• Graduate Program
    • Why study Business Data Science?
    • Program Outline
    • Courses
    • Course Registration
    • Admissions
    • Facilities
  • Research
  • News
  • Events
  • Alumni
Home | People | Michel Vellekoop

Michel Vellekoop


University of Amsterdam
Research field


Professor, Actuarial Sciences & Mathematical Finance


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.