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Dr. Gabriel Drimus - Publications

Postdoktorand Prof. W. Farkas



Publications

Journal Articles (7)

Valuations of options on discretely sampled variance: A general analytic approximation
Gabriel Drimus, Erich Walter Farkas, Elise Gourier
In: Journal of Computational Finance, Vol. 20(2), p. 39-66, 2016.


Local volatility of volatility for the VIX market
Gabriel Drimus, Erich Walter Farkas
In: Review of Derivatives Research, Vol. 16 (No. 3), p. 267-293, 2013.


Smooth and Bid-Offer Compliant Volatility Surfaces Under General Dividend Streams
Olivier Bachem, Gabriel Drimus, Erich Walter Farkas
In: Quantitative Finance, Vol. 13 (No. 11), p. 1801-1812, 2013.


Options on realized variance by transform methods: A non-affine stochastic volatility model
Gabriel Drimus
In: Quantitative Finance, Vol. 12 (No. 11), p. 1679-1694, 2012.


Options on realized variance in Log-OU models
Gabriel Drimus
In: Applied Mathematical Finance, Vol. 19 (No. 5), p. 477-494, 2012.


Closed-form convexity and cross-convexity adjustments for Heston prices
Gabriel Drimus
In: Quantitative Finance, Vol. 11 (No. 8), p. 1137-1149, 2011.


A forward started jump-diffusion model and pricing of cliquet style exotics
Gabriel Drimus
In: Review of Derivatives Research, Vol. 13 (No. 2), p. 125-140, 2010.


Working Papers (3)

A General Closed Form Option Pricing Formula
Ciprian Necula, Gabriel Drimus, Erich Walter Farkas
SSRN, No. 2210359, 2015.


Closed form option pricing under generalized hermite expansions
Gabriel Drimus, Ciprian Necula, Erich Walter Farkas
SSRN, No. 2349868, October 2013.


Volatility-of-volatility : A simple model free motivation
Gabriel Drimus
SSRN Working Papers, No. 1743495, 2011.