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Pistorius, Martijn R.

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Author ID: pistorius.martijn-r Recent zbMATH articles by "Pistorius, Martijn R."
Published as: Pistorius, M.; Pistorius, M. R.; Pistorius, Martijn; Pistorius, Martijn R.
External Links: MGP · ORCID
Documents Indexed: 51 Publications since 2001, including 1 Book

Publications by Year

Citations contained in zbMATH Open

45 Publications have been cited 867 times in 534 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.
146
2004
On the optimal dividend problem for a spectrally negative Lévy process. Zbl 1136.60032
Avram, Florin; Palmowski, Zbigniew; Pistorius, Martijn R.
121
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.
101
2004
On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum. Zbl 1049.60042
Pistorius, M. R.
62
2004
Perpetual options and Canadization through fluctuation theory. Zbl 1039.60044
Kyprianou, A. E.; Pistorius, M. R.
44
2003
On perpetual American put valuation and first-passage in a regime-switching model with jumps. Zbl 1164.60066
Jiang, Zhengjun; Pistorius, Martijn R.
38
2008
A two-dimensional ruin problem on the positive quadrant. Zbl 1141.91482
Avram, Florin; Palmowski, Zbigniew; Pistorius, Martijn
36
2008
Optimal dividend distribution under Markov regime switching. Zbl 1252.93135
Jiang, Zhengjun; Pistorius, Martijn
29
2012
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
28
2010
Continuously monitored barrier options under Markov processes. Zbl 1282.91378
Mijatović, Aleksandar; Pistorius, Martijn
27
2013
On the drawdown of completely asymmetric Lévy processes. Zbl 1252.60046
Mijatović, Aleksandar; Pistorius, Martijn R.
26
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.
26
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.
17
2015
On maxima and ladder processes for a dense class of Lévy process. Zbl 1102.60044
Pistorius, Martijn
17
2006
A potential-theoretical review of some exit problems of spectrally negative Lévy processes. Zbl 1065.60047
Pistorius, Martijn R.
17
2005
An excursion-theoretical approach to some boundary crossing problems and the Skorokhod embedding for reflected Lévy processes. Zbl 1126.60039
Pistorius, Martijn R.
16
2007
On doubly reflected completely asymmetric Lévy processes. Zbl 1075.60573
Pistorius, M. R.
16
2003
Two price economies in continuous time. Zbl 1298.91086
Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Schoutens, Wim; Yor, Marc
12
2014
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
12
2014
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation. Zbl 1422.91783
Madan, D.; Pistorius, M.; Stadje, M.
8
2017
Exotic derivatives under stochastic volatility models with jumps. Zbl 1233.91286
Mijatović, Aleksandar; Pistorius, Martijn
6
2011
Cramér asymptotics for finite time first passage probabilities of general Lévy processes. Zbl 1175.60021
Palmowski, Zbigniew; Pistorius, Martijn
6
2009
On additive time-changes of Feller processes. Zbl 1273.60094
Mijatović, Aleksandar; Pistorius, Martijn
5
2010
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
4
2016
The distribution of the supremum for spectrally asymmetric Lévy processes. Zbl 1321.60097
Michna, Zbigniew; Palmowski, Zbigniew; Pistorius, Martijn
4
2015
The two barriers ruin problem via a Wiener Hopf decomposition approach. Zbl 1073.60523
Avram, Florin; Pistorius, Martijn R.; Usabel, Miguel
4
2003
On future drawdowns of Lévy processes. Zbl 1367.60051
Baurdoux, E. J.; Palmowski, Z.; Pistorius, M. R.
3
2017
American option valuation under continuous-time Markov chains. Zbl 1403.91339
Eriksson, B.; Pistorius, M. R.
3
2015
Buffer-overflows: joint limit laws of undershoots and overshoots of reflected processes. Zbl 1322.60058
Mijatović, Aleksandar; Pistorius, Martijn
3
2015
The valuation of structured products using Markov chain models. Zbl 1280.91172
Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim
3
2013
Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations. Zbl 1246.91151
Pistorius, Martijn; Stolte, Johannes
3
2012
On an optimal consumption problem for \(p\)-integrable consumption plans. Zbl 0994.91036
Balder, Erik J.; Pistorius, Martijn R.
3
2001
Conic trading in a Markovian steady state. Zbl 1390.91304
Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim
2
2017
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
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.
2
2015
A simple stochastic rate model for rate equity hybrid products. Zbl 1396.91780
Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Yor, Marc
2
2013
Method of moments approach to pricing double barrier contracts in polynomial jump-diffusion models. Zbl 1229.91304
Eriksson, Bjorn; Pistorius, Martijn
2
2011
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
