Zobrazeno 1 - 10
of 130
pro vyhledávání: '"Dan, Pirjol"'
Bounding the generation time distribution uncertainty on R0 estimation from exponential growth rates
Publikováno v:
Journal of Biological Dynamics, Vol 18, Iss 1 (2024)
The basic reproduction number [Formula: see text] is one of the main parameters determining the spreading of an epidemic in a population of susceptible individuals. Wallinga and Lipsitch proposed a method for estimating [Formula: see text] using the
Externí odkaz:
https://doaj.org/article/524f03e012f14363b84a75b2d06c1165
Publikováno v:
Risks, Vol 12, Iss 2, p 39 (2024)
The editors of this special issue and several of the contributing authors have known Peter for a long time. We thought that the special issue will be enriched by adding a few personal notes and recollections about our interactions with Peter.
Externí odkaz:
https://doaj.org/article/0ea15e256d714b85bf57e00df1c6f4aa
Autor:
Paul Glasserman, Dan Pirjol
Publikováno v:
Quantitative Finance. 23:557-577
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7e5e954413dbe367d766e93099506201
https://doi.org/10.1080/14697688.2023.2165448
https://doi.org/10.1080/14697688.2023.2165448
Autor:
Dan Pirjol, Lingjiong Zhu
We present an asymptotic result for the Laplace transform of the time integral of the geometric Brownian motion $F(\theta,T) = \mathbb{E}[e^{-\theta X_T}]$ with $X_T = \int_0^T e^{\sigma W_s + ( a - \frac12 \sigma^2)s} ds$, which is exact in the limi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::777abcee5f97d86d9f3698aa8275530c
http://arxiv.org/abs/2306.09084
http://arxiv.org/abs/2306.09084
Autor:
Alan L. Lewis, Dan Pirjol
Publikováno v:
Quantitative Finance. 22:1747-1757
We study the convergence properties of the short maturity expansion of option prices in the uncorrelated log-normal ($\beta=1$) SABR model. In this model the option time-value can be represented as an integral of the form $V(T) = \int_{0}^\infty e^{-
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ec12a7b45fb50886ff4618f43cbcff1f
https://doi.org/10.1080/14697688.2022.2071759
https://doi.org/10.1080/14697688.2022.2071759
Autor:
DAN PIRJOL
Publikováno v:
International Journal of Theoretical and Applied Finance.
The short maturity limit [Formula: see text] for the implied volatility of an Asian option in the Black–Scholes model is determined by the large deviations property for the time-average of the geometric Brownian motion. In this note, we derive the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f34918c6bc9707763b563be4052d792a
https://doi.org/10.1142/s021902492350005x
https://doi.org/10.1142/s021902492350005x
Autor:
Dan Pirjol
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1413c23c08b6a19da389149f591eb679
https://doi.org/10.2139/ssrn.4340294
https://doi.org/10.2139/ssrn.4340294
Autor:
Dan Pirjol
Publikováno v:
Methodology and Computing in Applied Probability. 23:1537-1549
The Hartman-Watson distribution with density $f_{r}(t)=\frac {1}{I_{0}(r)} \theta (r,t)$ with r > 0 is a probability distribution defined on $t \in \mathbb {R}_{+}$ , which appears in several problems of applied probability. The density of this distr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5c657c72962a976ca2ac1f2addda9ec6
https://doi.org/10.1007/s11009-020-09827-5
https://doi.org/10.1007/s11009-020-09827-5
Autor:
Dan Pirjol
Publikováno v:
Stochastic Exponential Growth and Lattice Gases ISBN: 9783031111426
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a3ef7f8b6db8d73a7063ddfda02034ca
https://doi.org/10.1007/978-3-031-11143-3_5
https://doi.org/10.1007/978-3-031-11143-3_5
Autor:
Dan Pirjol
Publikováno v:
Stochastic Exponential Growth and Lattice Gases ISBN: 9783031111426
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ea1f8cab81a91c7c3d6faae3cbc122c0
https://doi.org/10.1007/978-3-031-11143-3_3
https://doi.org/10.1007/978-3-031-11143-3_3