M. H. Vellekoop

Available identifiers

zbMath Open vellekoop.michel-hMaRDI QIDQ2182143

List of research outcomes

Publication	Date of Publication	Type
Optimal Stopping with Randomly Arriving Opportunities to Stop	2023-11-18	Paper
Exact Solutions and Approximations for Optimal Investment Strategies and Indifference Prices	2022-05-31	Paper
Dependent microstructure noise and integrated volatility estimation from high-frequency data	2020-05-21	Paper
The impact of multiple structural changes on mortality predictions	2018-07-13	Paper
A BAYESIAN JOINT MODEL FOR POPULATION AND PORTFOLIO-SPECIFIC MORTALITY	2018-06-04	Paper
Optimal investment and consumption when allowing terminal debt	2018-02-16	Paper
Producing the Dutch and Belgian mortality projections: a stochastic multi-population standard	2018-01-12	Paper
Term structure extrapolation and asymptotic forward rates	2016-05-12	Paper
The minimal entropy martingale measure in a market of traded financial and actuarial risks	2015-02-18	Paper
Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends	2012-04-19	Paper
An integral equation for American put options on assets with general dividend processes	2012-01-03	Paper
Modeling non-monotone risk aversion using SAHARA utility functions	2011-10-28	Paper
THE EARLY EXERCISE PREMIUM FOR THE AMERICAN PUT UNDER DISCRETE DIVIDENDS	2011-03-25	Paper
A risk reserve model for hedging in incomplete markets	2010-06-11	Paper
https://portal.mardi4nfdi.de/entity/Q3643383	2009-11-11	Paper
A tree-based method to price American options in the Heston model	2009-10-26	Paper
On option pricing models in the presence of heavy tails	2007-12-19	Paper
Efficient Pricing of Derivatives on Assets with Discrete Dividends	2007-02-15	Paper
Pricing and hedging guaranteed returns on mix funds	2006-08-14	Paper
A Nonlinear Filtering Approach to Changepoint Detection Problems: Direct and Differential-Geometric Methods	2006-06-01	Paper
SYMMETRIES IN JUMP-DIFFUSION MODELS WITH APPLICATIONS IN OPTION PRICING AND CREDIT RISK	2005-10-19	Paper
Weak convergence of tree methods to price options on defaultable assets	2005-04-11	Paper
Optimal speed of detection in generalized Wiener disorder problems.	2005-02-25	Paper
A Nonlinear Filtering Approach to Changepoint Detection Problems: Direct and Differential-Geometric Methods	2004-01-08	Paper
A unifying framework for chaos and stochastic stability in discrete population models	1999-02-22	Paper
https://portal.mardi4nfdi.de/entity/Q4220154	1998-11-22	Paper
Adaptive identification of continuous-time systems in the presence of noise	1998-03-16	Paper
https://portal.mardi4nfdi.de/entity/Q4865508	1996-08-22	Paper
On Intervals, Transitivity = Choas	1994-07-12	Paper

Research outcomes over time

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