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   Prof. Dr. Erich Walter Farkas
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    Thesis supervision 2008 - 2014 Team Farkas, Huitema, Munari, Drimus

• Master of Science (M.Sc.) UZH ETH in Quantitative Finance
  Thesis supervised
  1. Pricing and Hedging Contingent Convertible Bonds, September 2014
     author: Pawel Obara
  2. Trade-level CVA allocation, October 2013
     author: Benjamin Groth
  3. Law-invariant risk measures, June 2013
     author: Luca Trovato
  4. The use of Financial Networks in a Multi-Factor Pricing Model, May 2013
     author: Alexey Fedotov
  5. The detection of bubbles with the FTS-GARCH model and extensions, May 2013
     author: Martin Pleischl
  6. Study and calibration of a LIBOR forward swap model with stochastic volatility, March 2013
     author: Giorgio Mori
  7. Active Management of Delta Portfolio, December 2012
     author: Danting Liu
  8. Trend and Mean Reversion Modelling in a Market with Heterogeneous Investors, November 2012
     author: Seth Tolev
  9. Pricing Variance Swaps and Corridor variance Swaps under General Dividend Streams, July 2012
     author: Olivier Bachem
  10. Pricing and Hedging Counterparty Credit Risk, July 2012
      author: Luca Dominedo
  11. Co-integration in Commodity Markets, May 2012
      author: Dandan Zhao
  12. Stochastic Volatility Modeling in Energy Markets, May 2012
      author: Cora Drimus
  13. Prediction of derivatives prices using Greeks, September 2011
      author: Christian Raemy
  14. Real-rate swaptions: pricing and calibration, July 2011
      author: William Vettorato
  15. Empirical analysis of FI products: the role of interest rates and spread duration in ALM, June 2011
      author: Kinga Kaczmarek
  16. Optimal execution with permanent market impact, April 2011
      author: Nico Achtsis
  17. CDO pricing via stochastic filtering, September 2010
      author: Inna Shkodrova
  18. Dependence in commodity markets, July 2010
      author: Kai Schönle
  19. Economic capital assessment via copulas, March 2010
      author: Olivier Panchaud
  20. On the mathematical foundations of the Froot-Stein model, March 2010
      author: Enrique Loubet
  21. Modeling operational risk using extreme-value theory and copulas, March 2008
      author: Elise Gourier
• Master of Arts (M.A.) Banking and Finance UZH
  Thesis supervised
  1. Co-Integration in Commodity Markets, September 2014
     author: Gaetan Jacot
  2. Negative Interest Rates: Empirical Study, August 2014
     author: Maria Ossowska
  3. How to Fight White Color Crime in the German-speaking Area, April 2014
     author: Moreno Gasser
  4. Corporate Risk Management, October 2013
     author: Polina Ivanova
  5. Interessenkonflikte unabhängiger Vermögensverwaltungen in der Schweiz, July 2013
     author: Olivia Burki
• Licentiate in Economics UZH
  Thesis supervised
  1. Cross-Sectional Approach in a Trend-Follower Strategy: Momentum within and Across Asset Classes, July 2011
     author: Dino Lüssi
  2. Beschaffungsrichtlinie - Planung, Beschaffung, Abwicklung, July 2011
     author: Renato Angelico
  3. Performance attribution of convertible bond portfolios, July 2011
     author: Petar Ilic
  4. Euler capital allocation and coherent risk measures, March 2010
     author: Jan Mysicka
• Master of Science (M.Sc.) Mathematics ETH
  Thesis supervised
  1. Interest Rate Derivatives, Pricing and Hedging, September 2014
     author: Alexandre Villard
  2. No arbitrage conditions on general topological spaces, August 2013
     author: Giada Bordogna
  3. Stability properties of risk measures, August 2013
     author: Nathalie Schenk
  4. Risk Measures in Market Models with Transaction Costs, February 2013
     author: Mariangela Rizzo
  5. Risk measures on Orlicz spaces, August 2012
     author: Stephanie Müller
  6. Hedge Fund Fraud prediction using classification algorithms, February 2011
     author: Anastasia Filimon
  7. Bayesian filtering for volatility estimation, September 2010
     author: Jens Hinrichsen
• Bachelor of Science (B.Sc.) Mathematics ETH
  Thesis supervised
  1. Risk Measures and Capital Requirements, June 2012
     author: Sara Svaluto-Ferro
• Semester assignments
  Supervised
  1. A short note on indifference pricing, July 2013
     author: Alexandre Villard
  2. Value-at-Risk and Tail Value-at-Risk: A Comparison Study, June 2012
     author: Jarno Hartog