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Pistorius, Martijn R.

Author ID: pistorius.martijn-r Recent zbMATH articles by "Pistorius, Martijn R."
Published as: Pistorius, Martijn; Pistorius, Martijn R.; Pistorius, M. R.; Pistorius, M.
External Links: MGP · ORCID

Publications by Year

Citations contained in zbMATH Open

45 Publications have been cited 1,154 times in 702 Documents Cited by Year
Russian and American put options under exponential phase-type Lévy models. Zbl 1075.60037
Asmussen, Søren; Avram, Florin; Pistorius, Martijn R.
176
2004
On the optimal dividend problem for a spectrally negative Lévy process. Zbl 1136.60032
Avram, Florin; Palmowski, Zbigniew; Pistorius, Martijn R.
153
2007
Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options. Zbl 1042.60023
Avram, F.; Kyprianou, A. E.; Pistorius, M. R.
131
2004
On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum. Zbl 1049.60042
Pistorius, M. R.
73
2004
Perpetual options and Canadization through fluctuation theory. Zbl 1039.60044
Kyprianou, A. E.; Pistorius, M. R.
50
2003
Continuously monitored barrier options under Markov processes. Zbl 1282.91378
Mijatović, Aleksandar; Pistorius, Martijn
50
2013
Optimal dividend distribution under Markov regime switching. Zbl 1252.93135
Jiang, Zhengjun; Pistorius, Martijn
49
2012
On perpetual American put valuation and first-passage in a regime-switching model with jumps. Zbl 1164.60066
Jiang, Zhengjun; Pistorius, Martijn R.
48
2008
A two-dimensional ruin problem on the positive quadrant. Zbl 1141.91482
Avram, Florin; Palmowski, Zbigniew; Pistorius, Martijn
44
2008
On the drawdown of completely asymmetric Lévy processes. Zbl 1252.60046
Mijatović, Aleksandar; Pistorius, Martijn R.
39
2012
Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results. Zbl 1163.60010
Avram, Florin; Palmowski, Zbigniew; Pistorius, Martijn R.
35
2008
On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function. Zbl 1322.60055
Avram, F.; Palmowski, Z.; Pistorius, M. R.
33
2015
A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes. Zbl 1192.91177
Jeannin, Marc; Pistorius, Martijn
32
2010
An excursion-theoretical approach to some boundary crossing problems and the Skorokhod embedding for reflected Lévy processes. Zbl 1126.60039
Pistorius, Martijn R.
25
2007
A potential-theoretical review of some exit problems of spectrally negative Lévy processes. Zbl 1065.60047
Pistorius, Martijn R.
20
2005
On doubly reflected completely asymmetric Lévy processes. Zbl 1075.60573
Pistorius, M. R.
19
2003
Bid and ask prices as non-linear continuous time G-expectations based on distortions. Zbl 1307.91086
Eberlein, Ernst; Madan, Dilip B.; Pistorius, Martijn; Yor, Marc
17
2014
On maxima and ladder processes for a dense class of Lévy process. Zbl 1102.60044
Pistorius, Martijn
17
2006
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation. Zbl 1422.91783
Madan, D.; Pistorius, M.; Stadje, M.
16
2017
Two price economies in continuous time. Zbl 1298.91086
Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Schoutens, Wim; Yor, Marc
14
2014
American option valuation under continuous-time Markov chains. Zbl 1403.91339
Eriksson, B.; Pistorius, M. R.
14
2015
Exotic derivatives under stochastic volatility models with jumps. Zbl 1233.91286
Mijatović, Aleksandar; Pistorius, Martijn
10
2011
Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver. Zbl 1335.60132
Madan, Dilip; Pistorius, Martijn; Stadje, Mitja
8
2016
The two barriers ruin problem via a Wiener Hopf decomposition approach. Zbl 1073.60523
Avram, Florin; Pistorius, Martijn R.; Usabel, Miguel
8
2003
On future drawdowns of Lévy processes. Zbl 1367.60051
Baurdoux, E. J.; Palmowski, Z.; Pistorius, M. R.
8
2017
Cramér asymptotics for finite time first passage probabilities of general Lévy processes. Zbl 1175.60021
Palmowski, Zbigniew; Pistorius, Martijn
7
2009
On additive time-changes of Feller processes. Zbl 1273.60094
Mijatović, Aleksandar; Pistorius, Martijn
6
2010
The distribution of the supremum for spectrally asymmetric Lévy processes. Zbl 1321.60097
Michna, Zbigniew; Palmowski, Zbigniew; Pistorius, Martijn
5
2015
The valuation of structured products using Markov chain models. Zbl 1280.91172
Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim
5
2013
Method of moments approach to pricing double barrier contracts in polynomial jump-diffusion models. Zbl 1229.91304
Eriksson, Bjorn; Pistorius, Martijn
5
2011
A simple stochastic rate model for rate equity hybrid products. Zbl 1396.91780
Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Yor, Marc
5
2013
Buffer-overflows: joint limit laws of undershoots and overshoots of reflected processes. Zbl 1322.60058
Mijatović, Aleksandar; Pistorius, Martijn
4
2015
Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations. Zbl 1246.91151
Pistorius, Martijn; Stolte, Johannes
4
2012
On an optimal consumption problem for \(p\)-integrable consumption plans. Zbl 0994.91036
Balder, Erik J.; Pistorius, Martijn R.
3
2001
On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes. Zbl 1306.91068
Avram, F.; Pistorius, M.
3
2014
Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk. Zbl 1325.60071
Davis, M. H. A.; Pistorius, M. R.
3
2015
Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function. Zbl 1146.60036
Bronstein, Anne Laure; Hughston, Lane P.; Pistorius, Martijn R.; Zervos, Mihail
2
2006
On a class of dependent Sparre Andersen risk models and a bailout application. Zbl 1371.91078
Avram, F.; Badescu, A. L.; Pistorius, M. R.; Rabehasaina, L.
2
2016
Dynamic conic hedging for competitiveness. Zbl 1404.91141
Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim
2
2016
Conic trading in a Markovian steady state. Zbl 1390.91304
Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim
2
2017
On an explicit Skorokhod embedding for spectrally negative Lévy processes. Zbl 1166.60028
Obłój, Jan; Pistorius, Martijn
2
2009
On optimal dividend distribution for a Cramér-Lundberg process with exponential jumps in the presence of a linear Gerber-Shiu penalty function. Zbl 1236.91084
Avram, Florin; Palmowski, Zbigniew; Pistorius, Martijn
2
2010
Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications. Zbl 1334.65008
Mijatović, Aleksandar; Pistorius, Martijn R.; Stolte, Johannes
1
2015
On dynamic deviation measures and continuous-time portfolio optimization. Zbl 1382.60089
Pistorius, Martijn; Stadje, Mitja
1
2017
Dynamic portfolio optimization with looping contagion risk. Zbl 1411.91513
Jia, Longjie; Pistorius, Martijn; Zheng, Harry
1
2019
Dynamic portfolio optimization with looping contagion risk. Zbl 1411.91513
Jia, Longjie; Pistorius, Martijn; Zheng, Harry
1
2019
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation. Zbl 1422.91783
Madan, D.; Pistorius, M.; Stadje, M.
16
2017
On future drawdowns of Lévy processes. Zbl 1367.60051
Baurdoux, E. J.; Palmowski, Z.; Pistorius, M. R.
8
2017
Conic trading in a Markovian steady state. Zbl 1390.91304
Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim
2
2017
On dynamic deviation measures and continuous-time portfolio optimization. Zbl 1382.60089
Pistorius, Martijn; Stadje, Mitja
1
2017
Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver. Zbl 1335.60132
Madan, Dilip; Pistorius, Martijn; Stadje, Mitja
8
2016
On a class of dependent Sparre Andersen risk models and a bailout application. Zbl 1371.91078
Avram, F.; Badescu, A. L.; Pistorius, M. R.; Rabehasaina, L.
2
2016
Dynamic conic hedging for competitiveness. Zbl 1404.91141
Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim
2
2016
On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function. Zbl 1322.60055
Avram, F.; Palmowski, Z.; Pistorius, M. R.
33
2015
American option valuation under continuous-time Markov chains. Zbl 1403.91339
Eriksson, B.; Pistorius, M. R.
14
2015
The distribution of the supremum for spectrally asymmetric Lévy processes. Zbl 1321.60097
Michna, Zbigniew; Palmowski, Zbigniew; Pistorius, Martijn
5
2015
Buffer-overflows: joint limit laws of undershoots and overshoots of reflected processes. Zbl 1322.60058
Mijatović, Aleksandar; Pistorius, Martijn
4
2015
Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk. Zbl 1325.60071
Davis, M. H. A.; Pistorius, M. R.
3
2015
Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications. Zbl 1334.65008
Mijatović, Aleksandar; Pistorius, Martijn R.; Stolte, Johannes
1
2015
Bid and ask prices as non-linear continuous time G-expectations based on distortions. Zbl 1307.91086
