Department of Mathematics & Statistics - McMaster University

My main research lie in the area of financial mathematics with a special
emphasis on optimal investment and pricing in incomplete markets. My projects
are on equilibrium pricing of non tradable risks, optimal portfolio selection
with regulatory constraints, time consistent portfolio management, and Prospect
Theory.

Publications

**Published or Accepted**

- T. A. Pirvu, On the discontinuities of
real valued functions, in Romanian, Sfera, (2003), 1
- K. Larsen, T. A. Pirvu, S. E. Shreve, R.
Tütüncü.
*Satisfying Convex Risk Limits by Trading*, Finance & Stochastics 9 (2005), 177-195 - T. A. Pirvu.
*Portfolio Optimization under the Value-at-Risk Constraint*, Quantitative Finance 7 (2007), 125-136 - I. Ekeland, and T. A. Pirvu.
*Investment and Consumption without Commitmen*t, Mathematics and Financial Economics 2 (2008), 57-86 - T. A. Pirvu, and G. Zitković.
*Maximizing Portfolio Growth Rate under Risk Constraints,*Mathematical Finance 19 (3) (2009), 423-455 - T. A. Pirvu, and U. G. Haussmann.
*Time Consistent Utility Maximization,*Canadian Applied Mathematics Quarterly 17 (2009), 721-737. - U. Horst, T. A. Pirvu, and G. D. Reis.
*On Securitization, Market Completion and Equilibrium Risk Transfer,*Mathematics and Financial Economics 2 (2010), 211-252 - I. Ekeland, O. Mbodji and T. A. Pirvu.
*Time Consistent Portfolio Management,*SIAM - T. A. Pirvu and K. Schulze
*, Multi-Stock Portfolio Optimization under Prospect Theory*, to appear in Mathematics and Financial Economics, 6 (4) 2012, 337-362 - T. A. Pirvu and H. Zhang
*, Optimal Investment, Consumption and Life Insurance under Mean-Reverting Returns: The Complete Market Solution*, to appear in Insurance: Mathematics and Economics, 51 (2) 2012, 303-309 - T. A. Pirvu and H. Zhang,
*Utility Indifference Pricing: A Time Consistent Approach*, Applied Mathematical Finance, 20 (4) 2013, 304-326 - S. Moreno-Bromberg, T. A. Pirvu and A.
Reveilac,
*CRRA Utility Maximization under Risk Constraints*, Communication on Stochastic Analysis, 7 (2) 2013, 203-225 - S. Jewell, Y. Li and T. A. Pirvu,
*Non-Linear Equity Portfolio Variance Reduction under Delta-Gamma Approach Analysis*, Operations Research Letters, 41 (6), 2013, 694-700. - M. Kwak, T. A. Pirvu and H. Zhang,
*A Multi Period Equilibrium Pricing Model*, Journal of Applied Mathematics Volume 2014, 1-14. - A. Shidfara, K. Paryaba, A. R. Yazdanian
and T. A. Pirvu,
*Numerical analysis for Spread option pricing model of markets with finite liquidity: First- order feedback model*, International Journal of Computer Mathematics, Volume 2014, 1-18. - E. C. Canepa and T. A. Pirvu,
*An application of the double Skorokhod formula*, Interdisciplinary Topics in Applied Mathematics, Modelling, and Computational Science, Springer Procedings in Mathematics & Statistics, Vol.117, 2014. - T. A. Pirvu and H. Zhang,
*Investment-Consumption with regime-switching discount rate*, Mathematics Social Sciences, 71, 142-150. - P. S. N. Gambrah and T. A. Pirvu,
*Risk Measures and Portfolio Optimization*, Journal of Risk and Financial Management, 2014, 7, 113-129. - P. Cheridito, U. Horst, M. Kupper, and T.
A. Pirvu,
*Equilibrium in Incomplete Markets under Translation Invariant Preferences*, Mathematics of Operation Research, 2016, 41 (1), 174-195 - A. R. Yazdanian and T. A. Pirvu,
*Numerical analysis for Spread option pricing model of markets with finite liquidity: Full feedback model*, Applied Mathematics & Information Sciences, 2016, 10 (4), 1271-1281 - F. Pourbabaee, M. Kwak and T. A. Pirvu,
*Risk minimization and portfolio diversification*, Quantitative Finance, 2016, 9, 1325-1332. - M. Metel, T. A. Pirvu, and J. Wong,
*Risk Management under Omega Measure*-forthcoming to Risks, 2017.

**Submitted for Publication**

- M. Kwak and T. A. Pirvu, Cumulative
Prospect Theory with Skewed Return Distribution http://ssrn.com/abstract=2514866
- C. E. Canepa and T. A. Pirvu, A
mathematical model and the optimal strategy in the transactions between
one bank and the central bank http://arxiv.org/abs/1507.04387
- O. Mbodji, A. Nguyen Huu, and T. A. Pirvu,
Optimal consumption for a couple of agents sharing a portfolio http://arxiv.org/pdf/1402.1052.pdf
- L. Deng and T. A. Pirvu, Multi-period
investment strategies under Cumulative Prospect Theory https://arxiv.org/abs/1608.08490

** Working Papers**

- P. Jevtic, M. Kwak and T. A. Pirvu,
Longevity bond pricing in equilibrium http://ifsid.ca/en/wp-content/uploads/sites/2/2017/05/WP-17_04_Pirvu_LongevityDerivativePaper.pdf

**Books**

** **

**Book Chapters**

** **T. A. Pirvu
Chapter 2 *in
Quantitative Fund Management*, edited by M.

Dempster, G. Pflug, and G.
Mitra, Taylor & Francis, (2008) Boca Raton.