Dan Pirjol

Stevens Institute of Technology

Hoboken, NJ 07030

United States

SCHOLARLY PAPERS

2

DOWNLOADS

91

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Phase Transition in a Log-Normal Markov Functional Model

Journal of Mathematical Physics, Vol.. 52, 2011
Number of pages: 12 Posted: 25 Nov 2012
Dan Pirjol
Stevens Institute of Technology
Downloads 48 (429,423)

Abstract:

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Markov processes, phase transition, interest rate models

2.

Tail Risk Monotonicity Under Temporal Aggregation in GARCH(1,1) Models

Number of pages: 26 Posted: 03 Jan 2020
Paul Glasserman, Dan Pirjol and Qi Wu
Columbia Business School, Stevens Institute of Technology and City University of Hong Kong (CityUHK)
Downloads 43 (448,911)

Abstract:

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GARCH, Tail Risk