Search Results - Drimus, Gabriel

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  1. 1
    Options on realized variance by transform methods: a non-affine stochastic volatility model

    Options on realized variance by transform methods: a non-affine stochastic volatility model by Drimus, Gabriel G.

    Published in Quantitative finance
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  2. 2
    Options on Realized Variance in Log-OU Models

    Options on Realized Variance in Log-OU Models by Drimus, Gabriel G.

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  3. 3
    Closed-form convexity and cross-convexity adjustments for Heston prices

    Closed-form convexity and cross-convexity adjustments for Heston prices by Drimus, Gabriel G.

    Published in Quantitative finance
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  4. 4
    A forward started jump-diffusion model and pricing of cliquet style exotics

    A forward started jump-diffusion model and pricing of cliquet style exotics by Drimus, Gabriel G.

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  5. 5
    Local volatility of volatility for the VIX market

    Local volatility of volatility for the VIX market by Drimus, Gabriel, Farkas, Walter

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  6. 6
    A general closed form option pricing formula

    A general closed form option pricing formula by Necula, Ciprian, Drimus, Gabriel, Farkas, Walter

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  7. 7
    Valuation of options on discretely sampled variance: a general analytic approximation

    Valuation of options on discretely sampled variance: a general analytic approximation by Drimus, Gabriel, Farkas, Walter, Gourier, Elise

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  8. 8
    Smooth and bid-offer compliant volatility surfaces under general dividend streams

    Smooth and bid-offer compliant volatility surfaces under general dividend streams by Bachem, Olivier, Drimus, Gabriel, Farkas, Walter

    Published in Quantitative finance
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