Zobrazeno 1 - 10
of 40
pro vyhledávání: '"Martijn Pistorius"'
Publikováno v:
Finance and Stochastics. 21:1073-1102
In this paper we propose the notion of continuous-time dynamic spectral risk-measure (DSR). Adopting a Poisson random measure setting, we define this class of dynamic coherent risk-measures in terms of certain backward stochastic differential equatio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6702e5718f5543e61a5092bf3b0ee08e
https://doi.org/10.1007/s00780-017-0339-1
https://doi.org/10.1007/s00780-017-0339-1
Publikováno v:
Stochastic Processes and their Applications. 126:1553-1584
In this paper we present a weak approximation scheme for BSDEs driven by a Wiener process and an (in)finite activity Poisson random measure with drivers that are general Lipschitz functionals of the solution of the BSDE. The approximating backward st
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fdda8fb20814e7f9a229f2361f647eb1
https://doi.org/10.1016/j.spa.2015.11.013
https://doi.org/10.1016/j.spa.2015.11.013
Publikováno v:
Mathematics and Financial Economics. 10:405-439
The paper provides a new hedging methodology permitting systematic hedging choices with wide applications. Dynamic concave bid price, and convex ask price functionals from the recent literature are employed to construct new hedging strategies termed
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::07559c7eb5c36ac4791bbc82d30d8ba8
https://doi.org/10.1007/s11579-016-0164-x
https://doi.org/10.1007/s11579-016-0164-x
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 stock prices of itself and other companies, and the default of the company
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dfd1683f49adbd94cbd37e5420412ece
http://hdl.handle.net/10044/1/66582
http://hdl.handle.net/10044/1/66582
Autor:
Martijn Pistorius, Mitja Stadje
Publikováno v:
Ann. Appl. Probab. 27, no. 6 (2017), 3342-3384
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 require that a dynamic deviation measures satisfies a generalised c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::00da738511f6497a188dc6b54dabbe10
http://hdl.handle.net/10044/1/44822
http://hdl.handle.net/10044/1/44822
Publikováno v:
Insurance: Mathematics and Economics
Insurance: Mathematics and Economics, Elsevier, 2016, 71, pp.27-39. ⟨10.1016/j.insmatheco.2016.08.001⟩
Insurance: Mathematics and Economics, Elsevier, 2016, 71, pp.27-39. ⟨10.1016/j.insmatheco.2016.08.001⟩
In this paper a one-dimensional surplus process is considered with a certain Sparre Andersen type dependence structure under general interclaim times distribution and correlated phase-type claim sizes. The Laplace transform of the time to ruin under
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c35630dd652e04bf1ec82069d9f61d93
https://hal.archives-ouvertes.fr/hal-01610708
https://hal.archives-ouvertes.fr/hal-01610708
Autor:
Zhengjun Jiang, Martijn Pistorius
Publikováno v:
Finance and Stochastics, 16(3), 449-476. Springer Verlag
We investigate the problem of optimal dividend distribution for a company in the presence of regime shifts. We consider a company whose cumulative net revenues evolve as a Brownian motion with positive drift that is modulated by a finite state Markov
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e39be62ede7000ac50f72b111655479c
https://doi.org/10.1007/s00780-012-0174-3
https://doi.org/10.1007/s00780-012-0174-3
Autor:
Dilip B. Madan, Martijn Pistorius
Publikováno v:
Quantitative Finance, 12(1), 29-37. Taylor and Francis Ltd.
With an interest in keeping the cost of carry at acceptable levels for the expression of a positive or negative view on an equity asset over the longer term, a variation to equity default swaps is introduced that fixes the barrier at a given quantile
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::893fe1ac71ceaa14a53d4d00e7b74d1e
https://hdl.handle.net/11245/1.377182
https://hdl.handle.net/11245/1.377182
Publikováno v:
Mathematical Finance. 23:1-38
In this paper, we present an algorithm for pricing barrier options in one-dimensional Markov models. The approach rests on the construction of an approximating continuous-time Markov chain that closely follows the dynamics of the given Markov model.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c2fea28cd286838d39ee478fb42b9d3d
https://doi.org/10.1111/j.1467-9965.2011.00486.x
https://doi.org/10.1111/j.1467-9965.2011.00486.x
Autor:
Bjorn Eriksson, Martijn Pistorius
Publikováno v:
International Journal of Theoretical and Applied Finance, 14(7), 1139-1158. World Scientific Publishing Co. Pte. Ltd.
We present a method of moments approach to pricing double barrier contracts when the underlying is modelled by a polynomial jump-diffusion. By general principles the price is linked to certain infinite dimensional linear programming problems. Subsequ
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4fc545317e20548ccca0f7953ff31619
https://hdl.handle.net/11245/1.359129
https://hdl.handle.net/11245/1.359129