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Warren Volk-Makarewicz

Warren M. Volk-Makarewicz

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2020 – today

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2022
[j5]
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Warren Volk-Makarewicz, Svetlana Borovkova, Bernd Heidergott:
Assessing the impact of jumps in an option pricing model: A gradient estimation approach. Eur. J. Oper. Res. 298(2): 740-751 (2022)

2010 – 2019

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2017
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  - conf/wsc/Volk-Makarewicz17
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Warren Volk-Makarewicz, Catherine Cleophas:
A meta-algorithm for validating agent-based simulation models to support decision making. WSC 2017: 1348-1359
2016
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Bernd Heidergott, Warren Volk-Makarewicz:
A Measure-Valued Differentiation Approach to Sensitivities of Quantiles. Math. Oper. Res. 41(1): 293-317 (2016)
2015
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Warren Volk-Makarewicz, Bernd Heidergott:
Sensitivity analysis of ranked data: from order statistics to quantiles. Discret. Event Dyn. Syst. 25(4): 453-495 (2015)
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Bernd Heidergott, Haralambie Leahu, Warren M. Volk-Makarewicz:
A Smoothed Perturbation Analysis of Parisian Options. IEEE Trans. Autom. Control. 60(2): 469-474 (2015)
2010
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Bernd Heidergott, Warren Volk-Makarewicz, Felisa J. Vázquez-Abad:
Gradient estimation for quantiles of stationary waiting times. WODES 2010: 241-246

2000 – 2009

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2009
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Bernd Heidergott, Warren Volk-Makarewicz:
Quantile Sensitivity Estimation. NET-COOP 2009: 16-29
2008
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Bernd Heidergott, Felisa J. Vázquez-Abad, Warren Volk-Makarewicz:
Sensitivity estimation for Gaussian systems. Eur. J. Oper. Res. 187(1): 193-207 (2008)

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