Author Publications

Export as [feed] Atom [feed] RSS 1.0 [feed] RSS 2.0
Group by: Date | Item Type
Jump to: 2011 | 2009 | 2008 | 2007 | 2006 | 2004 | 2003 | 2001
Number of items: 16.

2011

Göttsche, O.E. and Vellekoop, M.H. (2011) The early exercise premium for the American put under discrete dividends. Mathematical Finance, 21 (2). pp. 335-354. ISSN 0960-1627

2009

Spierdijk, L. and Vellekoop, M.H. (2009) The structure of bias in peer voting systems: lessons from the Eurovision Song Contest. Empirical Economics, 36 (2). pp. 403-425. ISSN 0377-7332

Vellekoop, Michel and Nieuwenhuis, Hans (2009) A tree-based method to price American options in the Heston model. Journal of Computational Finance, 13 (1). pp. 1-21. ISSN 1460-1559

2008

Bokhove, O. and Hurink, J.L. and Meinsma, G. and Stolk, C.C. and Vellekoop, M.H. (2008) Preface. In: Proceedings of the 63rd European Study Group Mathematics with Industry, 28 Jan 2008 - 1 Feb 2008, Enschede, The Netherlands (pp. ii).

Chen, An and Pelsser, Antoon and Vellekoop, Michel (2008) Approximation solutions for indifference pricing under general utility functions. In: 7th Winter school on Mathematical Finance, January 21-23, 2008, Lunteren, the Netherlands.

Litvak, N. and Altaf, M.U. and Barbu, A.L. and Jain, S. and Miretskiy, D.I. and Mohammadi, L. and Onur, E. and Panhuis, J.C.H.W. in 't and Sumihar, J.H. and Vellekoop, M.H. and Wijk, A.C.C. van and Bisseling, R.H. (2008) Increasing detection performance of surveillance sensor networks. In: Proceedings of the 63rd European Study Group Mathematics with Industry, 28 Jan - 1 Feb 2008, Enschede, The Netherlands (pp. pp. 85-115).

2007

Vellekoop, M.H. and Nieuwenhuis, J.W. (2007) On Option Pricing Models in the Presence of Heavy Tails. Quantitative Finance, 7 (5). pp. 563-573. ISSN 1469-7688

Vellekoop, M.H. and Nieuwenhuis, J.W. (2007) Cash dividends and futures prices on discontinuous filtrations. [Report]

2006

Spierdijk, L. and Vellekoop, M.H. (2006) Geography, culture, and religion: Explaining the bias in Eurovision song contest voting. [Report]

Spierdijk, Laura and Vellekoop, Michel (2006) Politiek, cultuur, taal en religie. Een analyse van het stemgedrag tijdens het Eurovisie Songfestival. STAtOR, 7 (1). pp. 24-31. ISSN 1567-3383

Vellekoop, M.H. and Kamp, A.A. van de and Post, B.A. (2006) Pricing and Hedging Guaranteed Returns on Mix Funds. Insurance: Mathematics and Economics, 38 (3). pp. 585-598. ISSN 0167-6687

Vellekoop, M.H. and Nieuwenhuis, J.W. (2006) Efficient Pricing of Derivatives on Assets with Discrete Dividends. Applied Mathematical Finance, 13 (3). pp. 265-284. ISSN 1350-486X

Vellekoop, M.H. and Nieuwenhuis, J.W. (2006) Modelling of tradeable securities with dividends. In: Proceedings of the QMF 2006, 13-16 dec 2006, Sydney, Australia.

2004

Nieuwenhuis, J.W. and Vellekoop, M.H. (2004) Weak convergence of tree methods, to price options on defaultable assets. Decisions in Economics and Finance, 27 (2). pp. 87-107. ISSN 1593-8883

2003

Hoogland, J.K. and Neumann, C.D.D. and Vellekoop, M.H. (2003) Symmetries in Jump-Diffusion Models with Applications in Option Pricing and Credit Risk. International Journal of Theoretical and Applied Finance , 6 (2). pp. 135-172. ISSN 0219-0249

2001

Vellekoop, M.H. and Clark, J.M.C. (2001) Optimal speed of detection in generalized Wiener disorder problems. Stochastic Processes and Their Applications, 95 (1). pp. 25-54. ISSN 0304-4149

This list was generated on Tue Sep 16 05:19:39 2014 CEST.