Gabriel G. Drimus

Institute of Banking and Finance, University of Zürich

Plattenstrasse 14

Zürich, CH-8032

Switzerland

SCHOLARLY PAPERS

10

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Top 9,472

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5,127

SSRN CITATIONS
Rank 17,295

SSRN RANKINGS

Top 17,295

in Total Papers Citations

3

CROSSREF CITATIONS

48

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
University of Zurich - Department of Banking and Finance, Institute of Banking and Finance, University of Zürich and University of Zurich - Department of Banking and Finance
Downloads 863 (28,249)
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 847 (29,020)
Citation 3

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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 751 (34,270)

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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 672 (39,842)

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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 457 (64,680)
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.

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 375 (82,550)

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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 347 (90,282)

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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 286 (111,630)

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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 - Department of Banking and Finance
Downloads 271 (118,095)

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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 Last Revised: 21 Mar 2018
Institute of Banking and Finance, University of Zürich, University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich, Department of Banking and Finance
Downloads 258 (124,446)
Citation 1

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European options, generalized Hermite series expansion, calibration