Zobrazeno 1 - 10
of 88
pro vyhledávání: '"Vellekoop, Michel"'
We develop methods to solve general optimal stopping problems with opportunities to stop that arrive randomly. Such problems occur naturally in applications with market frictions. Pivotal to our approach is that our methods operate on random rather t
Externí odkaz:
http://arxiv.org/abs/2311.11098
This paper presents a risk mitigating, time-varying feedback control algorithm for crop production when state dynamics are subject to uncertainty. The model based case study concerns a 40 day production round of lettuce in a greenhouse where control
Externí odkaz:
http://arxiv.org/abs/2303.14678
We present an extension of the Li and Lee model to quantify mortality in five European countries during the COVID-19 pandemic. The first two factors are used to model the pre-COVID mortality, with the first layer modelling the common trend and the se
Externí odkaz:
http://arxiv.org/abs/2209.06473
Autor:
Kleinow, Torsten, Vellekoop, Michel
We propose a new multivariate time series model in which we assume that each component has a tendency to revert to the minimum of all components. Such a specification is useful to describe phenomena where each member in a population which is subjecte
Externí odkaz:
http://arxiv.org/abs/1811.10558
We propose an algorithm to calculate the exact solution for utility optimization problems on finite state spaces under a class of non-differentiable preferences. We prove that optimal strategies must lie on a discrete grid in the plane, and this allo
Externí odkaz:
http://arxiv.org/abs/1809.11010
In this paper, we develop econometric tools to analyze the integrated volatility of the efficient price and the dynamic properties of microstructure noise in high-frequency data under general dependent noise. We first develop consistent estimators of
Externí odkaz:
http://arxiv.org/abs/1704.08964
Publikováno v:
In Journal of Econometrics April 2020 215(2):536-558
Autor:
Vellekoop, Michel
'Dit is oratie 392, verschenen in de oratiereeks van de Universiteit van Amsterdam'--T.p. verso.
Autor:
Jourdain, Benjamin, Vellekoop, Michel
We analyze the regularity of the optimal exercise boundary for the American Put option when the underlying asset pays a discrete dividend at a known time $t_d$ during the lifetime of the option. The ex-dividend asset price process is assumed to follo
Externí odkaz:
http://arxiv.org/abs/0911.5117