The following pages link to Martijn R. Pistorius (Q196636):
Displaying 50 items.
- (Q265656) (redirect page) (← links)
- Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver (Q265658) (← links)
- Joint asymptotic distribution of certain path functionals of the reflected process (Q303667) (← links)
- Dynamic conic hedging for competitiveness (Q317543) (← links)
- On the drawdown of completely asymmetric Lévy processes (Q454869) (← links)
- Bid and ask prices as non-linear continuous time G-expectations based on distortions (Q468119) (← links)
- Two price economies in continuous time (Q470719) (← links)
- (Q748308) (redirect page) (← links)
- Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk (Q748309) (← links)
- Cramér asymptotics for finite time first passage probabilities of general Lévy processes (Q840787) (← links)
- A two-dimensional ruin problem on the positive quadrant (Q939352) (← links)
- On perpetual American put valuation and first-passage in a regime-switching model with jumps (Q1003346) (← links)
- On an explicit Skorokhod embedding for spectrally negative Lévy processes (Q1028617) (← links)
- Perpetual options and Canadization through fluctuation theory (Q1425486) (← links)
- Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options (Q1431556) (← links)
- On dynamic deviation measures and continuous-time portfolio optimization (Q1704138) (← links)
- Optimal dividend distribution under Markov regime switching (Q1761453) (← links)
- On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum (Q1827468) (← links)
- Asymptotic independence of three statistics of maximal segmental scores (Q2344886) (← links)
- Buffer-overflows: joint limit laws of undershoots and overshoots of reflected processes (Q2347452) (← links)
- On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function (Q2354887) (← links)
- On future drawdowns of Lévy processes (Q2360246) (← links)
- On a class of dependent Sparre Andersen risk models and a bailout application (Q2374094) (← links)
- Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results (Q2378637) (← links)
- On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation (Q2412393) (← links)
- On the optimal dividend problem for a spectrally negative Lévy process (Q2467114) (← links)
- On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes (Q2514605) (← links)
- The distribution of the supremum for spectrally asymmetric Lévy processes (Q2517250) (← links)
- On doubly reflected completely asymmetric Lévy processes. (Q2574592) (← links)
- Russian and American put options under exponential phase-type Lévy models. (Q2574619) (← links)
- PRICING AND HEDGING BARRIER OPTIONS IN A HYPER-EXPONENTIAL ADDITIVE MODEL (Q2786031) (← links)
- Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications (Q2794727) (← links)
- Equity quantile upper and lower swaps (Q2893071) (← links)
- FAST COMPUTATION OF VANILLA PRICES IN TIME-CHANGED MODELS AND IMPLIED VOLATILITIES USING RATIONAL APPROXIMATIONS (Q2909517) (← links)
- CONIC TRADING IN A MARKOVIAN STEADY STATE (Q2976128) (← links)
- METHOD OF MOMENTS APPROACH TO PRICING DOUBLE BARRIER CONTRACTS IN POLYNOMIAL JUMP-DIFFUSION MODELS (Q3107935) (← links)
- (Q3108752) (← links)
- (Q3445097) (← links)
- A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes (Q3577151) (← links)
- A Simple Stochastic Rate Model for Rate Equity Hybrid Products (Q4584998) (← links)
- (Q4662395) (← links)
- CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES (Q4906512) (← links)
- On additive time-changes of Feller processes (Q4919473) (← links)
- Exotic Derivatives under Stochastic Volatility Models with Jumps (Q5198570) (← links)
- American Option Valuation under Continuous-Time Markov Chains (Q5262446) (← links)
- An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Lévy Processes (Q5423758) (← links)
- Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function (Q5441517) (← links)
- On Maxima and Ladder Processes for a Dense Class of Lévy Process (Q5489000) (← links)
- (Q5699574) (← links)
- Dynamic Portfolio Optimization with Looping Contagion Risk (Q5742492) (← links)
