A Nonlinear Filtering Approach to Changepoint Detection Problems: Direct and Differential-Geometric Methods. - Michel H. Vellekoop; J. Martin C. Clark (SIAM Rev., 2006)

An optimal investment problem with randomly terminating income. - Michel H. Vellekoop; Mark Davis (CDC, 2009)

Pricing American options with the SABR model. - Michel H. Vellekoop; Geeske Vlaming (IPDPS, 2009)

Modeling non-monotone risk aversion using SAHARA utility functions. - An Chen; Antoon Pelsser; Michel Vellekoop 001 (J. Econ. Theory, 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)

The minimal entropy martingale measure in a market of traded financial and actuarial risks. - Jan Dhaene; Ben Stassen; Pierre Devolder; Michel Vellekoop 001 (J. Comput. Appl. Math., 2015)

Optimal investment and consumption when allowing terminal debt. - An Chen; Michel Vellekoop 001 (Eur. J. Oper. Res., 2017)

Exact Solutions and Approximations for Optimal Investment Strategies and Indifference Prices. - Michel Vellekoop 001; Marcellino Gaudenzi (SIAM J. Financial Math., 2022)