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Pistorius, Martijn's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
936 |
Total
Citations
9 |
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1.
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Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business Pistorius, Martijn
Imperial College London Schoutens, Wim
KU Leuven - Department of Mathematics
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04 Mar 10
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Last Revised:
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14 May 11
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237
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3
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Variance Gamma, Local Levy, Barrier Pricing, Sato Process
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2.
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Continuously Monitored Barrier Options Under Markov Processes
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Pistorius, Martijn
Imperial College London Mijatovic, Aleksandar
Imperial College London
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Posted:
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27 Aug 09
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Last Revised:
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10 Jan 13
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199
(75,230)
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4
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Mijatović, Aleksandar
affiliation not provided to SSRN Pistorius, Martijn
Imperial College London
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0
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4
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pricing algorithms, barrier options, continuous‐time Markov chain, local volatility models with jumps, Lévy processes, normal inverse Gaussian process, variance Gamma process, CGMY model, Sato processes, local Lévy processes
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Pistorius, Martijn
Imperial College London Mijatovic, Aleksandar
Imperial College London
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| Posted: |
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27 Aug 09
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Last Revised:
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11 Oct 10
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199
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4
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Barrier options, Markov processes
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3.
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Davis, Mark
Imperial College London Pistorius, Martijn
Imperial College London
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138
(105,387)
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Counterparty risk, credit risk, structural model, swap, joint equity-credit modelling
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4.
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Jiang, Zhengjun
BNU-HKBU United International College - Statistics Programme Pistorius, Martijn
Imperial College London
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08 Jan 09
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Last Revised:
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22 Apr 11
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133
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2
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Cycles, Regime-switching, singular control, dynamic programming, optimal dividend
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5.
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Pistorius, Martijn
Imperial College London Stolte, Johannes
Imperial College London
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25 Oct 11
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Last Revised:
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04 Nov 11
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79
(157,747)
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Rational approximations, Time-changed Brownian motion models, Inverse Black-Scholes formula
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6.
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Jeannin, Marc
affiliation not provided to SSRN Pistorius, Martijn
Imperial College London
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55
(192,096)
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pricing and hedging of barrier options, transform methods
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7.
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Mijatovic, Aleksandar
Imperial College London Pistorius, Martijn
Imperial College London
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| Posted: |
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14 Dec 09
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Last Revised:
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10 Oct 10
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40
(220,071)
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Double-barrier options, volatility surface, volatility derivatives, forward starting options, stochastic volatility models with jumps, fluid embedding, complex matrix Wiener-Hopf factorisation
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8.
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Eberlein, Ernst
University of Freiburg Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business Pistorius, Martijn
Imperial College London Yor, Marc
University of Paris 6 Pierre et Marie Curie
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20
(275,477)
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9.
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Eberlein, Ernst
University of Freiburg Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business Pistorius, Martijn
Imperial College London Schoutens, Wim
KU Leuven - Department of Mathematics Yor, Marc
University of Paris 6 Pierre et Marie Curie
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13
(300,346)
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10.
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Eberlein, Ernst
University of Freiburg Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business Pistorius, Martijn
Imperial College London Yor, Marc
University of Paris 6 Pierre et Marie Curie
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12
(303,875)
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11.
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Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business Pistorius, Martijn
Imperial College London
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10
(310,607)
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