|
|
|
| Research papers | Recent Publications and Working papers | Current Teaching and Research Meetings 2021 |
|---|---|---|
|
A. Dyachenko, W. Farkas, M. O. Rieger:
Volatility Dependent Structured Products Journal of Investing, 30 (2), 53-60, (2021) [Link to the Journal] [SSRN] N. Ettlin, W. Farkas, A. Kull, A. Smirnow: Optimal Risk-Sharing Across a Network of Insurance Companies Insurance: Mathematics and Economics, 95, 39-47, (2020) [Link to the Journal] [SSRN] C. Necula, G. Drimus, W. Farkas: A General Closed Form Option Pricing Formula Review of Derivatives Research, 22 (1), 1-40, (2019) [Link to the Journal] [SSRN] 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] more papers |
W. Farkas, L. Mathys, N. Vasiljevic:
Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps Mathematical Finance (2021), 31 (2), 772-823 (2021) [SSRN] [Link to the Journal] W. Farkas, F. Fringuellotti, R. Tunaru: A Cost-Benefit Analysis of Capital Requirements Adjusted for Model Risk Journal of Corporate Finance (2020), Volume 65, Issue c [SSRN] [Link to the Journal] W. Farkas, L. Mathys: Geometric Step Options with Jumps: Parity Relations, PIDEs, and Semi-Analytical Pricing [SSRN] C. Necula, W. Farkas: The Dynamics of Heterogeneity and Asset Prices [SSRN] G. Drimus, W. Farkas, C. Necula, A. Sokko: Closed Form Option Pricing under Generalized Hermite Expansions [SSRN] W. Farkas, A. Smirnow: Intrinsic Risk Measures [SSRN] |
Lecture
Mathematics II
Bachelor Course, Department of Mathematics, ETH Zurich More Info: follow this link 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 |
