Michel H. Vellekoop

Finance · 2006–2009

A researcher in the Science corpus: 2 papers; trusts 6 researchers and is trusted by 1 researcher here, as inferred from the citation graph.

Subfields

• Finance — 8 citations into it; #9,402 of 10,518 by trust here, #10,047 by citations

Whom Michel H. Vellekoop trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Cornelis W. Oosterlee
2. Francis A. Longstaff
3. Ioannis Karatzas
4. Steven E. Shreve
5. Eduardo S. Schwartz
6. J. Nieuwenhuis
7. Jan Kallsen
8. Christian Kahl
9. Samuli Ikonen

Who trusts Michel H. Vellekoop overall

1. H. Nieuwenhuis

Papers from Michel H. Vellekoop's perspective

Ordered by how strongly the researchers Michel H. Vellekoop trusts endorse each paper. Same corpus, a different order for every researcher.

1. The Pricing of Options and Corporate Liabilities
2. Valuing American Options by Simulation: A Simple Least-Squares Approach
3. Methods of Mathematical Finance
4. A Didactic Note on Affine Stochastic Volatility Models
5. On multigrid for linear complementarity problems with application to American-style options.
6. Not-so-complex logarithms in the Heston model
7. Efficient Pricing of Derivatives on Assets with Discrete Dividends
8. Markov Processes: Characterization and Convergence
9. Moment explosions in stochastic volatility models (Finance and Stochastics)
10. Extended Libor Market Models with Stochastic Volatility

Their papers

• A tree-based method to price American options in the Heston model (2009) — 55 citations
• Efficient Pricing of Derivatives on Assets with Discrete Dividends (2006) — 84 citations