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dhr. prof. dr. ir. M.H. (Michel) Vellekoop

Faculteit Economie en Bedrijfskunde
Sectie Quantitative Economics
Fotograaf: FEB

Bezoekadres
  • Roetersstraat 11
  • Kamernummer: 4.24
Postadres
  • Postbus 15867
    1001 NJ Amsterdam
Social media
  • Profile

    "The gap between theory and practice usually turns out to be larger in practice than in theory"

    Positions

    Full Professor
    Head of the Section Quantitative Economics
    Director of Research for the ASMF Group

    Research programme

    Actuarial Science & Mathematical Finance

    Research interests

    Stochastic Processes, Longevity Models, Contingent Claim Pricing

    Dissertation title

    Rapid Detection and Estimation of Abrupt Changes by Nonlinear Filtering (Imperial College, 1998) 

    Prizes and honours

    Awarded a 500.000 euro grant from Netspar for the period 2009-2012. 
    Awarded a 500.000 euro grant from Netspar for the period 2013-2016. 
    SIGEST best paper award of SIAM, the Society for Industrial and Applied Mathematics (2006)

    Corporate ties

    Director of Research, the Derivatives Technology Foundation

    Curriculum Vitae

  • Teaching

    Teaching activities

    Current year

    Financial Mathematics for Insurance 
    Research Seminar Actuarial Science and Mathematical Finance
    Asset Pricing (M.Phil)
     

    Course materials are available through the UvA Canvas Server

  • Other activities

    Participation in academic networks

    Coordinator of Netspar Themes Reconciling Short Term Risks and Long Term Goals for Retirement Provisions and Risk Management for Funded Pension Systems

    Director of the Actuarial Science & Mathematical Finance research programme of the Amsterdam School of Economics

    Member of AMaMeF, the European Science Foundation's research programme on Advanced Mathematical Methods in Finance 

    Organiser of the yearly Winterschool Mathematical Finance (with Peter Spreij, FNWI)

    Various activities

    Former Member of the Senate of the University of Amsterdam

    Former Director of Research for the Derivatives Technology Foundation

    Scientific Member & Vice-Chairman of the Mortality Research Committee of the Dutch Actuarial Society (CSO)

    Member of the Dutch Mathematical Society (Board member 2001-2005) 

  • Publicaties

    2019

    • Li, Z., Laeven, R. J. A., & Vellekoop, M. H. (Accepted/In press). Dependent microstructure noise and integrated volatility estimation from high-frequency data. Journal of Econometrics.

    2017

    2016

    2015

    2013

    • 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 [details]

    2011

    2010

    2009

    • 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. [details]

    2007

    2006

    • Vellekoop, M. H., & Clark, J. M. C. (2006). A Nonlinear Filtering Approach to Changepoint Detection Problems: Direct and Differential-Geometric Methods. SIAM review, 48(2), 329-356. https://doi.org/10.1137/050647438
    • Vellekoop, M. H., Post, B. A., & van de Kamp, A. A. (2006). Pricing and hedging guaranteed returns on mix funds. Insurance: Mathematics & Economics, 38, 585-598. https://doi.org/10.1016/j.insmatheco.2005.12.003

    2004

    • Vellekoop, M. H., & Nieuwenhuis, J. W. (2004). Weak convergence of tree methods, to price options on defaultable assets. Decisions in Economics and Finance, 27, 87-107. https://doi.org/10.1007/s10203-004-0043-4

    2003

    • Vellekoop, M. H., & Clark, J. M. C. (2003). A Nonlinear Filtering Approach to Changepoint Detection Problems: Direct and Differential-Geometric Methods. SIAM Journal on Control and Optimization, 42(2), 469-494. https://doi.org/10.1137/S0363012900375950

    2002

    • Hoogland, J. K., Neumann, C. D., & Vellekoop, M. H. (2002). Symmetries in Jump-Diffusion models with Applications in Option Pricing and Credit Risk. International Journal of Theoretical and Applied Finance, 6(2), 135-172. https://doi.org/10.1142/S0219024903001803

    2001

    1997

    • Vellekoop, M. H., & Bagchi, A. (1997). Adaptive Identification of Continuous Time Systems in the Presence of Noise. The International Journal of Control, 68(1), 171-196. https://doi.org/10.1080/002071797223785
    • Vellekoop, M. H., & Hognas, G. (1997). A Unifying Framework for Chaos and Stochastic Stability in Population Models. Journal of Mathematical Biology, 35, 557-588. https://doi.org/10.1007/s002850050066

    1995

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

    1994

    2009

    • Vellekoop, M., & Davis, M. (2009). An optimal investment problem with randomly terminating income. In Proceedings of the 48th CDC Conference (pp. 3650-3655). Shanghai. [details]
    • 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. [details]

