Warren Volk-Makarewicz

According to our database, Warren Volk-Makarewicz authored at least 8 papers between 2008 and 2022.

Collaborative distances:

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

2022

Assessing the impact of jumps in an option pricing model: A gradient estimation approach.

Warren Volk-Makarewicz, Svetlana Borovkova, Bernd Heidergott

Eur. J. Oper. Res., 2022

2017

A meta-algorithm for validating agent-based simulation models to support decision making.

Warren Volk-Makarewicz, Catherine Cleophas

Proceedings of the 2017 Winter Simulation Conference, 2017

2016

A Measure-Valued Differentiation Approach to Sensitivities of Quantiles.

Bernd Heidergott, Warren Volk-Makarewicz

Math. Oper. Res., 2016

2015

A Smoothed Perturbation Analysis of Parisian Options.

Bernd Heidergott, Haralambie Leahu, Warren M. Volk-Makarewicz

IEEE Trans. Autom. Control., 2015

Sensitivity analysis of ranked data: from order statistics to quantiles.

Warren Volk-Makarewicz, Bernd Heidergott

Discret. Event Dyn. Syst., 2015

2010

Gradient estimation for quantiles of stationary waiting times.

Bernd Heidergott, Warren Volk-Makarewicz, Felisa J. Vázquez-Abad

Proceedings of the 10th International Workshop on Discrete Event Systems, 2010

2009

Quantile Sensitivity Estimation.

Bernd Heidergott, Warren Volk-Makarewicz

Proceedings of the Network Control and Optimization, Third Euro-NF Conference, 2009

2008

Sensitivity estimation for Gaussian systems.

Bernd Heidergott, Felisa J. Vázquez-Abad, Warren Volk-Makarewicz

Eur. J. Oper. Res., 2008