CCFZ_MASFinance

 

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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


   Forthcoming events:
   ETH Risk Day 2017, 15 September 2017, Zürich
   Swiss Risk Association Event: Stress testing from Banking to Insurance: differences, similarities, challenges, 30 October 2017, Zürich
   Swiss Risk Association Event: Stormy waters or calm seas ahead? - macroeconomic outlook in a time of uncertainty, 29 November 2017, Zürich

   Past events: follow this link
Recent publicationsAccepted and Working papersCurrent Teaching and
Research Meetings 2017
W. Farkas, E. Gourier, R. Huitema, C. Necula:
A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing
Journal of Banking & Finance, 77, 249-268, (2017)
[Link to the Journal] [SSRN]

W. Farkas, E. Gourier, R. Huitema, C. Necula:
The Impact of Cointegration on Commodity Spread Options
Innovations in Derivatives Markets,
Springer Proceedings in Mathematics & Statistics, 165, 421-435, (2016)
[Link to the Journal]

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]
C. Necula, W. Farkas:
The Dynamics of Heterogeneity and Asset Prices
[SSRN]

C. Necula, G. Drimus, W. Farkas:
A general closed form option pricing formula
[SSRN]

W. Farkas, A. Smirnow:
Intrinsic Risk Measures
[SSRN] [Swiss Finance Institute]
Lecture Mathematics II
Bachelor Course, Department of Mathematics, ETH Zurich

Lecture Quantitative Finance
Master Course, Department of Banking and Finance, University of Zurich

Lecture Banking and Finance II
Bachelor Course, Department of Banking and Finance, University of Zurich

(Group internal)
Seminar on Quantitative Finance

[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.