Associate Professor Traian A Pirvu
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.
- T. A. Pirvu, On the discontinuities of real valued functions (2003), in Romanian, Sfera
- K. Larsen, T. A. Pirvu, S. E. Shreve, R. Tutuncu Satisfying Convex Risk Limits by Trading, Finance & Stochastics (2005), 9, 177-195
- T. A. Pirvu. Portfolio Optimization under the Value-at-Risk Constraint, Quantitative Finance (2007), 7, 125-136
- I. Ekeland, and T. A. Pirvu. Investment and Consumption without Commitment, Mathematics and Financial Economics (2008), 2, 57-86
- T. A. Pirvu, and G. Zitković. Maximizing Portfolio Growth Rate under Risk Constraints, Mathematical Finance (2009), 19 (3), 423-455
- T. A. Pirvu, and U. G. Haussmann. Time Consistent Utility Maximization, Canadian Applied Mathematics Quarterly (2009), 17, 721-737
- U. Horst, T. A. Pirvu, and G. D. Reis. On Securitization, Market Completion and Equilibrium Risk Transfer, Mathematics and Financial Economics (2010), 2, 211-252
- I. Ekeland, O. Mbodji and T. A. Pirvu. Time Consistent Portfolio Management, SIAM Journal on Financial Mathematics (2012), 3, 57-86
- T. A. Pirvu and K. Schulze, Multi-Stock Portfolio Optimization under Prospect Theory, Mathematics and Financial Economics (2012), 6(4), 337-362
- T. A. Pirvu and H. Zhang, Optimal Investment, Consumption and Life Insurance under Mean-Reverting Returns: The Complete Market Solution, Insurance: Mathematics and Economics (2012), 51(2), 303-309
- T. A. Pirvu and H. Zhang, Utility Indifference Pricing: A Time Consistent Approach, Applied Mathematical Finance (2013), 20(4), 304-326
- S. Moreno-Bromberg, T. A. Pirvu and A. Reveilac, CRRA Utility Maximization under Risk Constraints, Communication on Stochastic Analysis (2013), 7(2), 203-225
- S. Jewell, Y. Li and T. A. Pirvu, Non-Linear Equity Portfolio Variance Reduction under Delta-Gamma Approach Analysis, Operations Research Letters (2013), 41(6), 694-700
- M. Kwak, T. A. Pirvu and H. Zhang, A Multi Period Equilibrium Pricing Model, Journal of Applied Mathematics (2014), 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 (2014), 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 (2014), Vol.117
- T. A. Pirvu and H. Zhang, Investment-Consumption with regime-switching discount rate, Mathematics Social Sciences (2014), 71, 142-150
- P. S. N. Gambrah and T. A. Pirvu, Risk Measures and Portfolio Optimization, Journal of Risk and Financial Management (2015), 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, Risks (2017), 5(2), 1-14
- M. Kwak and T. A. Pirvu, Cumulative Prospect Theory with Skewed Return Distribution, SIAM Journal on Financial Mathematics (2018), 9(1), 54-89.
- T.A. Pirvu and U.G. Haussmann, An Extension of Clark-Haussman Formula and Applications, forthcoming Stochastics An International Journal of Probability and Stochastic Processes (Stochastics).
- C. E. Canepa and T. A. Pirvu, A mathematical model and the optimal strategy in the transactions between one bank and the central bank, forthcoming Proceedings of the Romanian Academy-series A: Mathematics, Physics, Technical Sciences, Information Science.
Submitted for Publication
- T. A. Pirvu Chapter 2 in Quantitative Fund Management, edited by M. Dempster, G. Pflug, and G. Mitra, Taylor & Francis, (2008) Boca Raton.