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   Prof. Dr. Erich Walter Farkas
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   Publications

• Dissertations
  
  • Habilitation Thesis (University of Munich, 2002):
    Function spaces of generalised smoothness
    and pseudo-differential operators associated to a continuous negative definite function
    [.pdf]
    Referees: Prof. Dr. Heinz Siedentop, Prof. Dr. David Edmunds, Prof. Dr. Michael Solomyak
  • PhD Thesis (Friedrich Schiller University of Jena, 1998): Anisotropic function spaces, fractals, and
    spectra of some elliptic and semi-elliptic differential operators [.pdf]
    Supervisor: Prof. Dr. Hans Triebel
  
  
• Research articles (selection)
• C. Necula, G. Drimus, W. Farkas:
  A General Closed Form Option Pricing Formula
  Review of Derivatives Research, 22 (1), 1-40, (2019)
  [Link to the Journal] [SSRN]
• W. Farkas, A. Smirnow:
  Intrinsic Risk Measures
  Innovations in Insurance, Risk and Asset Management, 163-184, (2018), World Scientific, München
  [Link to the Journal] [SSRN]
• 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
  [Link to the Journal]
  Innovations in Derivatives Markets, Springer Proceedings in Mathematics & Statistics, 165, 421-435, (2016)
• G. Drimus, W. Farkas, E. Gourier:
  Valuations of options on discretely sampled variance: a general analytic approximation
  [Link to the Journal] [SSRN]
  Journal of Computational Finance, 20(2), 39-66, (2016)
  
• W. Farkas, P. Koch-Medina, C. Munari:
  Measuring risk with multiple eligible assets
  [Link to the Journal] [SSRN] [arXiv]
  Mathematics and Financial Economics, 9 (1), 3-27, (2015)
• W. Farkas, P. Koch-Medina, C. Munari:
  Beyond cash-additive risk measures: when changing the numeraire fails
  [Link to the Journal] [NCCR FinRisk] [SSRN] [arXiv]
  Finance and Stochastics, 18 (1), 145-173, (2014)
  
• W. Farkas, P. Koch-Medina, C. Munari:
  Capital requirements with defaultable securities
  [Link to the Journal] [NCCR FinRisk] [SSRN] [arXiv]
  Insurance: Mathematics and Economics, 55, 58-67, (2014)
• G. Barone-Adesi, W. Farkas, P. Koch-Medina:
  Capital levels and risk-taking propensity in financial institutions
  [Link to the Journal] [SSRN]
  Accounting and Finance Research, 3 (1), 85-89, (2014)
• O. Bachem, G. Drimus, W. Farkas:
  Smooth and bid-offer compliant volatility surfaces under general dividend streams
  [Link to the Journal] [NCCR FinRisk] [SSRN]
  Quantitative Finance, 13 (11), 1801-1812, (2013)
  
• G. Drimus, W. Farkas:
  Local volatility of volatility for the VIX market
  [Link to the Journal] [NCCR FinRisk] [SSRN]
  Review of Derivatives Research, 16(3), 267-293, (2013).
  
