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   Prof. Dr. Erich Walter Farkas
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   Grants (since 1. June 2012)

  • 1 April 2015: Win of an MC-IEF - Intra-European Fellowship (IEF).
    The European Commission, within the Framework Programme 7 (FP7), awarded Dr. Ciprian Necula a Marie-Curie Intra-European Fellowship (MC-IEF) with Professor Walter Farkas acting as scientist in charge. The project started in April 2015 and had a length of 2 years.

    Title: HETEROVOL - Heterogeneity and the Volatility of Financial Assets

    Summary:
    The objective of the project consisted in exploring a new, more realistic, yet parsimonious formulation for modelling heterogeneity in economics and finance. More specifically, the focus was on developing a modelling framework based on measure-valued stochastic processes. The new modelling framework was embedded in a continuous-time dynamic stochastic general equilibrium model of a pure-exchange economy in order to investigate the evolution of heterogeneity in a tractable manner and to study its impact on asset prices.
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  • 1 Oct 2012. Prof. Walter Farkas' application for a Sciex-NMS Fellowship was successful. Due to the win of the Sciex grant, Dr. Ciprian Necula joined our Team as a Sciex fellow on 1st October 2012 for one year. Sciex is part of the Swiss Contribution to the New Member States of the EU and is a promotion tool for research teams from all disciplines, consisting of team-members from the EU10 and Switzerland. Sciex Fellows from the EU10 pursue their research in cooperation with Swiss researchers in Swiss research institutions.

    Title of the project: IAAPD - Interaction of Agents and Asset Price Dynamics

    Summary: The project focused on developing a model which explicitly emphasizes the heterogeneity of a large number of economic agents within financial markets and the effect of their interaction on asset price dynamics. In this context the asset price is endogenously determined from micro-foundations and the interaction and herding of the agents trading the asset induce an amplification of the volatility of the asset over the volatility of the fundamentals.

  • 1 June 2012. The Swiss National Science Foundation, mandated by the Swiss Federal government to promote scientific research, accepted a for funding a joint proposal of Professor Walter Farkas and of Dr. Pablo Koch-Medina of SwissRe. The project, titled "Capital adequacy, valuation, and portfolio selection for insurance companies" was supported for two years, starting as of 1. June 2012.

 


Please send comments and suggestions to Walter Farkas, email: farkas@math.ethz.ch.
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