Martijn Pistorius

Finance · 2003–2011

A researcher in the Science corpus: 12 papers; trusts 30 researchers and is trusted by 38 researchers here, as inferred from the citation graph.

Subfields

• Finance — 52 citations into it; #634 of 10,518 by trust here, #1,047 by citations
• Management Science and Operations Research — 44 citations into it; #574 of 11,946 by trust here, #972 by citations
• Demography — 20 citations into it; #174 of 4,236 by trust here, #280 by citations
• Economics and Econometrics — 17 citations into it; #4,096 of 23,481 by trust here, #9,060 by citations
• Mathematical Physics — 14 citations into it; #653 of 8,562 by trust here, #1,725 by citations
• Statistics and Probability — 11 citations into it
• Management Information Systems — 5 citations into it; #2,053 of 3,376 by trust here, #3,104 by citations

Whom Martijn Pistorius trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Andreas E. Kyprianou
2. Florin Avram
3. Søren Asmussen
4. Peter P. Carr
5. Svetlana Boyarchenko
6. Rama Cont
7. Marc Yor
8. Amaury Lambert
9. Ronnie Loeffen
10. Ole E. Barndorff-Nielsen

Who trusts Martijn Pistorius overall

1. Andreas E. Kyprianou
2. Chuancun Yin
3. Budhi Arta Surya
4. Jevgenijs Ivanovs
5. Alexey Kuznetsov
6. Erik J. Baurdoux
7. Zbigniew Palmowski
8. Friedrich Hubalek
9. V. Rivero
10. Ronnie Loeffen

Papers from Martijn Pistorius's perspective

Ordered by how strongly the researchers Martijn Pistorius trusts endorse each paper. Same corpus, a different order for every researcher.

1. Introductory Lectures on Fluctuations of Lévy Processes with Applications
2. A multi-dimensional martingale for Markov additive processes and its applications (Advances in Applied Probability)
3. Lévy processes and infinitely divisible distributions
4. An optimal dividends problem with transaction costs for spectrally negative Lévy processes
5. Convexity and Smoothness of Scale Functions and de Finetti’s Control Problem
6. A Jump-Diffusion Model for Option Pricing (Management Sciences)
7. Some Optimal Dividends Problems (ASTIN Bulletin: The Journal of the International Actuarial Association)
8. On the optimal dividend problem for a spectrally negative Lévy process
9. ASSET PRICES ARE BROWNIAN MOTION: ONLY IN BUSINESS TIME
10. OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR‐LUNDBERG MODEL

Their papers

• On the optimal dividend problem for a spectrally negative Lévy process (2007) — 309 citations
• Exit problems for spectrally negative Levy processes and applications to (Canadized) Russian options (2004) — 279 citations
• On Exit and Ergodicity of the Spectrally One-Sided Lévy Process Reflected at Its Infimum (2004) — 153 citations
• A Potential-theoretical Review of some Exit Problems of Spectrally Negative Lévy Processes (2005) — 56 citations
• Russian and American put options under exponential phase-type Lévy models (2004) — 366 citations
• Perpetual options and Canadization through fluctuation theory (2003) — 94 citations
• On the drawdown of completely asymmetric Lévy processes (2011) — 92 citations
• On Gerber–Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function (2011) — 61 citations
• Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results. (2008) — 72 citations
• A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes (2008) — 73 citations
• A two-dimensional ruin problem on the positive quadrant, with exponential claims: Feynman- Kac formula, Laplace transform and its inversion (2007) — 109 citations
• An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Lévy Processes (2007) — 53 citations