• W. Farkas, E. Gourier, D. Abbate:
  "Operational risk quantification using extreme value theory and copulas: from theory to practice",
  [.pdf]
  Journal of Operational Risk, 3 (2009), 1--24.
• W. Farkas, N. Reich, C. Schwab:
  "Anisotropic stable Levy copula processes -- analytical and numerical aspects",
  [.pdf]
  Math. Models and Methods in Applied Sciences, 17 (2007), 1405--1443.
• W. Farkas, H.G. Leopold:
  "Characterisations of function spaces of generalised smoothness",
  Annali di Matematica Pura ed Applicata, 185 (2006), 1--62.
• A.M. Caetano, W. Farkas:
  "Local growth envelopes of Besov spaces of generalized smoothness",
  [.pdf]
  Zeitschrift für Analysis und ihre Anwendungen, 25, No. 3 (2006), 265--298.
• J.-M. Barbaroux, W. Farkas, B. Helffer, H. Siedentop:
  "On the Hartree-Fock equations of the electron-positron field",
  Communications in Mathematical Physics, 255 (2005), 131-225.
• D. Egloff, W. Farkas, M. Leippold:
  "American options with stopping time constraints",
  [link] (2005).
• W. Farkas, N. Jacob:
  "Sobolev spaces on non-smooth domains and Dirichlet forms related to subordinate reflecting diffusions",
  [.pdf]
  Mathematische Nachrichten, 224 (2001), 75-104.
• W. Farkas, N. Jacob, R. L. Schilling:
  "Function spaces related to continuous negative definite functions: psi- Bessel potential spaces",
  Dissertationes Mathematicae, 393 (2001), 1-63.
• W. Farkas, N. Jacob, R. L. Schilling:
  "Feller semigroups, $L^p$-sub-Markovian semigroups, and applications to pseudo-differential operators with negative definite symbols",
  Forum Mathematicum, 13 (2001), 59-90.
• W. Farkas:
  "Eigenvalue distribution of some fractal semi - elliptic differential operators",
  [.pdf]
  Mathematische Zeitschrift, 236 (2001), 291-320.
• W. Farkas, J. Johnsen, W. Sickel:
  "Traces of Besov-Lizorkin-Triebel spaces - a complete treatment of the borderline cases",
  [.pdf]
  Mathematica Bohemica, 125 (2000), 1-37.
• W. Farkas:
  "Atomic and subatomic decompositions in anisotropic function spaces",
  [.pdf]
  Mathematische Nachrichten, 209 (2000), 83-113.
• W. Farkas, H. Triebel:
  "The distribution of eigenfrequencies of anisotropic fractal drums",
  [.pdf]
  Journal of the London Mathematical Society, 60 (1999), 224-236.
• W. Farkas:
  "The behaviour of the eigenvalues for a class of operators related to some self-affine fractals in $\R ^2$",
  Zeitschrift für Analysis und ihre Anwendungen, 18 (1999), 874-895.


• Articles in newspapers
• W. Farkas:
  Vom Reiz mit dem Geld zu jonglieren, Tagesanzeiger, 12. Dec. 2012.
• W. Farkas, E. Gourier:
  Les aléas de l'évalation des risques, Le Temps, 2010.
• W. Farkas, E. Gourier:
  Produits structurés: Comment éviter une nouvelle crise financière, Banque et Finance, 2010.
• W. Farkas, E. Gourier:
  Zukunft liegt in der Vergangenheit, Handelszeitung, 2009.
• W. Farkas:
  Un besoin de contrôle Le Temps, 2009.


• Books, monographs, exercise books
• W. Farkas, L. Pavel: Functional analysis - exercises and problems,
  Bucharest University Press, 1994 (143 pages, in Romanian).


• Published abstracts of some communications (selection)
• W. Farkas: "On function spaces of generalised smoothness in the theory of Markov processes",
  Tagungsband Conference "New Trends in Potential Analysis and Applications", Bielefeld, 26-30. March 2001.
• W. Farkas: "On sub-Markovian semigroups and the domain of definition of their generator",
  Tagungsband der DMV- Jahrestagung, Dresden, 17-22 Sept. 2000, p.137.
• W. Farkas: "The behaviour of the eigenvalues for a class of operators related to some self-affine fractals in the plane"
  Third European Congress of Mathematics, Barcelona, 2000.
• W. Farkas: "Atomic decompositions in anisotropic function spaces",
  Programm der DMV- Jahrestagung, Jena, 15-21 Sept. 1996, p. 158.
• W. Farkas: "An imbedding theorem for generalized Orlicz-Sobolev spaces",
  Abstracts of the short communications, International Congress of Mathematicians, Zürich 1994, p. 219.