Warren Volk-Makarewicz

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

Warren Volk-Makarewicz, Catherine Cleophas, 2017, 2017 Winter Simulation Conference (WSC).

A Smoothed Perturbation Analysis of Parisian Options

Warren Volk-Makarewicz, Bernd Heidergott, Haralambie Leahu, 2015, IEEE Transactions on Automatic Control.

Sensitivity estimation for Gaussian systems

Warren Volk-Makarewicz, Bernd Heidergott, Felisa J. Vázquez-Abad, 2008, Eur. J. Oper. Res..

A Measure-Valued Differentiation Approach to Sensitivities of Quantiles

Warren Volk-Makarewicz, Bernd Heidergott, 2016, Math. Oper. Res..

Gradient estimation for quantiles of stationary waiting times

Warren Volk-Makarewicz, Bernd Heidergott, Felisa J. Vázquez-Abad, 2010, WODES.

Quantile Sensitivity Estimation

Warren Volk-Makarewicz, Bernd Heidergott, B. Heidergott, 2009, NET-COOP.

Sensitivity analysis of ranked data: from order statistics to quantiles

Warren Volk-Makarewicz, Bernd Heidergott, B. Heidergott, 2015, Discret. Event Dyn. Syst..

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

Warren Volk-Makarewicz, Bernd Heidergott, Svetlana Borovkova, 2021, European Journal of Operational Research.

Advances in Derivative Estimation:: Ranked Data, Quantiles, and Options

Warren Volk-Makarewicz, 2014 .