About me





The Press

   Prof. Dr. Erich Walter Farkas


  • Dissertations

  • Research articles (selection)
    • 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",
      Journal of Operational Risk, 3 (2009), 1--24.
    • W. Farkas, N. Reich, C. Schwab:
      "Anisotropic stable Levy copula processes -- analytical and numerical aspects",
      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",
      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",
      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",
      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",
      Mathematica Bohemica, 125 (2000), 1-37.
    • W. Farkas:
      "Atomic and subatomic decompositions in anisotropic function spaces",
      Mathematische Nachrichten, 209 (2000), 83-113.
    • W. Farkas, H. Triebel:
      "The distribution of eigenfrequencies of anisotropic fractal drums",
      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.

[RiskLab] [ETH Finance Group] [Dept Banking Finance] [MSc Quant.Finance] [NCCR-FINRISK]
Prof. Dr. Erich Walter Farkas