Eberlein, Ernst; Madan, Dilip B.; Pistorius, Martijn; Yor, Marc
17
2014
Two price economies in continuous time. Zbl 1298.91086
Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Schoutens, Wim; Yor, Marc
14
2014
On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes. Zbl 1306.91068
Avram, F.; Pistorius, M.
3
2014
Continuously monitored barrier options under Markov processes. Zbl 1282.91378
Mijatović, Aleksandar; Pistorius, Martijn
50
2013
The valuation of structured products using Markov chain models. Zbl 1280.91172
Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim
5
2013
A simple stochastic rate model for rate equity hybrid products. Zbl 1396.91780
Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Yor, Marc
5
2013
Optimal dividend distribution under Markov regime switching. Zbl 1252.93135
Jiang, Zhengjun; Pistorius, Martijn
49
2012
On the drawdown of completely asymmetric Lévy processes. Zbl 1252.60046
Mijatović, Aleksandar; Pistorius, Martijn R.
39
2012
Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations. Zbl 1246.91151
Pistorius, Martijn; Stolte, Johannes
4
2012
Exotic derivatives under stochastic volatility models with jumps. Zbl 1233.91286
Mijatović, Aleksandar; Pistorius, Martijn
10
2011
Method of moments approach to pricing double barrier contracts in polynomial jump-diffusion models. Zbl 1229.91304
Eriksson, Bjorn; Pistorius, Martijn
5
2011
A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes. Zbl 1192.91177
Jeannin, Marc; Pistorius, Martijn
32
2010
On additive time-changes of Feller processes. Zbl 1273.60094
Mijatović, Aleksandar; Pistorius, Martijn
6
2010
On optimal dividend distribution for a Cramér-Lundberg process with exponential jumps in the presence of a linear Gerber-Shiu penalty function. Zbl 1236.91084
Avram, Florin; Palmowski, Zbigniew; Pistorius, Martijn
2
2010
Cramér asymptotics for finite time first passage probabilities of general Lévy processes. Zbl 1175.60021
Palmowski, Zbigniew; Pistorius, Martijn
7
2009
On an explicit Skorokhod embedding for spectrally negative Lévy processes. Zbl 1166.60028
Obłój, Jan; Pistorius, Martijn
2
2009
On perpetual American put valuation and first-passage in a regime-switching model with jumps. Zbl 1164.60066
Jiang, Zhengjun; Pistorius, Martijn R.
48
2008
A two-dimensional ruin problem on the positive quadrant. Zbl 1141.91482
Avram, Florin; Palmowski, Zbigniew; Pistorius, Martijn
44
2008
Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results. Zbl 1163.60010
Avram, Florin; Palmowski, Zbigniew; Pistorius, Martijn R.
35
2008
On the optimal dividend problem for a spectrally negative Lévy process. Zbl 1136.60032
Avram, Florin; Palmowski, Zbigniew; Pistorius, Martijn R.
153
2007
An excursion-theoretical approach to some boundary crossing problems and the Skorokhod embedding for reflected Lévy processes. Zbl 1126.60039
Pistorius, Martijn R.
25
2007
On maxima and ladder processes for a dense class of Lévy process. Zbl 1102.60044
Pistorius, Martijn
17
2006
Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function. Zbl 1146.60036
Bronstein, Anne Laure; Hughston, Lane P.; Pistorius, Martijn R.; Zervos, Mihail
2
2006
A potential-theoretical review of some exit problems of spectrally negative Lévy processes. Zbl 1065.60047
Pistorius, Martijn R.
20
2005
Russian and American put options under exponential phase-type Lévy models. Zbl 1075.60037
Asmussen, Søren; Avram, Florin; Pistorius, Martijn R.
176
2004
Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options. Zbl 1042.60023
Avram, F.; Kyprianou, A. E.; Pistorius, M. R.
131
2004
On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum. Zbl 1049.60042
Pistorius, M. R.
73
2004
Perpetual options and Canadization through fluctuation theory. Zbl 1039.60044
Kyprianou, A. E.; Pistorius, M. R.
50
2003
On doubly reflected completely asymmetric Lévy processes. Zbl 1075.60573
Pistorius, M. R.
19
2003
The two barriers ruin problem via a Wiener Hopf decomposition approach. Zbl 1073.60523
Avram, Florin; Pistorius, Martijn R.; Usabel, Miguel
8
2003
On an optimal consumption problem for \(p\)-integrable consumption plans. Zbl 0994.91036
Balder, Erik J.; Pistorius, Martijn R.
3
2001
all top 5

Cited by 737 Authors

33 Palmowski, Zbigniew
33 Yamazaki, Kazutoshi
24 Pistorius, Martijn R.
23 Madan, Dilip B.
20 Pérez Garmendia, Jose Luis
18 Avram, Florin
18 Kyprianou, Andreas E.
17 Gapeev, Pavel V.
17 Wang, Wenyuan
16 Ivanovs, Jevgeņijs
15 Cui, Zhenyu
15 Dshalalow, Jewgeni H.
15 Mandjes, Michel Robertus Hendrikus
15 Yin, Chuancun
14 Li, Lingfei
14 Zhou, Xiaowen
12 Schoutens, Wim
11 Landriault, David
10 Albrecher, Hansjörg
10 Zhang, Gongqiu
9 Levendorskiĭ, Sergeĭ Zakharovich
9 Li, Bin
9 Surya, Budhi Arta
8 Boxma, Onno Johan
8 Mijatović, Aleksandar
8 Wang, Rongming
8 Yang, Hailiang
8 Zhang, Zhimin
7 Cai, Ning
7 Czarna, Irmina
7 Egami, Masahiko
7 Yang, Xuewei
6 Asmussen, Søren
6 Breuer, Lothar
6 Cheung, Eric C. K.
6 Jiang, Zhengjun
6 Kella, Offer
6 Kuznetsov, Alexey
6 Li, Shu
6 Moreno-Franco, Harold A.
6 Rabehasaina, Landy
6 Sheu, Yuan-Chung
6 Wang, Yongjin
6 Yuen, Kam Chuen
5 Azcue, Pablo
5 Bo, Lijun
5 Boyarchenko, Mitya
5 Chen, Ping
5 Dębicki, Krzysztof
5 Eisenberg, Julia
5 Ferrari, Giorgio
5 Hieber, Peter
5 Lempa, Jukka
5 Loeffen, Ronnie L.
5 Muler, Nora E.
5 Wei, Jiaqin
5 Yao, Dingjun
4 Avanzi, Benjamin
4 Baurdoux, Erik Jan
4 Bekker, René
4 Elliott, Robert James
4 Frostig, Esther
4 Griffin, Philip S.
4 Jin, Zhuo
4 Leung, Tim
4 Li, Shuanming
4 Ma, Jingtang
4 Mendoza-Arriaga, Rafael
4 Noba, Kei
4 Ott, Curdin
4 Renaud, Jean-François
4 Rochet, Jean-Charles
4 Rodosthenous, Neofytos
4 Schmidli, Hanspeter
4 Van Schaik, Kees
4 Vardar-Acar, Ceren
4 Vidmar, Matija
4 Wang, King-Hang
4 Wen, Yuzhen
4 Xu, Lin
4 Zang, Qingpei
4 Zhang, Hongzhong
4 Zhu, Jinxia
3 Badescu, Andrei L.
3 Bayraktar, Erhan
3 Bielecki, Tomasz R.
3 Bladt, Mogens
3 Brinker, Leonie Violetta
3 Çağlar, Mine
3 Chen, Mi
3 Chen, Yu-Ting
3 Christensen, Soren
3 Deelstra, Griselda
3 Eberlein, Ernst W.
3 Fu, Ke’ang
3 Gong, Ruoting
3 Goreac, Dan
3 Guo, Junyi
3 Kadankov, Viktor F.
3 Kadankova, Tat’yana V.
...and 637 more Authors
all top 5

