Dan Pirjol

• PhD (1995) University of Mainz (Theoretical Physics)
• MS (1992) University of Bucharest (Physics)

• FE PhD Committee Member
• Financial Engineering seminar Member
• Financial Engineering Seminar Member

• Risks Co-Editor for a special issue: Emerging topics in finance and risk engineering. In memory of Peter Carr
• AMMCS 2023 Conference Sesssion organizer
• Risk Magazine Referee for Risk magazine
• Referee for SIAM Journal on Financial Engineering (SIFIN) Referee
• Referee for Probability in Engineering and Informational Sciences Referee for Probability in Engineering and Informational Sciences

• AMS – American Mathematical Society Member
• INFORMS – The Institute for Operations Research and the Management Sciences Member

Book

1. Pirjol, D.; Zhu, L. (2024). Emerging topics in finance and risk engineering. Basel: MDPI.
   https://www.mdpi.com/journal/risks/special_issues/emerging_topics_in_finance_and_risk_engineering_in_memory_of_Peter_Carr.

Journal Article

1. Pirjol, D.; Zhu, L. (2024). Asymptotics for short maturity Asian options in jump-diffusion models with local volatility. Quantitative Finance (3-4 ed., vol. 24, pp. 433-449). London: Taylor and Francis.
   https://www.tandfonline.com/doi/full/10.1080/14697688.2024.2326114.
2. Glasserman, P.; Pirjol, D.; Wu, Q. (2024). Tail risk monotonicity under temporal aggregation in GARCH(1,1) models. International Journal of Theoretical and Applied Finance (2-3 ed., vol. 26, pp. 2350005). Singapore: World Scientific.
   https://www.worldscientific.com/doi/abs/10.1142/S0219024923500292.
3. Pirjol, D.; Zhu, L. (2023). Short maturity asymptotics for option prices with interest rates effects. International Journal of Theoretical and Applied Finance (vol. 26, pp. 2350023). Singapore: World Scientific.
   https://www.worldscientific.com/doi/10.1142/S0219024923500231.
4. Pirjol, D. (2023). Subleading corrections to the implied volatility of an Asian option in the Black-Scholes model. International Journal of Theoretical and Applied Finance (2 ed., vol. 26, pp. 2350005). Singapore: World Scientific.
   https://www.worldscientific.com/doi/10.1142/S021902492350005X.
5. Pirjol, D.; Zhu, L. (2023). Asymptotics of the Laplace transform of the time integral of the geometric Brownian motion. Operations Research Letters (3 ed., vol. 51, pp. 346-352). Elsevier.
   https://www.sciencedirect.com/science/article/pii/S0167637723000597.
6. Glasserman, P.; Pirjol, D. (2023). Total Positivity and Relative Convexity of Option Prices. Frontiers in Mathematical Finance (1 ed., vol. 2, pp. 1-32). American Institute of Mathematical Sciences.
   https://www.aimsciences.org/article/doi/10.3934/fmf.2023001.
7. , P. G.; Pirjol, D. (2023). W-shaped implied volatility curves and the Gaussian mixture model. Quantitative Finance (4 ed., vol. 23, pp. 557-577). London.
   https://www.tandfonline.com/doi/full/10.1080/14697688.2023.2165448.
8. Pirjol, D.; Lewis, A. (2022). Proof of non-convergence of the short-maturity for the SABR model. Quantitative FInance (9 ed., vol. 22, pp. 1747-1757). London: Taylor & Francis.
   https://www.tandfonline.com/doi/abs/10.1080/14697688.2022.2071759?journalCode=rquf20.
9. Nandori, P.; Pirjol, D. (2021). On the distribution of the time-integral of the geometric Brownian motion. Journal of Computational and Applied Mathematics (1 March 2022 ed., vol. 402, pp. 113818). Amsterdam: Elsevier Publishers.
   https://www.sciencedirect.com/science/article/abs/pii/S0377042721004404?via%3Dihub.
10. PIRJOL, D. (2020). Small-t expansion for the Hartman-Watson distribution. Methodology and Computing in Applied Probability (vol. to be announced). New York City: Springer.
11. Pirjol, D.; Zhu, L.. Asymptotics of the time-discretized log-normal SABR model: The volatility surface. Probability in Engineering and Informational Sciences (vol. volume pending - article published online, pp. 1-33). Cambridge: Cambridge University Press.
    http://journals.cambridge.org/action/displayJournal?jid=PES.

Magazine/Trade Publication

1. Pirjol, D.; Zhu, L. (2021). What is the volatility of an Asian option?. Risk (May 2021 ed., pp. 74-79). London: risk.net.
   https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3875929.