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Martijn Pistorius

Orcid: 0000-0002-8948-9345

According to our database1, Martijn Pistorius authored at least 5 papers between 2008 and 2019.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of five.

Timeline

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PhD thesis 
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Links

On csauthors.net:

Bibliography

2019
Dynamic Portfolio Optimization with Looping Contagion Risk.
[BibTeX]
[DOI]
Longjie Jia
,
Martijn Pistorius
,
Harry Zheng
SIAM J. Financial Math., 2019

2017
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation.
[BibTeX]
[DOI]
Delip Madan
,
Martijn Pistorius
,
Mitja Stadje
Finance Stochastics, 2017

2015
Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications.
[BibTeX]
[DOI]
Aleksandar Mijatovic
,
Martijn Pistorius
,
Johannes Stolte
J. Appl. Probab., 2015

2012
Optimal dividend distribution under Markov regime switching.
[BibTeX]
[DOI]
Zhengjun Jiang
,
Martijn Pistorius
Finance Stochastics, 2012

2008
On perpetual American put valuation and first-passage in a regime-switching model with jumps.
[BibTeX]
[DOI]
Zhengjun Jiang
,
Martijn Pistorius
Finance Stochastics, 2008


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