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| Research papers | Recent Publications and Working papers | Current Teaching and Research Meetings 2021 |
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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, A. Smirnow: Intrinsic Risk Measures Innovations in Insurance, Risk and Asset Management, 163-184, (2018), World Scientific, München [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:
Geometric step options and Lévy models: Duality, PIDEs, and semi-analytical pricing Frontiers of Mathematical Finance (2022), Volume 1, Issue 1 [Link to the Journal] [SSRN] 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) [Link to the Journal] [SSRN] 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 [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] |
Lecture
Mathematics III
Bachelor Course, Department of Mathematics, ETH Zurich More Info: follow this link Lecture Applied Empirical Methods for Business Administration (L+E) Master Course, Department of Banking and Finance, University of Zurich (Group internal) Seminar on Quantitative Finance |
