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Gabriel G. Drimus

SSRN Author Rank: 7,868 by Downloads and 28,620 by Citations

 

Institute of Banking and Finance, University of Zürich


 Plattenstrasse 14
 Zürich, CH-8032
 Switzerland
 email address

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. Gabriel G. Drimus's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
4,281
Total
Citations
8
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Drimus, Gabriel G.
Institute of Banking and Finance, University of Zürich
Posted:
21 Nov 09
Last Revised:
07 Nov 12
664
(25,517)
3

2.  
Local Volatility of Volatility for the VIX Market | Show Abstract | Download This Paper | Open PDF in Browser |
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
644
(25,517)
1

3.  
Drimus, Gabriel G.
Institute of Banking and Finance, University of Zürich
Posted:
04 Apr 09
Last Revised:
30 Jul 11
583
(31,082)
3

4.   Incl. Electronic Paper
Drimus, Gabriel G.
Institute of Banking and Finance, University of Zürich
Farkas, Walter
University of Zurich, Department of Banking and Finance
Gourier, Elise
Queen Mary, University of London
Posted:
04 Nov 10
Last Revised:
14 Jun 16
402
(53,217)
 

5.  
A General Closed Form Option Pricing Formula | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 15-53
Number of Pages in PDF File: 37
Necula, Ciprian
University of Zurich - Department of Banking and Finance
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
Last Revised:
21 Mar 16
373
(37,177)
 

6.  
A Forward Started Jump-Diffusion Model and Pricing of Cliquet Style Exotics | Show Abstract | Download This Paper | Open PDF in Browser |
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
347
(61,263)
1

7.  
Options on Realized Variance in Log-OU models | Show Abstract | Download This Paper | Open PDF in Browser |
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
(67,584)
 

8.  
Drimus, Gabriel G.
Institute of Banking and Finance, University of Zürich
Posted:
23 Jan 11
Last Revised:
07 Nov 12
259
(84,520)
 

9.  
Smooth and Bid-Offer Compliant Volatility Surfaces Under General Dividend Streams | Show Abstract | Download This Paper | Open PDF in Browser |
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
185
(105,666)
 

10.  
Drimus, Gabriel G.
Institute of Banking and Finance, University of Zürich
Necula, Ciprian
University of Zurich - Department of Banking and Finance
Farkas, Walter
University of Zurich, Department of Banking and Finance
Posted:
05 Nov 13
115
(147,370)
 


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