On an explicit Skorokhod embedding for spectrally negative Lévy processes. Zbl 1166.60028
Obłój, Jan; Pistorius, Martijn
2
2009
On dynamic deviation measures and continuous-time portfolio optimization. Zbl 1382.60089
Pistorius, Martijn; Stadje, Mitja
1
2017
Joint asymptotic distribution of certain path functionals of the reflected process. Zbl 1346.60062
Mijatović, Aleksandar; Pistorius, Martijn
1
2016
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 matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes. Zbl 1306.91068
Avram, F.; Pistorius, M.
1
2014
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
1
2006
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation. Zbl 1422.91783
Madan, D.; Pistorius, M.; Stadje, M.
8
2017
On future drawdowns of Lévy processes. Zbl 1367.60051
Baurdoux, E. J.; Palmowski, Z.; Pistorius, M. R.
3
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
4
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
Joint asymptotic distribution of certain path functionals of the reflected process. Zbl 1346.60062
Mijatović, Aleksandar; Pistorius, Martijn
1
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.
17
2015
The distribution of the supremum for spectrally asymmetric Lévy processes. Zbl 1321.60097
Michna, Zbigniew; Palmowski, Zbigniew; Pistorius, Martijn
4
2015
American option valuation under continuous-time Markov chains. Zbl 1403.91339
Eriksson, B.; Pistorius, M. R.
3
2015
Buffer-overflows: joint limit laws of undershoots and overshoots of reflected processes. Zbl 1322.60058
Mijatović, Aleksandar; Pistorius, Martijn
3
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.
2
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
Two price economies in continuous time. Zbl 1298.91086
Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Schoutens, Wim; Yor, Marc
12
2014
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
12
2014
On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes. Zbl 1306.91068
Avram, F.; Pistorius, M.
1
2014
Continuously monitored barrier options under Markov processes. Zbl 1282.91378
Mijatović, Aleksandar; Pistorius, Martijn
27
2013
The valuation of structured products using Markov chain models. Zbl 1280.91172
Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim
3
2013
A simple stochastic rate model for rate equity hybrid products. Zbl 1396.91780
Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Yor, Marc
2
2013
Optimal dividend distribution under Markov regime switching. Zbl 1252.93135
Jiang, Zhengjun; Pistorius, Martijn
29
2012
On the drawdown of completely asymmetric Lévy processes. Zbl 1252.60046
Mijatović, Aleksandar; Pistorius, Martijn R.
26
2012
Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations. Zbl 1246.91151
Pistorius, Martijn; Stolte, Johannes
3
2012
Exotic derivatives under stochastic volatility models with jumps. Zbl 1233.91286
Mijatović, Aleksandar; Pistorius, Martijn
6
2011
Method of moments approach to pricing double barrier contracts in polynomial jump-diffusion models. Zbl 1229.91304
Eriksson, Bjorn; Pistorius, Martijn
2
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
28
2010
On additive time-changes of Feller processes. Zbl 1273.60094
Mijatović, Aleksandar; Pistorius, Martijn
5
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
6
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.
38
2008
A two-dimensional ruin problem on the positive quadrant. Zbl 1141.91482
Avram, Florin; Palmowski, Zbigniew; Pistorius, Martijn
36
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.
26
2008
On the optimal dividend problem for a spectrally negative Lévy process. Zbl 1136.60032
Avram, Florin; Palmowski, Zbigniew; Pistorius, Martijn R.
121
2007
An excursion-theoretical approach to some boundary crossing problems and the Skorokhod embedding for reflected Lévy processes. Zbl 1126.60039
Pistorius, Martijn R.
16
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
1
2006
A potential-theoretical review of some exit problems of spectrally negative Lévy processes. Zbl 1065.60047
Pistorius, Martijn R.
17
2005
Russian and American put options under exponential phase-type Lévy models. Zbl 1075.60037
Asmussen, Søren; Avram, Florin; Pistorius, Martijn R.
146
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.
101
2004
On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum. Zbl 1049.60042
Pistorius, M. R.
62
2004
Perpetual options and Canadization through fluctuation theory. Zbl 1039.60044
Kyprianou, A. E.; Pistorius, M. R.
44
2003
On doubly reflected completely asymmetric Lévy processes. Zbl 1075.60573
Pistorius, M. R.
16
2003
The two barriers ruin problem via a Wiener Hopf decomposition approach. Zbl 1073.60523
Avram, Florin; Pistorius, Martijn R.; Usabel, Miguel
4
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 594 Authors

