On perpetual American put valuation and first-passage in a regime-switching model with jumps. - Zhengjun Jiang; Martijn Pistorius (Finance Stochastics, 2008)

Optimal dividend distribution under Markov regime switching. - Zhengjun Jiang; Martijn Pistorius (Finance Stochastics, 2012)

Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications. - Aleksandar Mijatovic; Martijn Pistorius; Johannes Stolte (J. Appl. Probab., 2015)

On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation. - Delip Madan; Martijn Pistorius; Mitja Stadje (Finance Stochastics, 2017)

Dynamic Portfolio Optimization with Looping Contagion Risk. - Longjie Jia; Martijn Pistorius; Harry Zheng (SIAM J. Financial Math., 2019)