Working Papers

An Optimal Investment Problem with Randomly Terminating Income,
Vellekoop, M.H. and Davis, M.H.A. (2009).  

The Early Exercise Premium for the American Put under Discrete Dividends,
Goettsche, O. and Vellekoop, M.H. (2008). Accepted for publication in Mathematical Finance.  

A Risk Reserve Model for Hedging in Incomplete Markets,
Minina, V. and Vellekoop, M.H. (2008). (Submitted)  

The Early Exercise Premium for American Put Options on Stocks with Dividends,
Vellekoop, M.H. and Nieuwenhuis, J.W.  

A Tree-based Method to price American Options in the Heston Model,
Vellekoop, M.H. and Nieuwenhuis, J.W. (2008). Accepted for publication in Journal of Computational Finance.  

Cash Dividends and Futures Prices on Discontinuous Filtrations,
   Vellekoop, M.H. and Nieuwenhuis, J.W., Technical Report 1838, University of Twente, presented at Advances in Mathematics of Finance, Second General AMaMeF Conference, Bedlowo (2007). (Submitted)  

The Structure of Bias in Peer Voting Systems: Lessons from the Eurovision Song Contest,
    Spierdijk, L. and Vellekoop, M.H. (2006). Accepted for publication in Empirical Economics. 

 

  Mathematical Finance

Modelling of Tradeable Securities with Dividends
   Vellekoop, M.H. and Nieuwenhuis, J.W., Proceedings of the Conference on Quantitative Methods in Finance, Sydney, (2006).  

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

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

Pricing and Hedging Guaranteed Returns on Mix Funds,  
   Vellekoop, M.H., vd Kamp, A.A, and Post, B.A., Insurance Mathematics and Economics 38, pp. 585-598 (2006).

Weak Convergence of Tree Methods to price Options on Defaultable Assets,
   Nieuwenhuis, J.W. and Vellekoop, M.H., Decisions in Economics and Finance 27, pp. 87-107 (2004).

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

Permanent Health Insurance : a Case Study in Piecewise Deterministic Markov Modelling,
   Davis, M.H.A. and Vellekoop, M.H., Mitteilungen der Schweiz. Vereinigung der Versicherungsmathematiker, 1995(2), pp. 177-
   212

Pricing and Hedging Options on Defaultable Assets,
   Vellekoop, M.H., Beumee, J.G.B. and Hilberink, B. Working paper, 2001.

Contingent Claims on Defaultable Assets: A Trinomial Tree method ,
   Vellekoop, M.H., INFORMS Conference on Applied Probability 2001.

 

 

  Nonlinear Filtering & Change Detection

Optimal Speed of Detection in generalized Wiener disorder Problems,
   Vellekoop, M.H. and Clark, J.M.C., Stochastic Processes and Their Applications 95 (2001), pp. 25-54.

Rapid Detection and Estimation of Abrupt Changes by Nonlinear Filtering, 
   Vellekoop, M.H., Ph.D. Thesis, Imperial College, 1998.

A Nonlinear FIltering Approach to Changepoint Detection Problems: Direct and Differential-Geometric Methods,
   Vellekoop, M.H. and Clark, J.M.C., SIAM Journal on Control and Optimization, 42(2), pp. 469-494, 2003.

 Modified Kalman Filters for Discrete Time Jump Detection,
   Vellekoop, M.H., in Proceedings of the International Conference on Stochastic Processes and their Applications, Cochin, Inda,
   December 1999.

Estimation of Jumps of Unknown Size in White Noise,
   Vellekoop, M.H., Working paper.

Asymptotic Behaviour of the Optimal Filter of Jump and Slope Jump Processes,
   Vellekoop, M.H. and Clark, J.M.C., in : Proceedings of the 35th Conference on Decision and Control, Kobe, Japan, 2(1996),
    pp. 1163-1168.

Changepoint Detection using Nonlinear Filters,
   Vellekoop, M.H. and Clark, J.M.C., in Proceedings of the European Control Conference, Brussels, 1997.

 

 

 

  Stochastic Population Models

A Unifying Framework for Chaos and Stochastic Stability in Population Models,
   Vellekoop, M.H. and Hognas, G., Journal of Mathematical Biology, 35(1997), pp. 557-588.

Stability of Stochastic Population Models,
   Vellekoop, M.H. and Hognas, G.,  Studia. Sci. Math. Hungar. 33(1996), pp. 459-476.

 

 

  Adaptive Identification

Adaptive Identification of Continuous Time Systems in the Presence of Noise,
   Vellekoop, M.H. and Bagchi, A., International Journal of Control 68(1), pp. 171-195, 1997.

Adaptive Identification by Stochastic Approximation,
   Vellekoop, M.H. and Bagchi, A., in: Proceedings of the 34th Conference on Decision and Control, New Orleans, 4(1995), pp. 3865-3867.

 

 

  Chaotic Dynamical Systems

On Intervals, Transitivity = Chaos,
   Vellekoop, M.H. and Berglund, R., American Mathematical Monthly, 101(1994), pp. 353-355.