Martijn R. Pistorius

Available identifiers

zbMath Open pistorius.martijn-rMaRDI QIDQ196636

List of research outcomes

Publication	Date of Publication	Type
Dynamic Portfolio Optimization with Looping Contagion Risk	2019-05-14	Paper
A Simple Stochastic Rate Model for Rate Equity Hybrid Products	2018-09-05	Paper
On dynamic deviation measures and continuous-time portfolio optimization	2018-03-08	Paper
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation	2017-10-23	Paper
On future drawdowns of Lévy processes	2017-06-30	Paper
CONIC TRADING IN A MARKOVIAN STEADY STATE	2017-04-13	Paper
On a class of dependent Sparre Andersen risk models and a bailout application	2016-12-14	Paper
Dynamic conic hedging for competitiveness	2016-09-30	Paper
Joint asymptotic distribution of certain path functionals of the reflected process	2016-08-22	Paper
Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver	2016-04-04	Paper
Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications	2016-03-11	Paper
Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk	2015-10-20	Paper
The distribution of the supremum for spectrally asymmetric Lévy processes	2015-08-17	Paper
On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function	2015-07-27	Paper
American Option Valuation under Continuous-Time Markov Chains	2015-07-15	Paper
Buffer-overflows: joint limit laws of undershoots and overshoots of reflected processes	2015-05-27	Paper
Asymptotic independence of three statistics of maximal segmental scores	2015-05-18	Paper
On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes	2015-02-03	Paper
Two price economies in continuous time	2014-11-13	Paper
Bid and ask prices as non-linear continuous time G-expectations based on distortions	2014-11-06	Paper
The valuation of structured products using Markov chain models	2014-02-08	Paper
On additive time-changes of Feller processes	2013-05-14	Paper
CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES	2013-02-28	Paper
Optimal dividend distribution under Markov regime switching	2012-11-15	Paper
On the drawdown of completely asymmetric Lévy processes	2012-10-10	Paper
On matrix exponential approximations of the infimum of a spectrally negative Levy process	2012-10-09	Paper
FAST COMPUTATION OF VANILLA PRICES IN TIME-CHANGED MODELS AND IMPLIED VOLATILITIES USING RATIONAL APPROXIMATIONS	2012-08-30	Paper
Equity quantile upper and lower swaps	2012-06-25	Paper
https://portal.mardi4nfdi.de/entity/Q3108752	2012-01-05	Paper
METHOD OF MOMENTS APPROACH TO PRICING DOUBLE BARRIER CONTRACTS IN POLYNOMIAL JUMP-DIFFUSION MODELS	2011-12-28	Paper
Exotic Derivatives under Stochastic Volatility Models with Jumps	2011-08-08	Paper
PRICING AND HEDGING BARRIER OPTIONS IN A HYPER-EXPONENTIAL ADDITIVE MODEL	2010-09-16	Paper
A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes	2010-08-05	Paper
Cramér asymptotics for finite time first passage probabilities of general Lévy processes	2009-09-14	Paper
On an explicit Skorokhod embedding for spectrally negative Lévy processes	2009-07-06	Paper
On perpetual American put valuation and first-passage in a regime-switching model with jumps	2009-02-28	Paper
Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results	2009-01-13	Paper
A two-dimensional ruin problem on the positive quadrant	2008-08-22	Paper
The probability of exceeding a piecewise deterministic barrier by the heavy-tailed renewal compound process	2008-05-12	Paper
Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function	2008-02-15	Paper
On the optimal dividend problem for a spectrally negative Lévy process	2008-01-18	Paper
Pricing Equity Default Swaps under an approximation to the CGMY L\'{e}% vy Model	2007-11-18	Paper
An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Lévy Processes	2007-10-31	Paper
https://portal.mardi4nfdi.de/entity/Q3445097	2007-06-08	Paper
On Maxima and Ladder Processes for a Dense Class of Lévy Process	2006-09-25	Paper
On doubly reflected completely asymmetric Lévy processes.	2005-11-29	Paper
Russian and American put options under exponential phase-type Lévy models.	2005-11-29	Paper
https://portal.mardi4nfdi.de/entity/Q5699574	2005-10-26	Paper
https://portal.mardi4nfdi.de/entity/Q4662395	2005-03-30	Paper
On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum	2004-08-06	Paper
Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options	2004-06-10	Paper
Perpetual options and Canadization through fluctuation theory	2004-03-21	Paper
On an optimal consumption problem for \(p\)-integrable consumption plans	2001-08-09	Paper

Research outcomes over time

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