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| Recent publications | Accepted and Working papers | Current Teaching and Research Meetings 2018 |
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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, G. Drimus, W. Farkas:
A General Closed Form Option Pricing Formula Review of Derivatives Research, to appear, (2018) [Link to the Journal] [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] [Swiss Finance Institute] |
Lecture
Mathematics I
Bachelor Course, Department of Mathematics, ETH Zurich Lecture Mathematical Foundations for Finance Master Course, Department of Mathematics, ETH Zurich Lecture Research Seminar BBLS Banking & Finance Master Course, Department of Banking and Finance, University of Zurich Lecture Research-Seminar Finance Master Course, Department of Banking and Finance, University of Zurich (Group internal) Seminar on Quantitative Finance |
