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Michel Vellekoop 0001

Michel H. Vellekoop

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affiliation: University of Amsterdam, Faculty of Economics and Business, The Netherlands

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Journal Articles

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2022
[j7]
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  - journals/siamfm/VellekoopG22
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  - https://dblp.org/rec/journals/siamfm/VellekoopG22
Michel Vellekoop, Marcellino Gaudenzi:
Exact Solutions and Approximations for Optimal Investment Strategies and Indifference Prices. SIAM J. Financial Math. 13(2): 491-520 (2022)
2017
[j6]
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  - journals/eor/ChenV17
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An Chen, Michel Vellekoop:
Optimal investment and consumption when allowing terminal debt. Eur. J. Oper. Res. 258(1): 385-397 (2017)
2015
[j5]
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  - journals/jcam/DhaeneSDV15
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Jan Dhaene, Ben Stassen, Pierre Devolder, Michel Vellekoop:
The minimal entropy martingale measure in a market of traded financial and actuarial risks. J. Comput. Appl. Math. 282: 111-133 (2015)
2011
[j4]
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  - journals/jet/ChenPV11
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An Chen, Antoon Pelsser, Michel Vellekoop:
Modeling non-monotone risk aversion using SAHARA utility functions. J. Econ. Theory 146(5): 2075-2092 (2011)
[j3]
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Benjamin Jourdain, Michel H. Vellekoop:
Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends. SIAM J. Financial Math. 2(1): 538-561 (2011)
2006
[j2]
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Michel H. Vellekoop, J. Martin C. Clark:
A Nonlinear Filtering Approach to Changepoint Detection Problems: Direct and Differential-Geometric Methods. SIAM Rev. 48(2): 329-356 (2006)
2003
[j1]
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Michel H. Vellekoop, J. Martin C. Clark:
A Nonlinear Filtering Approach to Changepoint Detection Problems: Direct and Differential-Geometric Methods. SIAM J. Control. Optim. 42(2): 469-494 (2003)

Conference and Workshop Papers

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2009
[c2]
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  - conf/cdc/VellekoopD09
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Michel H. Vellekoop, Mark Davis:
An optimal investment problem with randomly terminating income. CDC 2009: 3650-3655
[c1]
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Michel H. Vellekoop, Geeske Vlaming:
Pricing American options with the SABR model. IPDPS 2009: 1-6

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