Martijn R. Pistorius

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Person:196636

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zbMath Open pistorius.martijn-rMaRDI QIDQ196636

List of research outcomes

PublicationDate of PublicationType
Dynamic Portfolio Optimization with Looping Contagion Risk2019-05-14Paper
A Simple Stochastic Rate Model for Rate Equity Hybrid Products2018-09-05Paper
On dynamic deviation measures and continuous-time portfolio optimization2018-03-08Paper
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation2017-10-23Paper
On future drawdowns of Lévy processes2017-06-30Paper
CONIC TRADING IN A MARKOVIAN STEADY STATE2017-04-13Paper
On a class of dependent Sparre Andersen risk models and a bailout application2016-12-14Paper
Dynamic conic hedging for competitiveness2016-09-30Paper
Joint asymptotic distribution of certain path functionals of the reflected process2016-08-22Paper
Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver2016-04-04Paper
Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications2016-03-11Paper
Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk2015-10-20Paper
The distribution of the supremum for spectrally asymmetric Lévy processes2015-08-17Paper
On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function2015-07-27Paper
American Option Valuation under Continuous-Time Markov Chains2015-07-15Paper
Buffer-overflows: joint limit laws of undershoots and overshoots of reflected processes2015-05-27Paper
Asymptotic independence of three statistics of maximal segmental scores2015-05-18Paper
On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes2015-02-03Paper
Two price economies in continuous time2014-11-13Paper
Bid and ask prices as non-linear continuous time G-expectations based on distortions2014-11-06Paper
The valuation of structured products using Markov chain models2014-02-08Paper
On additive time-changes of Feller processes2013-05-14Paper
CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES2013-02-28Paper
Optimal dividend distribution under Markov regime switching2012-11-15Paper
On the drawdown of completely asymmetric Lévy processes2012-10-10Paper
On matrix exponential approximations of the infimum of a spectrally negative Levy process2012-10-09Paper
FAST COMPUTATION OF VANILLA PRICES IN TIME-CHANGED MODELS AND IMPLIED VOLATILITIES USING RATIONAL APPROXIMATIONS2012-08-30Paper
Equity quantile upper and lower swaps2012-06-25Paper
https://portal.mardi4nfdi.de/entity/Q31087522012-01-05Paper
METHOD OF MOMENTS APPROACH TO PRICING DOUBLE BARRIER CONTRACTS IN POLYNOMIAL JUMP-DIFFUSION MODELS2011-12-28Paper
Exotic Derivatives under Stochastic Volatility Models with Jumps2011-08-08Paper
PRICING AND HEDGING BARRIER OPTIONS IN A HYPER-EXPONENTIAL ADDITIVE MODEL2010-09-16Paper
A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes2010-08-05Paper
Cramér asymptotics for finite time first passage probabilities of general Lévy processes2009-09-14Paper
On an explicit Skorokhod embedding for spectrally negative Lévy processes2009-07-06Paper
On perpetual American put valuation and first-passage in a regime-switching model with jumps2009-02-28Paper
Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results2009-01-13Paper
A two-dimensional ruin problem on the positive quadrant2008-08-22Paper
The probability of exceeding a piecewise deterministic barrier by the heavy-tailed renewal compound process2008-05-12Paper
Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function2008-02-15Paper
On the optimal dividend problem for a spectrally negative Lévy process2008-01-18Paper
Pricing Equity Default Swaps under an approximation to the CGMY L\'{e}% vy Model2007-11-18Paper
An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Lévy Processes2007-10-31Paper
https://portal.mardi4nfdi.de/entity/Q34450972007-06-08Paper
On Maxima and Ladder Processes for a Dense Class of Lévy Process2006-09-25Paper
On doubly reflected completely asymmetric Lévy processes.2005-11-29Paper
Russian and American put options under exponential phase-type Lévy models.2005-11-29Paper
https://portal.mardi4nfdi.de/entity/Q56995742005-10-26Paper
https://portal.mardi4nfdi.de/entity/Q46623952005-03-30Paper
On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum2004-08-06Paper
Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options2004-06-10Paper
Perpetual options and Canadization through fluctuation theory2004-03-21Paper
On an optimal consumption problem for \(p\)-integrable consumption plans2001-08-09Paper

Research outcomes over time


Doctoral students

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