• The Price of the Smile and Variance Risk Premia

  • The Market Price of a Dynamic Smile

  • Three Make a Dynamic Smile – Unspanned Skewness and Interacting Volatility Components in Option Valuation

  • Option pricing with matrix affine jump diffusions



Peter H. Gruber is a postdoctoral research fellow at the Università della Svizzera Italiana (USI) at Lugano, Switzerland. His research interests include asset pricing, especially risk premia, affine models, numerical methods and applications of high-performance computing in finance and economics.