• 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 senior lecturer and senior scientist at the Università della Svizzera Italiana (USI) at Lugano, Switzerland. His research interests include asset pricing, especially risk premia, numerical methods, entrepreneurship and the economics of cryptocurrencies.