Gabriel G. Drimus

Institute of Banking and Finance, University of Zürich

Plattenstrasse 14

Zürich, CH-8032

Switzerland

SCHOLARLY PAPERS

10

DOWNLOADS
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4,420

CITATIONS
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Top 27,021

in Total Papers Citations

9

Scholarly Papers (10)

1.

Options on Realized Variance by Transform Methods: A Non-Affine Stochastic Volatility Model

Quantitative Finance, 12(11), 1679-1694, (2012)
Number of pages: 30 Posted: 21 Nov 2009 Last Revised: 07 Nov 2012
Gabriel G. Drimus
Institute of Banking and Finance, University of Zürich
Downloads 664 (26,781)
Citation 3

Abstract:

options on realized variance, transform pricing, variance swaps, stochastic volatility, 3/2 model, Heston model

2.

Local Volatility of Volatility for the VIX Market

Review of Derivatives Research, 16(3), 267-293, (2013)
Number of pages: 27 Posted: 11 Dec 2011 Last Revised: 09 Oct 2013
Gabriel G. Drimus and Walter Farkas
Institute of Banking and Finance, University of Zürich and University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance
Downloads 644 (26,279)
Citation 1

Abstract:

VIX futures, VIX options, volatility of volatility, volatility derivatives

3.

Closed Form Convexity and Cross-Convexity Adjustments for Heston Prices

Quantitative Finance, Vol. 11, No. 8, 2011
Number of pages: 27 Posted: 04 Apr 2009 Last Revised: 30 Jul 2011
Gabriel G. Drimus
Institute of Banking and Finance, University of Zürich
Downloads 583 (31,833)
Citation 4

Abstract:

stochastic volatility, Heston model, price approximation, forward starting options, forward skew, forward smile

Valuation of Options on Discretely Sampled Variance: A General Analytic Approximation

The Journal of Computational Finance, Forthcoming
Number of pages: 33 Posted: 04 Nov 2010 Last Revised: 10 Aug 2014
Gabriel G. Drimus, Walter Farkas and Elise Gourier
Institute of Banking and Finance, University of Zürich, University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance and Queen Mary, University of London
Downloads 415 (53,395)

Abstract:

options on realized variance, variance swaps, stochastic volatility, Monte Carlo

Valuation of Options on Discretely Sampled Variance: A General Analytic Approximation

Journal of Computational Finance, Vol. 20, No. 2, 2016
Number of pages: 28 Posted: 14 Jun 2016
Gabriel G. Drimus, Walter Farkas and Elise Gourier
Institute of Banking and Finance, University of Zürich, University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance and Queen Mary, University of London
Downloads 0

Abstract:

options on realized variance, variance swaps, stochastic volatility, discrete sampling, numerical pricing methods

5.

A General Closed Form Option Pricing Formula

Swiss Finance Institute Research Paper No. 15-53
Number of pages: 37 Posted: 02 Feb 2013 Last Revised: 21 Mar 2016
Ciprian Necula, Gabriel G. Drimus and Walter Farkas
University of Zurich - Department of Banking and Finance, Institute of Banking and Finance, University of Zürich and University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance
Downloads 373 (35,020)

Abstract:

European options, expansion-based approximation of risk-neutral density, Gauss-Hermite series expansion, calibration

6.

A Forward Started Jump-Diffusion Model and Pricing of Cliquet Style Exotics

Review of Derivatives Research, Vol. 13, No. 2, 2010
Number of pages: 17 Posted: 04 Apr 2009 Last Revised: 21 Dec 2010
Gabriel G. Drimus
Institute of Banking and Finance, University of Zürich
Downloads 347 (64,464)
Citation 1

Abstract:

forward volatility smiles, forward skew, variance swaps, cliquets, exotic options

7.

Options on Realized Variance in Log-OU models

Applied Mathematical Finance, 19(5), 477-494, (2012)
Number of pages: 18 Posted: 15 Mar 2010 Last Revised: 07 Nov 2012
Gabriel G. Drimus
Institute of Banking and Finance, University of Zürich
Downloads 315 (70,193)

Abstract:

options on realized variance, Asian options, stochastic volatility

8.

Volatility-of-Volatility : A Simple Model-Free Motivation

Wilmott Magazine, September 2012
Number of pages: 8 Posted: 23 Jan 2011 Last Revised: 07 Nov 2012
Gabriel G. Drimus
Institute of Banking and Finance, University of Zürich
Downloads 259 (88,015)

Abstract:

volatility of volatility, variance derivatives, exotic options, structured products

9.

Smooth and Bid-Offer Compliant Volatility Surfaces Under General Dividend Streams

Quantitative Finance, Vol. 13, No. 11, 1801–1812, (2013), Swiss Finance Institute Research Paper No. 13-68,
Number of pages: 26 Posted: 08 Nov 2012 Last Revised: 23 Dec 2013
Olivier Bachem, Gabriel G. Drimus and Walter Farkas
ETH Zürich - Department of Mathematics, Institute of Banking and Finance, University of Zürich and University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance
Downloads 185 (102,702)

Abstract:

implied volatility surface, risk neutral density, discrete dividends

10.

Closed Form Option Pricing Under Generalized Hermite Expansions

Number of pages: 15 Posted: 05 Nov 2013
Gabriel G. Drimus, Ciprian Necula and Walter Farkas
Institute of Banking and Finance, University of Zürich, University of Zurich - Department of Banking and Finance and University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance
Downloads 115 (138,564)

Abstract:

European options, generalized Hermite series expansion, calibration