Contact

   Prof. Dr. Erich Walter Farkas
   Home

   (Group internal)
   Seminar on Quantitative Finance

• Workshop 30: 16 Nov 2022
• Prof. Luis Seco, University of Toronto: "Sustainability, technology and quantitative finance".


• Workshop 29: 16 May 2022
• Angelina Heusler: "Exploring classification methods for default risk assessment within a representative SME sample".


• Workshop 28: 2 May 2022
• Leo Aidinovic: "Benefits, risks and capital efficiency consideration of a reinsurer's investment strategy with EUR liabilities and USD assets". Public presentation of the MScQF thesis.


• Workshop 27: 8 November 2021
• Filip Sprusansky: "Scenario Generation via Generative Adversarial Networks". Public presentation of the MScQF thesis.


• Workshop 26: 19 October 2021
• Silvia Forcina Barrero: "Comparative analysis of Machine Learning methods for the estimation of Probability of Default". Public presentation of the MScQF thesis.


• Workshop 25: 28 September 2021
• Paolo Pace: "Learning to Manage the Risk that Matters". Public presentation of the MScQF thesis.


• Workshop 24: 21 September 2021
• Francesco Ferrari: "Pricing Autocallables in a Heston-like Local-Stochastic Volatility Model". Public presentation of the MScQF thesis.


• Workshop 23: 16 August 2021
• Jiacheng Chen: "Measuring Innovation: possible factors and the data envelopment analysis". Public presentation of the MScQF thesis.


• Workshop 22: 8 June 2021
• Wenxuan Zhang: "Option pricing with stochastic volatility model versus machine learning algorithms". Public presentation of the MScQF thesis.


• 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 G�l: "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 Gr�newald: "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 W�lchli.


• 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".