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Dive into the research topics where Dan Pirjol is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
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Collaborations and top research areas from the last five years
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Asian Options for Local-Stochastic Volatility Models in the Short-Maturity Regime
Pirjol, D. & Zhu, L., 23 Sep 2025, In: SIAM Journal on Financial Mathematics. 16, 3, p. 1176-1204 29 p.Research output: Contribution to journal › Article › peer-review
1 Scopus citations -
Cryptocurrency jump contagion with market sentiment events: a study of high frequency cross effect
Yang, S. Y., Pirjol, D., Zhang, B. & Li, Q., 2025, (Accepted/In press) In: European Journal of Finance.Research output: Contribution to journal › Article › peer-review
1 Scopus citations -
Short-maturity options on realized variance in local-stochastic volatility models
Pirjol, D., Wang, X. & Zhu, L., 2025, In: Quantitative Finance. 25, 10, p. 1557-1580 24 p.Research output: Contribution to journal › Article › peer-review
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Smile-Consistent Spread Skew
Pirjol, D., Aug 2025, In: Risks. 13, 8, 145.Research output: Contribution to journal › Article › peer-review
Open Access -
Trading TP2 option violations
Glasserman, P., Li, M. & Pirjol, D., 2025, In: Quantitative Finance. 25, 8, p. 1177-1198 22 p.Research output: Contribution to journal › Article › peer-review