Michel Vellekoop

According to our database, Michel Vellekoop authored at least 8 papers between 2006 and 2022.

Collaborative distances:

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

2022

Exact Solutions and Approximations for Optimal Investment Strategies and Indifference Prices.

Michel Vellekoop, Marcellino Gaudenzi

SIAM J. Financial Math., 2022

2017

Optimal investment and consumption when allowing terminal debt.

An Chen, Michel Vellekoop

Eur. J. Oper. Res., 2017

2015

The minimal entropy martingale measure in a market of traded financial and actuarial risks.

Jan Dhaene, Ben Stassen, Pierre Devolder, Michel Vellekoop

J. Comput. Appl. Math., 2015

2011

Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends.

Benjamin Jourdain, Michel H. Vellekoop

SIAM J. Financial Math., 2011

Modeling non-monotone risk aversion using SAHARA utility functions.

An Chen, Antoon Pelsser, Michel Vellekoop

J. Econ. Theory, 2011

2009

Pricing American options with the SABR model.

Michel H. Vellekoop, Geeske Vlaming

Proceedings of the 23rd IEEE International Symposium on Parallel and Distributed Processing, 2009

An optimal investment problem with randomly terminating income.

Michel H. Vellekoop, Mark Davis

Proceedings of the 48th IEEE Conference on Decision and Control, 2009

2006

A Nonlinear Filtering Approach to Changepoint Detection Problems: Direct and Differential-Geometric Methods.

Michel H. Vellekoop, J. Martin C. Clark

SIAM Rev., 2006