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)

   Board Member
   Swiss Risk Association


   Thesis topics and supervision

   Videos:    Talks

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

Research papersRecent Publications and Working papersCurrent 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

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 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

[RiskLab] [ETH Finance Group] [Dept Banking Finance] [MSc Quant. Finance] [NCCR-FINRISK]

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