27 Yamazaki, Kazutoshi
25 Pistorius, Martijn R.
24 Palmowski, Zbigniew
18 Madan, Dilip B.
17 Kyprianou, Andreas E.
17 Pérez Garmendia, Jose Luis
16 Avram, Florin
15 Dshalalow, Jewgeni H.
15 Mandjes, Michel Robertus Hendrikus
14 Ivanovs, Jevgeņijs
13 Yin, Chuancun
11 Schoutens, Wim
10 Landriault, David
9 Gapeev, Pavel V.
9 Levendorskiĭ, Sergeĭ Zakharovich
9 Zhou, Xiaowen
8 Cheung, Eric C. K.
7 Albrecher, Hansjörg
7 Boxma, Onno Johan
7 Cui, Zhenyu
7 Egami, Masahiko
7 Li, Bin
7 Surya, Budhi Arta
7 Wang, Rongming
6 Breuer, Lothar
6 Cai, Ning
6 Czarna, Irmina
6 Kuznetsov, Alexey
6 Mijatović, Aleksandar
6 Rabehasaina, Landy
6 Sheu, Yuan-Chung
6 Yang, Hailiang
6 Yang, Xuewei
5 Bekker, René
5 Bo, Lijun
5 Boyarchenko, Mitya
5 Kella, Offer
5 Lempa, Jukka
5 Li, Lingfei
5 Loeffen, Ronnie L.
5 Wang, Wenyuan
5 Wang, Yongjin
5 Wu, Lan
5 Yao, Dingjun
5 Yuen, Kam Chuen
4 Asmussen, Søren
4 Azcue, Pablo
4 Baurdoux, Erik Jan
4 Hieber, Peter
4 Jiang, Zhou
4 Lars Kirkby, J.
4 Leung, Tim
4 Mendoza-Arriaga, Rafael
4 Moreno-Franco, Harold A.
4 Muler, Nora E.
4 Ott, Curdin
4 Van Schaik, Kees
4 Wei, Jiaqin
4 Wen, Yuzhen
4 Xu, Lin
4 Zang, Qingpei
4 Zhang, Hongzhong
4 Zhu, Jinxia
3 Badescu, Andrei L.
3 Bayraktar, Erhan
3 Chen, Yu-Ting
3 Dębicki, Krzysztof
3 Eberlein, Ernst W.
3 Ferrari, Giorgio
3 Frostig, Esther
3 Fu, Ke’ang
3 Griffin, Philip S.
3 Guo, Junyi
3 Jiang, Zhengjun
3 Kadankov, Viktor F.
3 Kadankova, Tetyana
3 Li, Shu
3 Li, Shuanming
3 Liew, Agatha
3 Linetsky, Vadim
3 Maller, Ross Arthur
3 Noba, Kei
3 Pardo, Juan Carlos
3 Renaud, Jean-François
3 Resing, Jacques A. C.
3 Rochet, Jean-Charles
3 Rodosthenous, Neofytos
3 Rolski, Tomasz
3 Siu, Chi Chung
3 Song, Renming
3 Stadje, Mitja
3 Vidmar, Matija
3 Yor, Marc
3 Zhang, Li-Xin
3 Zhang, Zhimin
2 Ahn, Soohan
2 Artstein, Zvi
2 Avanzi, Benjamin
2 Badila, E. S.
2 Bai, Lihua
...and 494 more Authors
all top 5

Cited in 100 Serials

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

Citations by Year