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Vellekoop, Michel - Department of Applied Mathematics, Universiteit Twente
On Option Pricing Models in the Presence of Heavy Tails Michel Vellekoop
Pricing and Hedging Options on Defaultable Assets
Estimation of Jumps of Unknown Size in White Noise M.H. Vellekoop
CHANGEPOINT DETECTION USING NONLINEAR FILTERS
A Nonlinear Filtering Approach to Changepoint Detection Problems: Direct and Differential-Geometric
Symmetries in jump-diffusion models with applications in option pricing and credit risk
Wiskunde D Module Aandelen & Opties Wiskunde D Module
Wiskunde D Module Aandelen & Opties Wiskunde D Module
Contingent Claims on Defaultable Assets A Trinomial Tree Method
WEAK CONVERGENCE OF TREE METHODS TO PRICE OPTIONS ON DEFAULTABLE ASSETS
A Unifying Framework for Chaos and Stochastic Stability
An Optimal Investment Problem with Randomly Terminating Income Michel Vellekoop and Mark Davis
A Risk Reserve Model for Hedging in Incomplete Markets
Cash Dividends and Futures Prices on Discontinuous Filtrations
Optimal Speed of Detection in Generalized Wiener Disorder Problems
Wiskunde D Module Aandelen & Opties Wiskunde D Module
Wiskunde D Module Aandelen & Opties Wiskunde D Module
Modeling of Tradeable Securities with Dividends Michel Vellekoop1
Wiskunde D Module Aandelen & Opties Wiskunde D Module
A Tree-based Method to price American Options in the Heston Model dr. M.H. Vellekoop (Corresponding Author)
