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Home | People | Michel Vellekoop
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Michel Vellekoop

Faculty

University
University of Amsterdam
Research field
Finance

Biography

Professor, Actuarial Sciences & Mathematical Finance

Publications

Li, Z., Laeven, R. and Vellekoop, M. (2020). Dependent microstructure noise and integrated volatility estimation from high-frequency data Journal of Econometrics, 215(2):536--558.

Chen, A. and Vellekoop, M. (2017). Optimal investment and consumption when allowing terminal debt European Journal of Operational Research, 258(1):385--397.

Chen, A., Pelsser, A. and Vellekoop, M. (2011). Modeling non-monotone risk aversion using SAHARA utility functions Journal of Economic Theory, 146(5):2075--2092.

Goettsche, O. and Vellekoop, M. (2011). The early exercise premium for the American put under discrete dividends Mathematical Finance, 21(2):335--354.

Minina, V. and Vellekoop, M. (2010). A risk reserve model for hedging in incomplete markets Journal of Economic Dynamics and Control, 34(7):1233--1247.

Vellekoop, M. and Nieuwenhuis, J. (2007). On Option Pricing Models in the Presence of Heavy Tails Quantitative Finance, 7:563--573.