1 citations · 1 across the 6 of their papers we have counts for
7 papers
Neural Calibration of a Complete Market Model
Andrea Molent, Michel Vellekoop
We propose a neural calibration method to construct a recombining binomial tree directly from a set of given option prices. Rather than estimating a continuous option pricing funct…
Plant Performance in Precision Horticulture: Optimal climate control under stochastic uncertainty
Simon van Mourik, Bert van't Ooster, Michel Vellekoop
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 concer…
Estimating the impact of the COVID-19 pandemic using granular mortality data
Frank van Berkum, Bertrand Melenberg, Michel Vellekoop
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…
Minimum reversion in multivariate time series
Torsten Kleinow, Michel Vellekoop
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…
Exact Solutions for Optimal Investment Strategies and Indifference Prices under Non-Differentiable Preferences
Marcellino Gaudenzi, Michel Vellekoop
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 opti…
Dependent Microstructure Noise and Integrated Volatility Estimation from High-Frequency Data
Z. Merrick Li, Roger J. A. Laeven, Michel H. Vellekoop
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 un…
Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends
Benjamin Jourdain, Michel Vellekoop
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 during the lifetime…