About me





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)

   Swiss Risk Association


   Thesis topics and supervision

   Videos:    Talks

   Interview mit Erich Walter Farkas, erschienen am 2.12.2019 im SAV Bulletin.

Recent publicationsAccepted and Working papersCurrent Teaching and
Research Meetings 2021
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, F. Fringuellotti, R. Tunaru:
A Cost-Benefit Analysis of Capital Requirements Adjusted for Model Risk
Journal of Corporate Finance (2020), to appear.

A. Dyachenko, W. Farkas, M. O. Rieger:
Volatility Dependent Structured Products
The Journal of Investing (2020), to appear.
[Link to the Journal] [SSRN]

W. Farkas, L. Mathys, N. Vasiljevic:
Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps

W. Farkas, L. Mathys:
Geometric Step Options with Jumps: Parity Relations, PIDEs, and Semi-Analytical Pricing

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

G. Drimus, W. Farkas, C. Necula, A. Sokko:
Closed Form Option Pricing under Generalized Hermite Expansions

W. Farkas, A. Smirnow:
Intrinsic Risk Measures
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]

Please send comments and suggestions to Walter Farkas, email: