Martijn Pistorius

2.4k total citations
58 papers, 1.4k citations indexed

About

Martijn Pistorius is a scholar working on Finance, Management Science and Operations Research and Economics and Econometrics. According to data from OpenAlex, Martijn Pistorius has authored 58 papers receiving a total of 1.4k indexed citations (citations by other indexed papers that have themselves been cited), including 52 papers in Finance, 36 papers in Management Science and Operations Research and 15 papers in Economics and Econometrics. Recurrent topics in Martijn Pistorius's work include Stochastic processes and financial applications (50 papers), Probability and Risk Models (24 papers) and Financial Risk and Volatility Modeling (18 papers). Martijn Pistorius is often cited by papers focused on Stochastic processes and financial applications (50 papers), Probability and Risk Models (24 papers) and Financial Risk and Volatility Modeling (18 papers). Martijn Pistorius collaborates with scholars based in United Kingdom, France and Germany. Martijn Pistorius's co-authors include Florin Avram, Zbigniew Palmowski, Andreas E. Kyprianou, Søren Asmussen, Dilip B. Madan, Aleksandar Mijatović, Zhengjun Jiang, Ernst Eberlein, Wim Schoutens and Björn Eriksson and has published in prestigious journals such as Lecture notes in mathematics, Journal of Applied Probability and Advances in Applied Probability.

In The Last Decade

Martijn Pistorius

54 papers receiving 1.3k citations

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name h Career Trend Papers Cites
Martijn Pistorius United Kingdom 17 1.1k 859 438 308 249 58 1.4k
Zbigniew Palmowski Poland 17 510 0.5× 709 0.8× 370 0.8× 159 0.5× 224 0.9× 79 961
Г. Ш. Цициашвили Russia 10 363 0.3× 677 0.8× 398 0.9× 154 0.5× 180 0.7× 89 838
Hanspeter Schmidli Germany 20 1.2k 1.1× 1.9k 2.2× 1.4k 3.2× 851 2.8× 206 0.8× 52 2.3k
Monique Jeanblanc France 24 1.9k 1.8× 463 0.5× 376 0.9× 726 2.4× 160 0.6× 90 2.2k
Shuanming Li Australia 20 531 0.5× 1.1k 1.3× 818 1.9× 306 1.0× 102 0.4× 71 1.2k
Krzysztof Dȩbicki Poland 17 550 0.5× 463 0.5× 117 0.3× 54 0.2× 199 0.8× 70 755
Daniel Dufresne Australia 19 794 0.7× 348 0.4× 389 0.9× 303 1.0× 205 0.8× 37 1.2k
Elias S. W. Shiu United States 27 1.5k 1.5× 2.1k 2.5× 1.7k 3.8× 823 2.7× 232 0.9× 82 2.9k
Marek Rutkowski Australia 16 2.1k 2.0× 268 0.3× 382 0.9× 669 2.2× 98 0.4× 79 2.3k
Andrei L. Badescu Canada 17 220 0.2× 604 0.7× 371 0.8× 166 0.5× 61 0.2× 49 752

Countries citing papers authored by Martijn Pistorius

Since Specialization
Citations

This map shows the geographic impact of Martijn Pistorius's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Martijn Pistorius with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Martijn Pistorius more than expected).

Fields of papers citing papers by Martijn Pistorius

Since Specialization
Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Martijn Pistorius. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Martijn Pistorius. The network helps show where Martijn Pistorius may publish in the future.

