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Results: 53
Number of items: 53
  • Vellekoop, M. (2010). Forwards and futures. In R. Cont (Ed.), Encyclopedia of quantitative finance (Vol. 2 E-J) (pp. 773-778). John Wiley & Sons. https://doi.org/10.1002/9780470061602.eqf05003
  • Minina, V., & Vellekoop, M. (2010). A risk reserve model for hedging in incomplete markets. Journal of Economic Dynamics & Control, 34(7), 1233-1247. https://doi.org/10.1016/j.jedc.2010.02.005
  • Open Access
    Vellekoop, M. (2010). Rekenen aan en op risico. (Oratiereeks; No. 392). Vossiuspers UvA.
  • Vellekoop, M., & Nieuwenhuis, J. W. (2009). The early exercise premium for American put options on stocks with dividends. Faculteit Economie en Bedrijfskunde.
  • Jourdain, B., & Vellekoop, M. (2009). Regularity of the exercise boundary for American put options on assets with discrete dividends. Faculteit Economie en Bedrijfskunde. http://arxiv.org/PS_cache/arxiv/pdf/0911/0911.5117v2.pdf
  • Bokhove, O., Hurink, J., Meinsma, G., Stolk, C., & Vellekoop, M. (Eds.) (2009). Proceedings of the sixty-third European Study Group Mathematics with Industry: Enschede, The Netherlands, 28 January-1 February, 2008. Universiteit Twente.
  • Vellekoop, M., & Davis, M. (2009). An optimal investment problem with randomly terminating income. In Proceedings of the 48th CDC Conference (pp. 3650-3655).
  • Vellekoop, M., & Vlaming, G. (2009). Pricing American options with the SABR model. In Proceedings of the 2009 IEEE International Symposium on Parallel and Distributed Processing: Rome IEEE.
  • Vellekoop, M., & Nieuwenhuis, H. (2009). A tree-based method to price American options in the Heston model. Journal of Computational Finance, 13(1), 1-21.
  • Open Access
    Vellekoop, M., & Davis, M. (2009). An optimal investment problem with randomly terminating income. Universiteit van Amsterdam. http://www1.feb.uva.nl/pp/bin/1049fulltext.pdf
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