Michel H. Vellekoop

Publication Activity (10 Years)

Years Active: 2003-2011
Publications (10 Years): 0

Publications

Benjamin Jourdain, Michel H. Vellekoop
Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends. SIAM J. Financial Math. 2 (1) (2011)
Michel H. Vellekoop, Mark Davis
An optimal investment problem with randomly terminating income. CDC (2009)
Michel H. Vellekoop, Geeske Vlaming
Pricing American options with the SABR model. IPDPS (2009)
Michel H. Vellekoop, J. Martin C. Clark
A Nonlinear Filtering Approach to Changepoint Detection Problems: Direct and Differential-Geometric Methods. SIAM Rev. 48 (2) (2006)
Michel H. Vellekoop, J. Martin C. Clark
A Nonlinear Filtering Approach to Changepoint Detection Problems: Direct and Differential-Geometric Methods. SIAM J. Control. Optim. 42 (2) (2003)