Co-authorship network of co-authors of Martijn Pistorius

This figure shows the co-authorship network connecting the top 25 collaborators of Martijn Pistorius. A scholar is included among the top collaborators of Martijn Pistorius based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Martijn Pistorius. Martijn Pistorius is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

20 of 20 papers shown
1.
Palmowski, Zbigniew, et al.. (2017). On future drawdowns of Lévy processes. Stochastic Processes and their Applications. 127(8). 2679–2698. 8 indexed citations
2.
Madan, Dilip B., Martijn Pistorius, & Wim Schoutens. (2017). CONIC TRADING IN A MARKOVIAN STEADY STATE. International Journal of Theoretical and Applied Finance. 20(2). 1750010–1750010. 1 indexed citations
3.
Mijatović, Aleksandar & Martijn Pistorius. (2015). Buffer-overflows: Joint limit laws of undershoots and overshoots of reflected processes. Stochastic Processes and their Applications. 125(8). 2937–2954. 3 indexed citations
4.
Madan, Dilip B., Martijn Pistorius, & Mitja Stadje. (2015). Convergence of BSΔEs driven by random walks to BSDEs: The case of (in)finite activity jumps with general driver. Stochastic Processes and their Applications. 126(5). 1553–1584. 8 indexed citations
5.
Avram, Florin & Martijn Pistorius. (2014). On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér–Lundberg processes. Insurance Mathematics and Economics. 59. 57–64. 3 indexed citations
6.
Madan, Dilip B., Martijn Pistorius, & Mitja Stadje. (2013). On consistent valuations based on distorted expectations: from multinomial random walks to L\'{e}vy processes. 1 indexed citations
7.
Eberlein, Ernst, Dilip B. Madan, Martijn Pistorius, Wim Schoutens, & Marc Yor. (2013). Two price economies in continuous time. Annals of Finance. 10(1). 71–100. 27 indexed citations
8.
Eberlein, Ernst, Dilip B. Madan, Martijn Pistorius, & Marc Yor. (2013). A Simple Stochastic Rate Model for Rate Equity Hybrid Products. SSRN Electronic Journal. 2 indexed citations
9.
Mijatović, Aleksandar & Martijn Pistorius. (2012). On the drawdown of completely asymmetric Lévy processes. Stochastic Processes and their Applications. 122(11). 3812–3836. 47 indexed citations
10.
Jiang, Zhengjun & Martijn Pistorius. (2012). Optimal dividend distribution under Markov regime switching. Finance and Stochastics. 16(3). 449–476. 4 indexed citations
11.
Eriksson, Björn & Martijn Pistorius. (2011). METHOD OF MOMENTS APPROACH TO PRICING DOUBLE BARRIER CONTRACTS IN POLYNOMIAL JUMP-DIFFUSION MODELS. International Journal of Theoretical and Applied Finance. 14(7). 1139–1158. 6 indexed citations
12.
Avram, Florin, Zbigniew Palmowski, & Martijn Pistorius. (2008). Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results. The Annals of Applied Probability. 18(6). 42 indexed citations
13.
Pistorius, Martijn. (2006). On Maxima and Ladder Processes for a Dense Class of Lévy Process. Journal of Applied Probability. 43(1). 208–220. 31 indexed citations
14.
Hughston, Lane P., et al.. (2006). Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function. Journal of Applied Probability. 43(4). 984–996. 3 indexed citations
15.
Hughston, Lane P., et al.. (2006). Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function. Journal of Applied Probability. 43(4). 984–996. 1 indexed citations
16.
Avram, Florin, Andreas E. Kyprianou, & Martijn Pistorius. (2004). Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options. The Annals of Applied Probability. 14(1). 174 indexed citations
17.
Avram, Florin, et al.. (2003). The two barriers ruin problem via a Wiener Hopf decomposition approach. Annals of the University of Craiova Mathematics and Computer Science Series. 30. 38–44. 6 indexed citations
18.
Pistorius, Martijn. (2003). On doubly reflected completely asymmetric Lévy processes. Stochastic Processes and their Applications. 107(1). 131–143. 26 indexed citations
19.
Asmussen, Søren, Florin Avram, & Martijn Pistorius. (2003). Russian and American put options under exponential phase-type Lévy models. Stochastic Processes and their Applications. 109(1). 79–111. 248 indexed citations
20.
Avram, Florin, Andreas E. Kyprianou, & Martijn Pistorius. (2002). Exit Problems for Spectrally Negative Lévy Processes and Applications to Russian, American and Canadized Options. Utrecht University Repository (Utrecht University). 11 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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