Traian Pirvu - McMaster Experts

Affiliations

Faculty of Science, McMaster University
Associate Professor, Mathematics and Statistics, Faculty of Science

Research Areas

Actuarial science and mathematical finance (RA)
Applied mathematics (RA)

Scholarly Activity in McMaster Experts

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selected scholarly activity

chapters
- Portfolio Optimization under the Value-at-Risk Constraint. 17-41. 2009
conferences
- An Application of the Double Skorokhod Formula. Springer Proceedings in Mathematics and Statistics. 127-131. 2015
- Portfolio optimization under the Value-at-Risk constraint. Quantitative Finance. 125-136. 2007
journal articles
- The Equilibrium Solutions for a Nonlinear Separable Population Model. Mathematics. 12:273-273. 2024
- MINIMIZING BANKRUPTCY PROBABILITY OF A LIFE INSURER - SOME ANALYTICAL CONSIDERATIONS. UPB Scientific Bulletin, Series A: Applied Mathematics and Physics. 85:91-100. 2023
- Stochastic production planning with regime switching. Journal of Industrial and Management Optimization. 19:1697-1713. 2023
- Practical partial equilibrium framework for pricing of mortality-linked instruments in continuous time. European Actuarial Journal. 12:249-273. 2022
- A stochastic production planning problem. Fixed Point Theory. 23:179-198. 2022
- Optimal annuitization post-retirement with labor income 2022
- THE FUNDS MARKET BANK PROBLEM. UPB Scientific Bulletin, Series A: Applied Mathematics and Physics. 84:103-110. 2022
- THE FUNDS MARKET BANK PROBLEM. UPB Scientific Bulletin, Series A: Applied Mathematics and Physics. 84:103-110. 2022
- THE FUNDS MARKET BANK PROBLEM. UPB Scientific Bulletin, Series A: Applied Mathematics and Physics. 84:103-110. 2022
- A stochastic control problem with regime switching. Carpathian Journal of Mathematics. 37:427-440. 2021
- Pricing spread option with liquidity adjustments 2021
- Numerical Simulation of Exchange Option with Finite Liquidity: Controlled Variate Model 2020
- An elliptic partial differential equation and its application. Applied Mathematics Letters. 101:106059-106059. 2020
- Portfolio Optimization under Correlation Constraint. Risks. 8:15-15. 2020
- Optimal sharing rule for a household with a portfolio management problem. Mathematical Social Sciences. 101:88-98. 2019
- An extension of the Clark–Haussmann formula and applications. Stochastics. 91:895-904. 2019
- Multi-Period Investment Strategies under Cumulative Prospect Theory. Journal of Risk and Financial Management. 12:83-83. 2019
- A MATHEMATICAL MODEL AND THE OPTIMAL STRATEGY IN THE TRANSACTIONS BETWEEN ONE BANK AND THE CENTRAL BANK. Proceedings of the Romanian Academy Series A - Mathematics Physics Technical Sciences Information Science. 20:107-113. 2019
- Cumulative Prospect Theory with Generalized Hyperbolic Skewed $t$ Distribution. SIAM Journal on Financial Mathematics. 9:54-89. 2018
- Longevity Bond Pricing in Equilibrium. SSRN Electronic Journal. 2018
- Risk Management under Omega Measure. Risks. 5:27-27. 2017
- Risk minimization and portfolio diversification. Quantitative Finance. 16:1325-1332. 2016
- Numerical Analysis for Spread Option Pricing Model in Illiquid underlying Asset Market: Full Feedback Model. Applied Mathematics and Information Sciences. 10:1271-1281. 2016
- Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences. Mathematics of Operations Research. 41:174-195. 2016
- Risk Minimization and Portfolio Diversification. SSRN Electronic Journal. 2016
- One bank problem in the federal funds market 2015
- Numerical analysis for Spread option pricing model of markets with finite liquidity: first-order feedback model. International Journal of Computer Mathematics. 91:2603-2620. 2014
- Investment–consumption with regime-switching discount rates. Mathematical Social Sciences. 71:142-150. 2014
- A Multiperiod Equilibrium Pricing Model. Journal of Applied Mathematics. 2014:1-14. 2014
- Cumulative Prospect Theory with Skewed Return Distribution. SSRN Electronic Journal. 2014
- Non-linear equity portfolio variance reduction under a mean–variance framework—A delta–gamma approach. Operations Research Letters. 41:694-700. 2013
- Utility Indifference Pricing: A Time Consistent Approach. Applied Mathematical Finance. 20:304-326. 2013
- A Multi Period Equilibrium Pricing Model. SSRN Electronic Journal. 2013
- Optimal investment, consumption and life insurance under mean-reverting returns: The complete market solution. Insurance, Mathematics & Economics. 51:303-309. 2012
- Multi-stock portfolio optimization under prospect theory. Mathematics and Financial Economics. 6:337-362. 2012
- Time-Consistent Portfolio Management. SIAM Journal on Financial Mathematics. 3:1-32. 2012
- On Investment-Consumption with Regime-Switching 2011
- CRRA Utility Maximization under Risk Constraints 2011
- On Mean-Variance Analysis 2011
- Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences. SSRN Electronic Journal. 2011
- On securitization, market completion and equilibrium risk transfer. Mathematics and Financial Economics. 2:211-252. 2010
- MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS. Mathematical Finance. 19:423-455. 2009
- Investment and consumption without commitment. Mathematics and Financial Economics. 2:57-86. 2008
- On a Non-Standard Stochastic Control Problem 2008
- A Portfolio Decomposition Formula 2007
- On Robust Utility Maximization 2007
- Satisfying convex risk limits by trading. Finance and Stochastics. 9:177-195. 2005
- CRRA utility maximization under dynamic risk constraints. Communications on Stochastic Analysis. 7.
- Risk Measures and Portfolio Optimization. Journal of Risk and Financial Management. 7:113-129.
preprints