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

   Core Team, SNF-Bridge funded project
   Data-Driven Financial Risk and Regulatory Reporting


   Thesis topics and supervision

   Videos:    Talks

   Interviews:    Editorial:

Research papersRecent Publications and Working papersCurrent Teaching and
Research Meetings, Fall 2022
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]

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]

more papers
W. Farkas, F. Ferrari, U. Ulrych:
Pricing Autocallables under Local-Stochastic Volatility
Frontiers of Mathematical Finance (2022), Volume 1, Issue 4
[Link to the Journal] [SSRN]

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]

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

Lecture Mathematics I
Bachelor Course, Department of Mathematics, ETH Zurich
More Info: follow this link

(Group internal)
Seminar on Quantitative Finance

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

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