319 citations · 464 across the 28 of their papers we have counts for
32 papers
Dynamic Portfolio Optimization with Looping Contagion Risk
Longjie Jia, Martijn Pistorius, Harry Zheng
In this paper we consider a utility maximization problem with defaultable stocks and looping contagion risk. We assume that the default intensity of one company depends on the stoc…
On the zeros of the zeta function and eigenvalue problems
M. R. Pistorius
In this paper we provide a proof of the Riemann Hypothesis by relating the non-trivial zeros of the zeta function to a certain Sturm-Liouville eigenvalue problem on a finite interv…
On Dynamic Deviation Measures and Continuous-Time Portfolio Optimisation
Martijn Pistorius, Mitja Stadje
In this paper we propose the notion of dynamic deviation measure, as a dynamic time-consistent extension of the (static) notion of deviation measure. To achieve time-consistency we…
Randomisation and recursion methods for mixed-exponential Levy models, with financial applications
Aleksandar Mijatovic, Martijn Pistorius, Johannes Stolte
We develop a new Monte Carlo variance reduction method to estimate the expectation of two commonly encountered path-dependent functionals: first-passage times and occupation times…
The distribution of the supremum for spectrally asymmetric Lévy processes
Zbigniew Michna, Zbigniew Palmowski, Martijn Pistorius
In this article we derive formulas for the probability and where is a spectrally positive Lévy process with infinit…
On Future Drawdowns of Lévy processes
E. J. Baurdoux, Z. Palmowski, M. R. Pistorius
For a given Lévy process and for fixed and we analyse the {\it future drawdown extremes} that ar…