Selected Publications
Dan Pirjol, Xiaoyu Wang and Lingjiong Zhu "Short-maturity options on realized variance in local-stochastic volatility models" (2025) Quantitative Finance, 25, 1557-1580.
Dan Pirjol and Lingjiong Zhu "VIX options in the SABR model" (2025) Operations Research Letters, 63, 107347.
Dan Pirjol and Lingjiong Zhu "Asian options for local-stochastic volatility models in the short-maturity regime" (2025) SIAM Journal on Financial Mathematics, 16, 1176-1204.
Dan Pirjol, Xiaoyu Wang and Lingjiong Zhu "Short-maturity asymptotics for VIX and European options in local-stochastic volatility models" (2024) arXiv:2407.16813.
Dan Pirjol and Lingjiong Zhu "Asymptotics for short maturity Asian options in jump-diffusion models with local volatility" (2024) Quantitative Finance, 24, 433-449.
Dan Pirjol and Lingjiong Zhu "Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion" (2023) Operations Research Letters, 51, 346-352.Â
Dan Pirjol and Lingjiong Zhu "Asymptotics of the time-discretized log-normal SABR model: The implied volatility surface" (2021) Probability in the Engineering and Informational Sciences, 35, 942-974.
Zhenyu Cui, Wenhan Qian, Stephen Taylor and Lingjiong Zhu "Detecting and identifying arbitrage in the spot foreign exchanged market" (2020) Quantitative Finance, 20, 119-132.
Dan Pirjol and Lingjiong Zhu "Short maturity Asian options for the CEV model" (2019) Probability in the Engineering and Informational Sciences, 33, 258-290.
Dan Pirjol, Jing Wang and Lingjiong Zhu "Short maturity forward start Asian options in local volatility models" (2019) Applied Mathematical Finance, 26, 187-221.
Xuefeng Gao, Xiang Zhou and Lingjiong Zhu "Transform analysis for Hawkes processes with applications in dark pool trading" (2018) Quantitative Finance, 18, 265-282
Dan Pirjol and Lingjiong Zhu "Explosion in the quasi-Gaussian HJM model" (2018) Finance and Stochastics, 22, 643-666.
Dan Pirjol and Lingjiong Zhu "Small-noise limit of the quasi-Gaussian lognormal HJM model" (2017) Operations Research Letters, 45, 6-11.
Dan Pirjol and Lingjiong Zhu "Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options" (2017) Advances in Applied Probability, 49, 446-480.
Tzu-Wei Yang and Lingjiong Zhu "A reduced-form model for level-1 limit order books" (2016) Market Microstructure and Liquidity, 2, 1650008.
Dan Pirjol and Lingjiong Zhu "Discrete sums of geometric Brownian motions, annuities and Asian options" (2016) Insurance: Mathematics and Economics, 70, 19-37.
Dan Pirjol and Lingjiong Zhu "Short maturity Asian options in local volatility models" (2016) SIAM Journal on Financial Mathematics, 7, 947-992.
Lingjiong Zhu "Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims" (2013) Insurance: Mathematics and Economics, 53, 544-550