Dan Pirjol

Teaching Associate Professor

School: School of Business

Building: Babbio Center

Room: 303A

Phone: (201) 216-3706

Email: dpirjol@stevens.edu

Education
  • PhD (1995) University of Mainz (Theoretical Physics)
  • MS (1992) University of Bucharest (Physics)
Research

My research is in financial engineering, focusing on derivatives pricing, hedging and risk management, using methods from asymptotic analysis and applied probability.

I am also interested in problems of applied mathematics motivated by simulation and implementation of industry models.

Focus areas:

Financial engineering
Applied probability
Time series methods

General Information

Industry experience:

2006-2008: Merrill Lynch, Bank of America, modeling and model risk management
2008-2010: Markit Partners, quant developer
2009-2019: JP Morgan, Model risk management

Experience

I worked on modeling of financial markets, derivatives pricing and risk measurement, and studies of model risk.

Interest rates and FX markets. Stochastic modeling of the yield curve.
Equity modeling. Local volatility and stochastic volatility models.
Exotic derivatives: Asian options on equities and commodity futures.
Counterparty credit risk. XVA credit risk measures.

Institutional Service
  • Financial Engineering Seminar Member
Professional Service
  • Referee for SIAM Journal on Financial Engineering (SIFIN) Referee
  • Referee for Probability in Engineering and Informational Sciences Referee for Probability in Engineering and Informational Sciences
Professional Societies
  • AMS – American Mathematical Society Member
  • INFORMS – The Institute for Operations Research and the Management Sciences Member
Selected Publications
Journal Article
  1. Pirjol, D.; Zhu, L. (2021). What is the volatility of an Asian option?. Risk (May 2021 ed., pp. 74-79). London: risk.net.
    https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3875929.
  2. PIRJOL, D. (2020). Small-t expansion for the Hartman-Watson distribution. Methodology and Computing in Applied Probability (vol. to be announced). New York City: Springer.
  3. Pirjol, D.; Zhu, L.. Asymptotics of the time-discretized log-normal SABR model: The volatility surface. Probability in Engineering and Informational Sciences (vol. volume pending - article published online, pp. 1-33). Cambridge: Cambridge University Press.
    http://journals.cambridge.org/action/displayJournal?jid=PES.
Courses

FE 620: Pricing and Hedging
FE 570: Market Microstructure
FE 670: Algorithmic Trading
FE 535: Introduction to Financial Risk Management