Concepedia

Martijn Pistorius

MP

Statistics

Publications

29

Citations

2.1K

H-Index

18

Active since

2002

Affiliations

Imperial College London(Current)

King's College London

University of Maryland, College Park

University of Wrocław

Utrecht University

Martijn Pistorius is an author at Imperial College London specializing in stochastic processes, financial economics, and probability theory.

ORCID

Publications per year

2002–2017

29

Publications

29

Russian and American put options under exponential phase-type Lévy models

Søren Asmussen, Florin Avram, Martijn Pistorius · Stochastic Processes and their Applications · 2003 · 373 citations

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On the optimal dividend problem for a spectrally negative Lévy process

Florin Avram, Zbigniew Palmowski, Martijn Pistorius · The Annals of Applied Probability · 2007 · 318 citations · Full text

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Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options

Florin Avram, Andreas E. Kyprianou, Martijn Pistorius · The Annals of Applied Probability · 2004 · 287 citations · Full text

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On Exit and Ergodicity of the Spectrally One-Sided Lévy Process Reflected at Its Infimum

Martijn Pistorius · Journal of Theoretical Probability · 2004 · 141 citations

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A two-dimensional ruin problem on the positive quadrant

Florin Avram, Zbigniew Palmowski, Martijn Pistorius · Insurance Mathematics and Economics · 2007 · 107 citations · Full text

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