Cited in 117 Serials

60 Insurance Mathematics & Economics
55 Journal of Applied Probability
38 Stochastic Processes and their Applications
25 Advances in Applied Probability
25 Quantitative Finance
23 International Journal of Theoretical and Applied Finance
23 Scandinavian Actuarial Journal
20 The Annals of Applied Probability
19 Finance and Stochastics
18 Statistics & Probability Letters
17 Journal of Computational and Applied Mathematics
17 Methodology and Computing in Applied Probability
17 Stochastic Models
14 Mathematical Finance
13 European Journal of Operational Research
12 Journal of Industrial and Management Optimization
11 Applied Mathematics and Optimization
11 Journal of Theoretical Probability
11 Queueing Systems
10 Applied Mathematics and Computation
10 Stochastic Analysis and Applications
10 Stochastics
9 Mathematical Methods of Operations Research
8 Journal of Mathematical Analysis and Applications
8 SIAM Journal on Control and Optimization
8 Mathematics and Financial Economics
8 European Actuarial Journal
7 Journal of Optimization Theory and Applications
6 Probability and Mathematical Statistics
6 SIAM Journal on Financial Mathematics
6 Annals of Finance
5 Operations Research
5 Communications in Statistics. Theory and Methods
5 Probability, Uncertainty and Quantitative Risk
4 Operations Research Letters
4 Journal of Economic Dynamics & Control
4 Bernoulli
4 Probability in the Engineering and Informational Sciences
4 ASTIN Bulletin
4 North American Actuarial Journal
3 Physica A
3 The Annals of Probability
3 Mathematics of Operations Research
3 Acta Mathematicae Applicatae Sinica. English Series
3 Mathematical and Computer Modelling
3 Japan Journal of Industrial and Applied Mathematics
3 Theory of Probability and Mathematical Statistics
3 Applied Mathematical Finance
3 Discrete Dynamics in Nature and Society
3 Nonlinear Analysis. Hybrid Systems
3 Science China. Mathematics
3 Frontiers of Mathematical Finance
2 Computers & Mathematics with Applications
2 Journal of Mathematical Economics
2 Mathematics and Computers in Simulation
2 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
2 Transactions of the American Mathematical Society
2 Bulletin of the Iranian Mathematical Society
2 Annals of Operations Research
2 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
2 SIAM Journal on Scientific Computing
2 INFORMS Journal on Computing
2 Abstract and Applied Analysis
2 Journal of Inequalities and Applications
2 Extremes
2 Journal of Systems Science and Complexity
2 Decisions in Economics and Finance
2 Acta Mathematica Scientia. Series B. (English Edition)
2 Stochastics and Dynamics
2 Asia-Pacific Financial Markets
2 Review of Derivatives Research
2 Journal of the Korean Statistical Society
2 Frontiers of Mathematics in China
2 Journal of Physics A: Mathematical and Theoretical
2 International Journal of Stochastic Analysis
2 Statistics & Risk Modeling
2 Stochastic Systems
1 Mathematical Notes
1 Periodica Mathematica Hungarica
1 Theory of Probability and its Applications
1 Journal of Multivariate Analysis
1 Acta Mathematicae Applicatae Sinica
1 Acta Applicandae Mathematicae
1 Optimization
1 Probability Theory and Related Fields
1 Sequential Analysis
1 Communications in Statistics. Simulation and Computation
1 International Journal of Computer Mathematics
1 Computational Statistics and Data Analysis
1 Potential Analysis
1 Applied Mathematics. Series B (English Edition)
1 Statistical Papers
1 Filomat
1 Random Operators and Stochastic Equations
1 Boletín de la Sociedad Matemática Mexicana. Third Series
1 Electronic Journal of Probability
1 Electronic Communications in Probability
1 Mathematical Problems in Engineering
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings
...and 17 more Serials

Citations by Year