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Traian A. Pirvu, Ph.D.

Affiliations: 
2005 Carnegie Mellon University, Pittsburgh, PA 
Area:
Mathematics, Finance
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"Traian Pirvu"
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Steven E. Shreve grad student 2005 Carnegie Mellon
 (Maximizing portfolio growth rate under risk constraints.)

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Publications

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Mbodji O, Nguyen-Huu A, Pirvu TA. (2019) Optimal Sharing Rule for a Household with a Portfolio Management Problem Mathematical Social Sciences. 101: 88-98
Kwak M, Pirvu TA. (2018) Cumulative Prospect Theory with Generalized Hyperbolic Skewed $t$ Distribution Siam Journal On Financial Mathematics. 9: 54-89
Cheridito P, Horst U, Kupper M, et al. (2016) Equilibrium Pricing in Incomplete Markets under Translation Invariant Preferences Mathematics of Operations Research. 41: 174-195
Yazdanian AR, Pirvu TA. (2016) Numerical analysis for Spread option pricing model in illiquid underlying asset market: full feedback model Applied Mathematics & Information Sciences. 10: 1271-1281
Pourbabaee F, Kwak M, Pirvu TA. (2016) Risk minimization and portfolio diversification Quantitative Finance. 1-8
Canepa C, Pirvu TA. (2015) An application of the double skorokhod formula Springer Proceedings in Mathematics and Statistics. 117: 127-131
Kwak M, Pirvu TA, Zhang H. (2014) A multiperiod equilibrium pricing model Journal of Applied Mathematics. 2014
Shidfar A, Paryab K, Yazdanian AR, et al. (2014) Numerical analysis for Spread option pricing model of markets with finite liquidity: first-order feedback model International Journal of Computer Mathematics. 91: 2603-2620
Pirvu TA, Zhang H. (2014) Investment-consumption with regime-switching discount rates Mathematical Social Sciences. 71: 142-150
Pirvu TA, Zhang H. (2013) Utility Indifference Pricing: A Time Consistent Approach Applied Mathematical Finance. 20: 304-326
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