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Method of moments approach to pricing double barrier contracts in polynomial jump-diffusion models
Eriksson, Bjorn; Pistorius, Martijn - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1139-1158
Persistent link: https://www.econbiz.de/10009407659
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Pricing and hedging barrier options in a hyper-exponential additive model
Jeannin, Marc; Pistorius, Martijn - In: International journal of theoretical and applied finance 13 (2010) 5, pp. 657-681
Persistent link: https://www.econbiz.de/10008904332
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A two-dimensional ruin problem on the positive quadrant
Avram, Florin; Palmowski, Zbigniew; Pistorius, Martijn - In: Insurance / Mathematics & economics 42 (2008) 1, pp. 227-234
Persistent link: https://www.econbiz.de/10003682201
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Exotic derivatives under stochastic volatility models with jumps
Mijatovi´c, Aleksandar; Pistorius, Martijn - In: Advanced mathematical methods for finance, (pp. 455-508). 2011
Persistent link: https://www.econbiz.de/10008991275
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Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations
Pistorius, Martijn; Stolte, Johannes - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-34
Persistent link: https://www.econbiz.de/10009624458
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Continuously monitored barrier options under Markov processes
Mijatovi´c, Aleksandar; Pistorius, Martijn - In: Mathematical finance : an international journal of … 23 (2013) 1, pp. 1-38
Persistent link: https://www.econbiz.de/10009712564
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Preface: Spectral and cubature methods in finance and econometrics : an Interdisciplinary International Research Workshop University of Leicester, United Kingdom, 18 - 20 June 2009
Levendorskij, Sergej Z.; Mijatovi´c, Aleksandar; … - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 5-7
Persistent link: https://www.econbiz.de/10009408859
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A simple stochastic rate model for rate equity hybrid products
Eberlein, Ernst; Madan, Dilip B.; Pistorius, Martijn; … - In: Applied mathematical finance 20 (2013) 5/6, pp. 461-488
Persistent link: https://www.econbiz.de/10010235587
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Two price economies in continuous time
Eberlein, Ernst; Madan, Dilip B.; Pistorius, Martijn; … - In: Annals of finance 10 (2014) 1, pp. 71-100
Persistent link: https://www.econbiz.de/10010244607
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Bid and ask prices as non-linear continuous time G-expectations based on distortions
Eberlein, Ernst; Madan, Dilip B.; Pistorius, Martijn; … - In: Mathematics and financial economics 8 (2014) 3, pp. 265-289
Persistent link: https://www.econbiz.de/10010365556