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   Prof. Dr. Erich Walter Farkas
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   Seminar on Quantitative Finance

   The goal of the seminar is a periodic discussion on ongoing research projects within the group of Prof. Farkas.

  • Workshop 5: 14 September 2017
    • Update on the Master Thesis:
      • Florian Grünewald: "Point-in-Time Loss Given Default modelling for Banking products".
      • Supervised by Prof. Dr. Walter Farkas and Dr. Filippo Brutti (UBS).

  • Workshop 4: 25 April 2017
    • Presentation of recent research results and discussion:
      • Alex Badescu (University of Calgary): "Non-Affine GARCH Option Pricing Models, Variance Dependent Kernels, and Diffusion Limits". Joint work with Zhenyu Cui and Juan-Pablo-Ortega.
      • Ciprian Necula: "Herding and Stochastic Volatility". Joint work with Walter Farkas and Boris Wälchli.

  • Workshop 3: 10 April 2017
    • Presentation of progresses in their Bachelor's dissertations:
      • Maurizio Di Lucente: "Fractals in Finance". Supervised by Prof. Dr. Walter Farkas and Ludovic Mathys.
      • Nemanja Malesevic: "Optimal Risk Sharing". Supervised by Prof. Dr. Walter Farkas and Ludovic Mathys.

  • Workshop 2: 13 March 2017
    • Presentation of recent research results and discussion:
      • Alexander Smirnow: "Intrinsic Risk Measures". Joint work with Walter Farkas.

  • Workshop 1: 6 February 2017
    • Presentation of recent research results and discussion:
      • Ciprian Necula: "The Dynamics of Heterogeneity and Asset Prices". Joint work with Walter Farkas.
      • Ludovic Mathys: Discussion of some aspects of "Arbitrage in Indefinite Time".

 


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