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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 21: 27 April 2021
    • Vladimir Saramet: "Short-term Electricity price forecasting using stack curves". Public presentation of the MScQF thesis.

  • Workshop 20: 16 March 2021
    • Vladimir Saramet: "Short-term Electricity price forecasting using stack curves".

  • Workshop 19: 3 March 2021
    • Liridon Obrinja: "The current state of Value Investing and the opportunity of Growth Investing to rise during the pandemic". Supervised by Patrick Lucescu.

  • Workshop 18: 26 January 2021
    • Shijing Cai: "Statistical Learning and Testing for Optimal Portfolio Strategy Choice". Public presentation of the MScQF thesis.

  • Workshop 17: 21 December 2020
    • Michail Ntaoutis: "Risk Sharing: between profitability and systemic risk". Public presentation of the MScQF thesis. Supervised by Alex Smirnow.

  • Workshop 16: 14 December 2020
    • Thomas Lagos: "Machine Learning Applications for Reverse Stress Testing". Public presentation of the MScQF thesis.

  • Workshop 15: 30 November 2020
    • Michal Kobak: "Financial Time Series Clustering for Portfolio Optimization". Public presentation of the MScQF thesis.

  • Workshop 14: 16 November 2020
    • Valentin Geoffroy: "Why is American option pricing so complicated?"

  • Workshop 13: 2 November 2020
    • Cyril Walker: "Fitting interest derivatives' volatility smile in negative interest landscape". Supervised by Patrick Lucescu.

  • Workshop 12: 12 October 2020
    • David Anderson: "Pricing of American Options in a Market Making Environment Using Artificial Neural Network". Public presentation of the MScQF thesis.

  • Workshop 11: 5 October 2020
    • Michal Kobak: "Financial Time Series Clustering for Portfolio Optimization".

  • Workshop 10: 21 September 2020
    • Daniel Partida: "A Machine Learning Approach for a Blockchain-Crypto Portfolio Construction". Supervised by Urban Ulrych.

  • Workshop 9: 24 July 2020
    • Shahire Hylaj: "Application of different methods for forecasting the volatility of industry indices ". Supervised by Patrick Lucescu.

  • Workshop 8: 25 July 2018
    • Update on the Bachelor Thesis:
      • Ilhami Gül: "Einfluss von negativen Zinsen auf Optionen: Eine Untersuchung". Supervised by Prof. Dr. Walter Farkas and Ludovic Mathys.

  • Workshop 7: 18 June 2018
    • Update on the Master Thesis:
      • Davide Mastromarco: "Pricing European index options using expansion based methods". Supervised by Prof. Dr. Walter Farkas and Dr. Ciprian Necula.
      • Victor Eligio Lagomarsino: "Pricing VIX options using expansion based methods". Supervised by Prof. Dr. Walter Farkas and Dr. Ciprian Necula.

  • Workshop 6: 22 May 2018
    • Research workshop with Prof. Eckhard Platen (UT Sydney)

  • 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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