Dan Pirjol

Publication Activity (10 Years)

Years Active: 2013-2023
Publications (10 Years): 6

Top Topics

Probability Distribution

Stochastic Processes

Top Venues

J. Comput. Appl. Math.

Oper. Res. Lett.

Finance Stochastics

Publications

Dan Pirjol, Lingjiong Zhu
Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion. Oper. Res. Lett. 51 (3) (2023)
Péter Nándori, Dan Pirjol
On the distribution of the time-integral of the geometric Brownian motion. J. Comput. Appl. Math. 402 (2022)
Dan Pirjol
Asymptotic expansion for the Hartman-Watson distribution. CoRR (2020)
Dan Pirjol, Lingjiong Zhu
Explosion in the quasi-Gaussian HJM model. Finance Stochastics 22 (3) (2018)
Dan Pirjol, Lingjiong Zhu
Small-noise limit of the quasi-Gaussian log-normal HJM model. Oper. Res. Lett. 45 (1) (2017)
Dan Pirjol, Lingjiong Zhu
Short Maturity Asian Options in Local Volatility Models. SIAM J. Financial Math. 7 (1) (2016)
Dan Pirjol
Addendum: The logistic-normal integral and its generalizations. J. Comput. Appl. Math. 260 (2014)
Dan Pirjol
The logistic-normal integral and its generalizations. J. Comput. Appl. Math. 237 (1) (2013)