Warren Volk-Makarewicz
Warren Volk-Makarewicz
Postdoctoral Research Associate, The University of Edinburgh
Bestätigte E-Mail-Adresse bei ed.ac.uk
Titel
Zitiert von
Zitiert von
Jahr
Sensitivity estimation for Gaussian systems
B Heidergott, FJ Vázquez-Abad, W Volk-Makarewicz
European Journal of Operational Research 187 (1), 193-207, 2008
242008
A measure-valued differentiation approach to sensitivities of quantiles
B Heidergott, W Volk-Makarewicz
Mathematics of Operations Research 41 (1), 293-317, 2016
142016
Gradient estimation for quantiles of stationary waiting times
B Heidergott, W Volk-Makarewicz, F Vázquez-Abad
IFAC Proceedings Volumes 43 (12), 241-246, 2010
52010
Sensitivity analysis of ranked data: from order statistics to quantiles
W Volk-Makarewicz, B Heidergott
Discrete Event Dynamic Systems 25 (4), 453-495, 2015
42015
A smoothed perturbation analysis of Parisian options
B Heidergott, H Leahu, WM Volk-Makarewicz
IEEE Transactions on Automatic Control 60 (2), 469-474, 2014
22014
Advances in Derivative Estimation:: Ranked Data, Quantiles, and Options
WM Volk-Makarewicz
22014
Sensitivity analysis of quantiles
W Volk-Makarewicz, B Heidergott
AEnorm 20, 26-31, 2012
22012
Quantile sensitivity estimation
B Heidergott, W Volk-Makarewicz
International Conference on Network Control and Optimization, 16-29, 2009
22009
A meta-algorithm for validating agent-based simulation models to support decision making
W Volk-Makarewicz, C Cleophas
2017 Winter Simulation Conference (WSC), 1348-1359, 2017
12017
A smoothed perturbation analysis approach to Parisian options
B Heidergott, H Leahu, W Volk-Makarewicz
Research Memorandum 2013, 36, 2013
12013
Option sensitivities with respect to threshold region boundaries
W Volk-Makarewicz, B Heidergott, H Leahu
2013
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