Gabriel G. Drimus

Institute of Banking and Finance, University of Zürich

Plattenstrasse 14

Zürich, CH-8032

Switzerland

SCHOLARLY PAPERS

10

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5,703

SSRN CITATIONS
Rank 19,399

SSRN RANKINGS

Top 19,399

in Total Papers Citations

4

CROSSREF CITATIONS

49

Scholarly Papers (10)

1.

A General Closed Form Option Pricing Formula

Review of Derivatives Research, 22 (1), 1-40, (2019) , Swiss Finance Institute Research Paper No. 15-53
Number of pages: 41 Posted: 02 Feb 2013 Last Revised: 04 Jan 2020
Ciprian Necula, Gabriel G. Drimus and Walter Farkas
Bucharest University of Economic Studies, Department of Money and Banking, Institute of Banking and Finance, University of Zürich and University of Zurich - Department of Banking and Finance
Downloads 976 (35,028)
Citation 3

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

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 - Department of Banking and Finance
Downloads 934 (37,235)
Citation 4

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

3.

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 797 (46,192)

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

4.

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 703 (54,609)

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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 - Department of Banking and Finance and ESSEC Business School
Downloads 505 (82,215)
Citation 3

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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 - Department of Banking and Finance and ESSEC Business School
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options on realized variance, variance swaps, stochastic volatility, discrete sampling, numerical pricing methods

6.

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 - Department of Banking and Finance
Downloads 431 (100,191)

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implied volatility surface, risk neutral density, discrete dividends

7.

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 388 (113,111)

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

8.

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 357 (124,149)

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options on realized variance, Asian options, stochastic volatility

9.

Closed Form Option Pricing Under Generalized Hermite Expansions

Number of pages: 15 Posted: 05 Nov 2013 Last Revised: 21 Mar 2018
Institute of Banking and Finance, University of Zürich, University of Zurich - Department of Banking and Finance, Bucharest University of Economic Studies, Department of Money and Banking and University of Zurich, Department of Banking and Finance
Downloads 312 (143,441)
Citation 2

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European options, generalized Hermite series expansion, calibration

10.

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 300 (149,458)

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