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| Recent publications | Accepted and Working papers | Teaching Fall 2016 |
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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] W. Farkas, P. Koch-Medina, C. Munari: Beyond cash-additive risk measures: when changing the numeraire fails Finance and Stochastics, 18 (1), 145-173, (2014) [Link to the Journal] [NCCR FinRisk] [SSRN] [arXiv] W. Farkas, P. Koch-Medina, C. Munari: Capital requirements with defaultable securities Insurance: Mathematics and Economics, 55, 58-67, (2014) [Link to the Journal] [NCCR FinRisk] [SSRN] [arXiv] G. Barone-Adesi, W. Farkas, P. Koch-Medina: Capital levels and risk-taking propensity in financial institutions Accounting and Finance Research, 3 (1), 85-89, (2014) [Link to the Journal] [SSRN] |
C. Necula, G. Drimus, W. Farkas:
A general closed form option pricing formula [SSRN] |
Lecture
Mathematics I
Bachelor Course, Department of Mathematics, ETH Zurich Lecture Mathematical Foundations for Finance Master Course, Department of Mathematics, ETH Zurich |
