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Drimus, Gabriel G.


 SSRN Author Rank: 7,950 by Downloads
 

Institute of Banking and Finance, University of Zürich


 Plattenstrasse 14
 Zürich, CH-8032
 Switzerland
 email address

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. Drimus, Gabriel G.'s Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
3,303
Total
Citations
9
Authors Date Downloads
 (Rank)
Citations
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1.  
Drimus, Gabriel G.
Institute of Banking and Finance, University of Zürich
Posted:
21 Nov 09
Last Revised:
07 Nov 12
583
(24,761)
4

2.  
Local Volatility of Volatility for the VIX Market | Show Abstract | Download |
Review of Derivatives Research, 16(3), 267-293, (2013)
Accepted Paper Series
Drimus, Gabriel G.
Institute of Banking and Finance, University of Zürich
Farkas, Walter
University of Zurich, Department of Banking and Finance
Posted:
11 Dec 11
Last Revised:
09 Oct 13
546
(27,142)
1

3.  
Closed Form Convexity and Cross-Convexity Adjustments for Heston Prices | Show Abstract | Download |
Quantitative Finance, Vol. 11, No. 8, 2011
Accepted Paper Series
Drimus, Gabriel G.
Institute of Banking and Finance, University of Zürich
Posted:
04 Apr 09
Last Revised:
30 Jul 11
540
(27,568)
3

4.  
A Forward Started Jump-Diffusion Model and Pricing of Cliquet Style Exotics | Show Abstract | Download |
Review of Derivatives Research, Vol. 13, No. 2, 2010
Accepted Paper Series
Drimus, Gabriel G.
Institute of Banking and Finance, University of Zürich
Posted:
04 Apr 09
Last Revised:
21 Dec 10
314
(54,255)
1

5.  
Valuation of Options on Discretely Sampled Variance: A General Analytic Approximation | Show Abstract | Download |
The Journal of Computational Finance, Forthcoming
Accepted Paper Series
Drimus, Gabriel G.
Institute of Banking and Finance, University of Zürich
Farkas, Walter
University of Zurich, Department of Banking and Finance
Gourier, Elise
Princeton University
Posted:
04 Nov 10
Last Revised:
10 Aug 14
301
(56,978)
 

6.  
Options on Realized Variance in Log-OU models | Show Abstract | Download |
Applied Mathematical Finance, 19(5), 477-494, (2012)
Accepted Paper Series
Drimus, Gabriel G.
Institute of Banking and Finance, University of Zürich
Posted:
15 Mar 10
Last Revised:
07 Nov 12
292
(59,048)
 

7.  
Necula, Ciprian
Bucharest University of Economic Studies, Department of Money and Banking
Drimus, Gabriel G.
Institute of Banking and Finance, University of Zürich
Farkas, Walter
University of Zurich, Department of Banking and Finance
Posted:
02 Feb 13
286
(60,426)
 

8.  
Volatility-of-Volatility : A Simple Model-Free Motivation | Show Abstract | Download |
Wilmott Magazine, September 2012
Accepted Paper Series
Drimus, Gabriel G.
Institute of Banking and Finance, University of Zürich
Posted:
23 Jan 11
Last Revised:
07 Nov 12
238
(73,723)
 

9.  
Smooth and Bid-Offer Compliant Volatility Surfaces Under General Dividend Streams | Show Abstract | Download |
Quantitative Finance, Vol. 13, No. 11, 1801–1812, (2013), Swiss Finance Institute Research Paper No. 13-68
Accepted Paper Series
Bachem, Olivier
Swiss Federal Institute of Technology Zurich - Department of Mathematics
Drimus, Gabriel G.
Institute of Banking and Finance, University of Zürich
Farkas, Walter
University of Zurich, Department of Banking and Finance
Posted:
08 Nov 12
Last Revised:
23 Dec 13
140
(121,967)
 

10.  
Drimus, Gabriel G.
Institute of Banking and Finance, University of Zürich
Necula, Ciprian
Bucharest University of Economic Studies, Department of Money and Banking
Farkas, Walter
University of Zurich, Department of Banking and Finance
Posted:
05 Nov 13
63
(208,593)
 


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