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On the Optimal Dividend Problem for a Spectrally Negative Lévy Process

The Annals of applied probability, 2007-02, Vol.17 (1), p.156-180

2007

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

Stochastic processes and their applications, 2004, Vol.109 (1), p.79-111

2004

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Exit Problem of a Two-Dimensional Risk Process from the Quadrant: Exact and Asymptotic Results

The Annals of applied probability, 2008-12, Vol.18 (6), p.2421-2449

2008

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A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes

Quantitative finance, 2010-06, Vol.10 (6), p.629-644

2010

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On perpetual American put valuation and first-passage in a regime-switching model with jumps

Finance and stochastics, 2008, Vol.12 (3), p.331-355

2008

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Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications

Journal of applied probability, 2015-12, Vol.52 (4), p.1076-1096

2015

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Optimal dividend distribution under Markov regime switching

Finance and stochastics, 2012-07, Vol.16 (3), p.449-476

2012

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METHOD OF MOMENTS APPROACH TO PRICING DOUBLE BARRIER CONTRACTS IN POLYNOMIAL JUMP-DIFFUSION MODELS

International journal of theoretical and applied finance, 2011-11, Vol.14 (7), p.1139-1158

2011

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ON DYNAMIC DEVIATION MEASURES AND CONTINUOUS-TIME PORTFOLIO OPTIMIZATION

The Annals of applied probability, 2017-12, Vol.27 (6), p.3342-3384

2017

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On Maxima and Ladder Processes for a Dense Class of Lévy Process

Journal of applied probability, 2006-03, Vol.43 (1), p.208-220

Pistorius, Martijn

2006

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On the drawdown of completely asymmetric Lévy processes

Stochastic processes and their applications, 2012-11, Vol.122 (11), p.3812-3836

2012

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Convergence of BSΔEs driven by random walks to BSDEs: The case of (in)finite activity jumps with general driver

Stochastic processes and their applications, 2016-05, Vol.126 (5), p.1553-1584

2016

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Dynamic Portfolio Optimization with Looping Contagion Risk

SIAM journal on financial mathematics, 2019-01, Vol.10 (1), p.1-36

2019

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Buffer-overflows: Joint limit laws of undershoots and overshoots of reflected processes

Stochastic processes and their applications, 2015-08, Vol.125 (8), p.2937-2954

2015

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FAST COMPUTATION OF VANILLA PRICES IN TIME-CHANGED MODELS AND IMPLIED VOLATILITIES USING RATIONAL APPROXIMATIONS

International journal of theoretical and applied finance, 2012-06, Vol.15 (4), p.1250031-1-1250031-34

2012

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Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function

Journal of applied probability, 2006-12, Vol.43 (4), p.984-996

2006

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CONIC TRADING IN A MARKOVIAN STEADY STATE

International journal of theoretical and applied finance, 2017-03, Vol.20 (2), p.1750010

2017

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The distribution of the supremum for spectrally asymmetric Lévy processes

Electronic communications in probability, 2015, Vol.20 (none)

2015

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A Potential-theoretical Review of some Exit Problems of Spectrally Negative Lévy Processes

Séminaire de Probabilités XXXVIII, 2004-11, p.30-41

2004

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Asymptotic independence of three statistics of maximal segmental scores

Statistics & probability letters, 2015-04, Vol.99, p.185-191

2015

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Joint asymptotic distribution of certain path functionals of the reflected process

Electronic communications in probability, 2016-01, Vol.21 (none)

2016

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Pricing equity default swaps under an approximation to the CGMY Levy model

The journal of computational finance, 2007-12, Vol.11 (2), p.79-93

2007

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Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications

Journal of applied probability, 2015-12, Vol.52 (4), p.1076-1096

2015

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Cramér asymptotics for finite time first passage probabilities of general Lévy processes

Statistics & probability letters, 2009-08, Vol.79 (16), p.1752-1758

2009

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An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Lévy Processes

Séminaire de Probabilités XL, p.287-307

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On the Optimal Dividend Problem for a Spectrally Negative Lévy Process

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

Exit Problem of a Two-Dimensional Risk Process from the Quadrant: Exact and Asymptotic Results

A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes

On perpetual American put valuation and first-passage in a regime-switching model with jumps

Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications

Optimal dividend distribution under Markov regime switching

METHOD OF MOMENTS APPROACH TO PRICING DOUBLE BARRIER CONTRACTS IN POLYNOMIAL JUMP-DIFFUSION MODELS

ON DYNAMIC DEVIATION MEASURES AND CONTINUOUS-TIME PORTFOLIO OPTIMIZATION

On Maxima and Ladder Processes for a Dense Class of Lévy Process

On the drawdown of completely asymmetric Lévy processes

Convergence of BSΔEs driven by random walks to BSDEs: The case of (in)finite activity jumps with general driver

Dynamic Portfolio Optimization with Looping Contagion Risk

Buffer-overflows: Joint limit laws of undershoots and overshoots of reflected processes

FAST COMPUTATION OF VANILLA PRICES IN TIME-CHANGED MODELS AND IMPLIED VOLATILITIES USING RATIONAL APPROXIMATIONS

Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function

CONIC TRADING IN A MARKOVIAN STEADY STATE

The distribution of the supremum for spectrally asymmetric Lévy processes

A Potential-theoretical Review of some Exit Problems of Spectrally Negative Lévy Processes

Asymptotic independence of three statistics of maximal segmental scores

Joint asymptotic distribution of certain path functionals of the reflected process

Pricing equity default swaps under an approximation to the CGMY Levy model

Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications

Cramér asymptotics for finite time first passage probabilities of general Lévy processes

An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Lévy Processes

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