackermann, Thomas Kruse, Mikhail Urusov

Ann. Oper. Res., May, 2024

2021

Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters.

Julia Ackermann, Thomas Kruse, Mikhail Urusov

SIAM J. Financial Math., 2021

2018

Regression-Based Complexity Reduction of the Nested Monte Carlo Methods.

Denis Belomestny, Stefan Häfner, Mikhail Urusov

SIAM J. Financial Math., 2018

Stratified regression-based variance reduction approach for weak approximation schemes.

Denis Belomestny, Stefan Häfner, Mikhail Urusov

Math. Comput. Simul., 2018

2012

Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models.

Aleksandar Mijatovic, Mikhail Urusov

Finance Stochastics, 2012