Search results
Results: 51
Number of items: 51
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Cui, J., Oldenkamp, B., & Vellekoop, M. (2013). When do derivatives add value in asset allocation problems for pension funds? Rotman International Journal of Pension Management, 6(1), 46-57. https://doi.org/10.3138/ripjm.6.1.46
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de Crom, S., Dijk, R., Kock-De Kreuk, A., Vellekoop, M., & Vermeijden, N. (2013). Externe mitigatie van langlevenrisico: ook nu relevant. Actuaris, 20(6), 34-35. http://www.ag-ai.nl/download/16398-20-6-art.Vellekoop+e.a..pdf
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Vellekoop, M. H. (2012). Langlevenrisico bij verzekeraars. In In de wetenschap dat ...: bijdragen uit de wetenschap over de bedrijfseconomische toekomst van de verzekeringssector (pp. 8-9). Amsterdam Centre for Insurance Studies. http://www.martimo.nl/mediapool/60/603407/data/ACIS-bundel_In_de_Wetenschap.pdf
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Vellekoop, M. H., & Nieuwenhuis, J. W. (2011). An integral equation for American put options on assets with general dividend processes. Stochastics: An International Journal of Probability and Stochastic Processes, 83(4-6), 555-567. https://doi.org/10.1080/17442508.2010.533179
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Chen, A., Pelsser, A., & Vellekoop, M. (2011). Modeling non-monotone risk aversion using SAHARA utility functions. Journal of Economic Theory, 146(5), 2075-2092. https://doi.org/10.1016/j.jet.2011.06.011
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Goettsche, O. E., & Vellekoop, M. H. (2011). The early exercise premium for the American put under discrete dividends. Mathematical Finance, 21(2), 335-354. https://doi.org/10.1111/j.1467-9965.2010.00427.x
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de Crom, S., de Kreuk, A., van Dijk, R., Vellekoop, M., & Vermeijden, N. (2011). Marktoplossingen voor langlevenrisico. (Netspar Economische Adviezen (NEA Paper); No. 42). Netspar. http://arno.uvt.nl/show.cgi?fid=114717
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Jourdain, B., & Vellekoop, M. H. (2011). Regularity of the exercise boundary for American put options on assets with discrete dividends. SIAM Journal Financial Mathematics, 2(1), 538-561. https://doi.org/10.1137/100800889 -
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
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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
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