CCFZ_MASFinance

 

Contact

About me

Research

Teaching

Conferences

Grants

The Press

Prof. Dr. Erich Walter Farkas, 2. September 2003   Prof. Dr. Erich Walter Farkas

   Program Director
   UZH ETH joint degree
   Master of Science in Quantitative Finance

   UZH Certificate of Advanced Studies
   in Risk Management for Banking and Finance

   Swiss Finance Institute
   Center of Competence Finance in Zurich (CCFZ)

   Co-president
   Swiss Risk Association

   Team

   Thesis topics and supervision

   Videos:    Talks


   Past events: follow this link
Recent publicationsAccepted and Working papersTeaching Fall 2016
G. Drimus, W. Farkas, E. Gourier:
Valuations of options on discretely sampled variance: a general analytic approximation
Journal of Computational Finance, 20(2), 39-66, (2016)
[Link to the Journal] [SSRN]

W. Farkas, P. Koch-Medina, C. Munari:
Measuring risk with multiple eligible assets
Mathematics and Financial Economics, 9 (1), 3-27, (2015)
[Link to the Journal] [SSRN] [arXiv]

W. Farkas, P. Koch-Medina, C. Munari:
Beyond cash-additive risk measures: when changing the numeraire fails
Finance and Stochastics, 18 (1), 145-173, (2014)
[Link to the Journal] [NCCR FinRisk] [SSRN] [arXiv]

W. Farkas, P. Koch-Medina, C. Munari:
Capital requirements with defaultable securities
Insurance: Mathematics and Economics, 55, 58-67, (2014)
[Link to the Journal] [NCCR FinRisk] [SSRN] [arXiv]

G. Barone-Adesi, W. Farkas, P. Koch-Medina:
Capital levels and risk-taking propensity in financial institutions
Accounting and Finance Research, 3 (1), 85-89, (2014)
[Link to the Journal] [SSRN]

C. Necula, G. Drimus, W. Farkas:
A general closed form option pricing formula
[SSRN]
Lecture Mathematics I
Bachelor Course, Department of Mathematics, ETH Zurich

Lecture Mathematical Foundations for Finance
Master Course, Department of Mathematics, ETH Zurich

[RiskLab] [ETH Finance Group] [Dept Banking Finance] [MSc Quant. Finance] [NCCR-FINRISK] [CCFZ]

Please send comments and suggestions to Walter Farkas, email: farkas@math.ethz.ch. Last modified: Mon Sep 26 06:08:25 CEST 2016