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Drimus, Gabriel G.


 SSRN Author Rank: 7,599 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
3,703
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
632
(24,283)
4

2.  
Local Volatility of Volatility for the VIX Market | Show Abstract | Download This Paper |
Review of Derivatives Research, 16(3), 267-293, (2013)
Number of Pages in PDF File: 27
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
607
(25,778)
1

3.  
Closed Form Convexity and Cross-Convexity Adjustments for Heston Prices | Show Abstract | Download This Paper |
Quantitative Finance, Vol. 11, No. 8, 2011
Number of Pages in PDF File: 27
Drimus, Gabriel G.
Institute of Banking and Finance, University of Zürich
Posted:
04 Apr 09
Last Revised:
30 Jul 11
574
(27,820)
3

4.  
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
352
(51,684)
 

5.  
Valuation of Options on Discretely Sampled Variance: A General Analytic Approximation | Show Abstract | Download This Paper |
The Journal of Computational Finance, Forthcoming
Number of Pages in PDF File: 33
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
348
(52,393)
 

6.  
A Forward Started Jump-Diffusion Model and Pricing of Cliquet Style Exotics | Show Abstract | Download This Paper |
Review of Derivatives Research, Vol. 13, No. 2, 2010
Number of Pages in PDF File: 17
Drimus, Gabriel G.
Institute of Banking and Finance, University of Zürich
Posted:
04 Apr 09
Last Revised:
21 Dec 10
342
(53,493)
1

7.  
Options on Realized Variance in Log-OU models | Show Abstract | Download This Paper |
Applied Mathematical Finance, 19(5), 477-494, (2012)
Number of Pages in PDF File: 18
Drimus, Gabriel G.
Institute of Banking and Finance, University of Zürich
Posted:
15 Mar 10
Last Revised:
07 Nov 12
315
(58,950)
 

8.  
Volatility-of-Volatility : A Simple Model-Free Motivation | Show Abstract | Download This Paper |
Wilmott Magazine, September 2012
Number of Pages in PDF File: 8
Drimus, Gabriel G.
Institute of Banking and Finance, University of Zürich
Posted:
23 Jan 11
Last Revised:
07 Nov 12
257
(73,707)
 

9.  
Smooth and Bid-Offer Compliant Volatility Surfaces Under General Dividend Streams | Show Abstract | Download This Paper |
Quantitative Finance, Vol. 13, No. 11, 1801–1812, (2013), Swiss Finance Institute Research Paper No. 13-68
Number of Pages in PDF File: 26
Bachem, Olivier
ETH Zürich - 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
173
(109,556)
 

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
103
(166,756)
 


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