Michel Vellekoop
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.