Martijn Pistorius

Publication Activity (10 Years)

Years Active: 2008-2019
Publications (10 Years): 2

Top Topics

Portfolio Optimization

Dependence Structure

Top Venues

Finance Stochastics

J. Appl. Probab.

SIAM J. Financial Math.

Publications

Longjie Jia, Martijn Pistorius, Harry Zheng
Dynamic Portfolio Optimization with Looping Contagion Risk. SIAM J. Financial Math. 10 (1) (2019)
Delip Madan, Martijn Pistorius, Mitja Stadje
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation. Finance Stochastics 21 (4) (2017)
Aleksandar Mijatovic, Martijn Pistorius, Johannes Stolte
Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications. J. Appl. Probab. 52 (4) (2015)
Zhengjun Jiang, Martijn Pistorius
Optimal dividend distribution under Markov regime switching. Finance Stochastics 16 (3) (2012)
Zhengjun Jiang, Martijn Pistorius
On perpetual American put valuation and first-passage in a regime-switching model with jumps. Finance Stochastics 12 (3) (2008)