    2018

    • De Waegenaere, A., Janssen, P., Joseph, A., & Vellekoop, M. (2018). Langer zullen we delen. Actuaris, 25(6), 28-29. [details]
    • de Boer, B. L., van Iersel, C. A. M., Melenberg, B., de Mik, J., Plat, H. J., Slagter, E. J., ... van der Winden, M. R. (2018). Prognosetafel AG2018. Utrecht: Koninklijk Actuarieel Genootschap. [details]

    2017

    2016

    • Vellekoop, M., & Pelsser, A. (2016). Kansloos en geschokt. Actuaris, 23(6), 50-51. [details]
    • de Boer, B. . L., de Boer, W., van Iersel, C. A. M., de Mik, J., Plat, H. J., Schulteis, T. J. W., ... van der Winden, M. R. (2016). Prognosetafel AG2016. Utrecht: Koninklijk Actuarieel Genootschap. [details]

    2014

    • de Boer, W., van Broekhoven, H. W. M., Kromme, E. B. B., Schulteis, T. J. W., Vellekoop, M. H., de Vries, R. W. J., ... van der Winden, M. R. (2014). Prognosetafel AG2014. Utrecht: Koninklijk Actuarieel Genootschap. [details]

    2013

    • 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. [details]

    2012

    • 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: Amsterdam Centre for Insurance Studies. [details]

    2011

    • de Crom, S., de Kreuk, A., van Dijk, R., Vellekoop, M., & Vermeijden, N. (2011). Marktoplossingen voor langlevenrisico. (Netspar Economische Adviezen (NEA Paper); No. 42). Tilburg: Netspar. [details]

    2010

    • Vellekoop, M. H. (2010). Rekenen aan en op risico. (Oratiereeks; No. 392). Vossiuspers UvA.

    Mediaoptreden

    • Laeven, R., Vellekoop, M., Pelsser, A. & Spierdijk, L. (01-01-2013). Wetenschap bloeit door vragen uit de praktijk: interview door Paul Jurriëns [Print] 125 jaar Actuarieel Genootschap : 1888-2013, Actuarieel Genootschap. Wetenschap bloeit door vragen uit de praktijk: interview door Paul Jurriëns.

    2019

    • Li, Z. (2019). Econometric analysis of high-frequency market microstructure. [details]

    2018

    • Petrov, M. (2018). Essays on derivatives pricing. [details]
    • van Berkum, F. (2018). Models for population-wide and portfolio-specific mortality. [details]

    2017

    • de Kort, J. P. (2017). Essays on long-term mortality and interest rate risk. [details]

    2015

    • van Berkum, F., Antonio, K., & Vellekoop, M. (2015). A Bayesian joint model for population and portfolio-specific mortality. (Netspar Discussion Paper Series; No. DP 11/2015-034). Tilburg: Netspar. [details]

    2013

    • van Berkum, F., Antonio, K., & Vellekoop, M. (2013). Structural changes in mortality rates: with an application to Dutch and Belgian data. (AFI Research Report; No. AFI_1379). Leuven: KU Leuven. [details]

    2009

    • Jourdain, B., & Vellekoop, M. (2009). Regularity of the exercise boundary for American put options on assets with discrete dividends. Amsterdam: Faculteit Economie en Bedrijfskunde. [details]
    • Vellekoop, M., & Davis, M. (2009). An optimal investment problem with randomly terminating income. Amsterdam: Universiteit van Amsterdam. [details]
    • Vellekoop, M., & Nieuwenhuis, J. W. (2009). The early exercise premium for American put options on stocks with dividends. Amsterdam: Faculteit Economie en Bedrijfskunde. [details]

    2008

    • Chen, A., Pelsser, A. A. J., & Vellekoop, M. H. (2008). Approximate solutions for indifference pricing with general utility functions. Amsterdam: Faculteit Economie en Bedrijfskunde.
    • Chen, A., Pelsser, A., & Vellekoop, M. (2008). Approximate solutions for indifference pricing under general utility functions. Amsterdam: Faculteit Economie en Bedrijfskunde. [details]
    • Chen, A., Pelsser, A., & Vellekoop, M. (2008). Optimal investment and indifference pricing when risk aversion is not monotone: SAHARA utility functions. Amsterdam: Faculteit Economie en Bedrijfskunde. [details]
    This list of publications is extracted from the UvA-Current Research Information System. Questions? Ask the library or the Pure staff of your faculty / institute. Log in to Pure to edit your publications. Log in to Personal Page Publication Selection tool to manage the visibility of your publications on this list.
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