Dan Pirjol

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List of research outcomes

Publication	Date of Publication	Type
SHORT-MATURITY ASYMPTOTICS FOR OPTION PRICES WITH INTEREST RATE EFFECTS	2024-02-20	Paper
SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL	2023-09-08	Paper
Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion	2023-07-03	Paper
Total positivity and relative convexity of option prices	2023-06-26	Paper
W-shaped implied volatility curves and the Gaussian mixture model	2023-06-20	Paper
Growth rate of a stochastic growth process driven by an exponential Ornstein–Uhlenbeck process	2023-03-24	Paper
From chaos to cosmology: insights gained from 1D gravity	2023-03-07	Paper
SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL	2022-12-08	Paper
ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE	2022-11-18	Paper
Proof of non-convergence of the short-maturity expansion for the SABR model	2022-09-30	Paper
On the distribution of the time-integral of the geometric Brownian motion	2022-09-19	Paper
Stochastic exponential growth and lattice gases. Statistical mechanics of stochastic growth processes	2022-08-02	Paper
Small-\(t\) expansion for the Hartman-Watson distribution	2022-01-07	Paper
On the distribution of the time-integral of the geometric Brownian motion	2021-10-28	Paper
Growth rate of a stochastic growth process driven by an exponential Ornstein-Uhlenbeck process	2021-06-22	Paper
Short Maturity Forward Start Asian Options in Local Volatility Models	2019-11-04	Paper
Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options	2019-09-16	Paper
Small-noise limit of the quasi-Gaussian log-normal HJM model	2019-02-21	Paper
Hogan–Weintraub singularity and explosive behaviour in the Black–Derman–Toy model	2018-09-19	Paper
Eurodollar futures pricing in log-normal interest rate models in discrete time	2018-09-06	Paper
Explosion in the quasi-Gaussian HJM model	2018-07-16	Paper
SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL	2018-03-15	Paper
Asymptotics for the Euler-discretized Hull-White stochastic volatility model	2018-03-01	Paper
Short Maturity Asian Options in Local Volatility Models	2017-01-11	Paper
Discrete sums of geometric Brownian motions, annuities and Asian options	2016-12-13	Paper
Explosive Behavior in the Black–Derman–Toy Model	2016-01-11	Paper
On the growth rate of a linear stochastic recursion with Markovian dependence	2015-10-28	Paper
Phase transition in a log-normal Markov functional model	2015-06-22	Paper
Thermodynamics of a lattice gas with linear attractive potential	2015-02-11	Paper
Long-run growth rate in a random multiplicative model	2014-09-12	Paper
Addendum to ``The logistic-normal integral and its generalizations	2014-08-05	Paper
Emergence of heavy-tailed distributions in a random multiplicative model driven by a Gaussian stochastic process	2014-06-20	Paper
Predictions for \(b\rightarrow ss\overline{d}\) and \(b\rightarrow dd\overline{s}\) decays in the SM and with new physics	2013-08-27	Paper
EXPLOSIVE BEHAVIOR IN A LOG-NORMAL INTEREST RATE MODEL	2013-08-15	Paper
The logistic-normal integral and its generalizations	2012-10-22	Paper
Equivalence of interest rate models and lattice gases	2012-04-04	Paper
Subleading collinear operators and their matrix elements	2004-02-24	Paper
Reparameterization invariance for collinear operators	2002-07-03	Paper

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