Research output per year
Research output per year
Fingerprint
Dive into the research topics where Martijn Pistorius is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
- 1 Similar Profiles
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On the optimal dividend problem for a spectrally negative Levy process
Avram, F., Palmowski, Z. & Pistorius, M. R., Feb 2007, In: The Annals of Applied Probability. 17, 1, p. 156 - 180 25 p.Research output: Contribution to journal › Article › peer-review
211 Citations (Scopus) -
Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function
Bronstein, A. L., Hughston, L. P., Pistorius, M. R. & Zervos, M., Dec 2006, In: JOURNAL OF APPLIED PROBABILITY. 43, 4, p. 984 - 986 3 p.Research output: Contribution to journal › Article › peer-review
6 Citations (Scopus) -
On maxima and ladder processes for a dense class of Levy process
Pistorius, M., 2006, In: JOURNAL OF APPLIED PROBABILITY. 43, 1, p. 208 - 220 13 p.Research output: Contribution to journal › Article › peer-review
26 Citations (Scopus) -
A potential theoretical review of some exit problems of spectrally negative Levy processes
Pistorius, M., 2005, In: Seminaire de Probabilites. 38, p. 30 - 41 12 p.Research output: Contribution to journal › Article › peer-review
26 Citations (Scopus) -
Exit problems for spectrally negative Levy processes and applications to (canadized) Russian options
Avram, F., Kyprianou, A. E. & Pistorius, M. R., Feb 2004, In: The Annals of Applied Probability. 14, 1, p. 215 - 238 24 p.Research output: Contribution to journal › Article › peer-review
180 Citations (Scopus)
Projects
- 1 Finished
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New approaches to the valuation of American and barrier options.
Pistorius, M. (Primary Investigator)
EPSRC Engineering and Physical Sciences Research Council
1/01/2006 → 31/05/2009
Project: Research
Activities
- 5 Publication peer-review
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Stochastics (Journal)
Pistorius, M. (Editor)
2001 → …Activity: Publication peer-review and editorial work › Publication peer-review
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MATHEMATICAL FINANCE (Journal)
Pistorius, M. (Editor)
2001 → …Activity: Publication peer-review and editorial work › Publication peer-review
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Quantitative Finance (Journal)
Pistorius, M. (Editor)
2001 → …Activity: Publication peer-review and editorial work › Publication peer-review
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Stochastic Processes and Their Applications (Journal)
Pistorius, M. (Editor)
2001 → …Activity: Publication peer-review and editorial work › Publication peer-review
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Finance and Stochastics (Journal)
Pistorius, M. (Editor)
2001 → …Activity: Publication peer-review and editorial work › Publication peer-review