Prof. Dr. Erich Walter Farkas
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
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.
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.
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