Martijn Pistorius

Imperial College London

South Kensington Campus

Exhibition Road

London, Greater London SW7 2AZ

United Kingdom

http://www3.imperial.ac.uk/people/m.pistorius

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 20,636

SSRN RANKINGS

Top 20,636

in Total Papers Downloads

1,753

CITATIONS
Rank 24,088

SSRN RANKINGS

Top 24,088

in Total Papers Citations

11

Scholarly Papers (14)

1.

The Valuation of Structured Products Using Markov Chain Models

Robert H. Smith School Research Paper No. RHS 06-142
Number of pages: 24 Posted: 04 Mar 2010 Last Revised: 14 May 2011
Dilip B. Madan, Martijn Pistorius and Wim Schoutens
University of Maryland - Robert H. Smith School of Business, Imperial College London and KU Leuven - Department of Mathematics
Downloads 287 (78,866)
Citation 3

Abstract:

Variance Gamma, Local Levy, Barrier Pricing, Sato Process

Continuously Monitored Barrier Options Under Markov Processes

Number of pages: 62 Posted: 27 Aug 2009 Last Revised: 11 Oct 2010
Martijn Pistorius and Aleksandar Mijatovic
Imperial College London and Imperial College London
Downloads 283 (83,532)
Citation 4

Abstract:

Barrier options, Markov processes

Continuously Monitored Barrier Options Under Markov Processes

Mathematical Finance, Vol. 23, Issue 1, pp. 1-38, 2013
Number of pages: 38 Posted: 10 Jan 2013
Aleksandar Mijatovic and Martijn Pistorius
Imperial College London and Imperial College London
Downloads 1 (549,135)
Citation 4

Abstract:

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

3.

Quantification of Counterparty Risk Via Bessel Bridges

Number of pages: 16 Posted: 12 Dec 2010
Mark Davis and Martijn Pistorius
Imperial College London and Imperial College London
Downloads 181 (115,029)

Abstract:

Counterparty risk, credit risk, structural model, swap, joint equity-credit modelling

4.

Joint Calibration of SPX and VIX Option Surfaces: With Applications to Pricing and Hedging Equity and Volatility Linked Hybrid Notes

Robert H. Smith School Research Paper No. RHS 2414150
Number of pages: 31 Posted: 25 Mar 2014
Dilip B. Madan and Martijn Pistorius
University of Maryland - Robert H. Smith School of Business and Imperial College London
Downloads 144 (116,693)

Abstract:

5.

Optimal Dividend Distribution Under Markov-Regime Switching

Finance Stochastics, Forthcoming
Number of pages: 26 Posted: 08 Jan 2009 Last Revised: 22 Apr 2011
Zhengjun Jiang and Martijn Pistorius
BNU-HKBU United International College - Statistics Programme and Imperial College London
Downloads 144 (158,988)
Citation 4

Abstract:

Cycles, Regime-switching, singular control, dynamic programming, optimal dividend

6.

Fast Computation of Vanilla Prices in Time-Changed Models and Implied Volatilities Using Rational Approximations

Number of pages: 30 Posted: 25 Oct 2011 Last Revised: 04 Nov 2011
Martijn Pistorius and Johannes Stolte
Imperial College London and Imperial College London
Downloads 98 (206,134)

Abstract:

Rational approximations, Time-changed Brownian motion models, Inverse Black-Scholes formula

7.

Bid and Ask Prices as Non-Linear Continuous Time G-Expectations Based on Distortions

Number of pages: 31 Posted: 18 Mar 2013
Ernst Eberlein, Dilip B. Madan, Martijn Pistorius and Marc Yor
University of Freiburg, University of Maryland - Robert H. Smith School of Business, Imperial College London and Université Paris VI Pierre et Marie Curie
Downloads 88 (201,996)

Abstract:

8.

Two Price Economies in Continuous Time

Number of pages: 31 Posted: 18 Mar 2013
University of Freiburg, University of Maryland - Robert H. Smith School of Business, Imperial College London, KU Leuven - Department of Mathematics and Université Paris VI Pierre et Marie Curie
Downloads 60 (246,249)

Abstract:

9.

Exotic Derivatives under Stochastic Volatility Models with Jumps

Number of pages: 47 Posted: 14 Dec 2009 Last Revised: 10 Oct 2010
Aleksandar Mijatovic and Martijn Pistorius
Imperial College London and Imperial College London
Downloads 47 (315,056)

Abstract:

Double-barrier options, volatility surface, volatility derivatives, forward starting options, stochastic volatility models with jumps, fluid embedding, complex matrix Wiener-Hopf factorisation

10.

A Simple Stochastic Rate Model for Rate Equity Hybrid Products

Number of pages: 34 Posted: 18 Mar 2013
Ernst Eberlein, Dilip B. Madan, Martijn Pistorius and Marc Yor
University of Freiburg, University of Maryland - Robert H. Smith School of Business, Imperial College London and Université Paris VI Pierre et Marie Curie
Downloads 44 (320,883)

Abstract:

11.

On Dynamic Spectral Risk Measures and a Limit Theorem

Robert H. Smith School Research Paper No. RHS 2635636
Number of pages: 53 Posted: 26 Jul 2015
Dilip B. Madan, Martijn Pistorius and Mitja Stadje
University of Maryland - Robert H. Smith School of Business, Imperial College London and Tilburg University - Department of Econometrics & Operations Research
Downloads 22 (288,820)

Abstract:

12.

Dynamic Conic Hedging for Competitiveness

Robert H. Smith School Research Paper No. RHS 2635600
Number of pages: 60 Posted: 25 Jul 2015
Dilip B. Madan, Martijn Pistorius and Wim Schoutens
University of Maryland - Robert H. Smith School of Business, Imperial College London and KU Leuven - Department of Mathematics
Downloads 21 (286,464)

Abstract:

Static and Semi Static Hedging, Nonlinear Expectation, Variance Gamma Model, Distorted Expectation

13.

Equity Quantile Upper and Lower Swaps

Number of pages: 20 Posted: 18 Mar 2013
Dilip B. Madan and Martijn Pistorius
University of Maryland - Robert H. Smith School of Business and Imperial College London
Downloads 21 (414,885)

Abstract:

14.

Conic Trading in Markovian Steady State

Robert H. Smith School Research Paper No. RHS 2732826
Number of pages: 22 Posted: 15 Feb 2016 Last Revised: 25 May 2016
Dilip B. Madan, Martijn Pistorius and Wim Schoutens
University of Maryland - Robert H. Smith School of Business, Imperial College London and KU Leuven - Department of Mathematics
Downloads 0 (240,684)

Abstract:

non-additive probability; acceptable risks; nonlinear martingales; nonlinear expectation; measure distortions