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| Recent publications | Accepted and Working papers | Current Teaching and Research Meetings 2017 |
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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] W. Farkas, E. Gourier, R. Huitema, C. Necula: The Impact of Cointegration on Commodity Spread Options Innovations in Derivatives Markets, Springer Proceedings in Mathematics & Statistics, 165, 421-435, (2016) [Link to the Journal] 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] |
C. Necula, G. Drimus, W. Farkas:
A general closed form option pricing formula [SSRN] W. Farkas, A. Smirnow: Intrinsic Risk Measures [SSRN] [Swiss Finance Institute] |
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 |
