University of Zurich, Department of Banking and Finance
Plattenstrasse 14
CH-8032 Zurich, Zurich 8032
Switzerland
+41-44-634 3953 (Phone)
+41-44-634 4345 (Fax)
email address
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ETH Zürich - Department of Mathematics
ETH Zentrum HG-F 42.1
Raemistr. 101
CH-8092 Zurich, 8092
Switzerland
email address
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Farkas, Walter's
Scholarly Papers
Click on the title of any column to sort the table by that
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Aggregate Statistics |
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Total
Downloads
2,735 |
Total
Citations
7 |
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1.
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Abbate, Donato
affiliation not provided to SSRN Gourier, Elise
Swiss Finance Institute Farkas, Walter
University of Zurich, Department of Banking and Finance
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641
(18,161)
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3
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Extreme Value Theory, Copula Theory, Value-at-Risk, Sub-additivity, Coherence
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2.
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Egloff, Daniel
QuantAlea GmbH Leippold, Markus
University of Zurich - Department of Banking and Finance Farkas, Walter
University of Zurich, Department of Banking and Finance
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564
(21,751)
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1
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American options, optimal stopping under constraints, out-performance options, management options
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3.
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Drimus, Gabriel G.
Institute of Banking and Finance, University of Zürich Farkas, Walter
University of Zurich, Department of Banking and Finance
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11 Dec 11
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Last Revised:
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19 Dec 12
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348
(40,473)
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VIX futures, VIX options, volatility of volatility, volatility derivatives
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4.
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Farkas, Walter
University of Zurich, Department of Banking and Finance Schwab, Christoph
Swiss Federal Institute of Technology Zurich - Department of Mathematics
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283
(51,644)
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Levy-copula, Levy processes, Pseudo-differential Operators, Wavelet Finite Element Methods
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5.
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Drimus, Gabriel G.
Institute of Banking and Finance, University of Zürich Farkas, Walter
University of Zurich, Department of Banking and Finance
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04 Nov 10
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Last Revised:
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17 Oct 12
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226
(66,031)
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1
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options on realized variance, variance swaps, stochastic volatility, Monte Carlo
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6.
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Farkas, Walter
University of Zurich, Department of Banking and Finance Koch Medina, Pablo
Swiss Reinsurance Company Munari, Cosimo-Andrea
Swiss Federal Institute of Technology Zurich - Department of Mathematics
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25 Jan 12
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Last Revised:
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13 Sep 12
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217
(69,216)
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1
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acceptance sets, multiple eligible assets, capital adequacy, risk measures, Value-at-Risk, Tail Value-at-Risk, acceptability arbitrage
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7.
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Farkas, Walter
University of Zurich, Department of Banking and Finance Koch Medina, Pablo
Swiss Reinsurance Company Munari, Cosimo-Andrea
Swiss Federal Institute of Technology Zurich - Department of Mathematics
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01 Dec 11
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Last Revised:
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18 May 13
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154
(96,260)
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1
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acceptance sets, eligible asset, risk measures, capital adequacy, capital efficiency, Value-at-Risk, Tail Value-at-Risk
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8.
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Necula, Ciprian
Bucharest Academy of Economic Studies Drimus, Gabriel G.
Institute of Banking and Finance, University of Zürich Farkas, Walter
University of Zurich, Department of Banking and Finance
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151
(99,207)
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European options, Gauss-Hermite series expansion, calibration
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9.
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Farkas, Walter
University of Zurich, Department of Banking and Finance Koch Medina, Pablo
Swiss Reinsurance Company Munari, Cosimo-Andrea
Swiss Federal Institute of Technology Zurich - Department of Mathematics
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09 May 12
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Last Revised:
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22 Mar 13
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97
(139,089)
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ordered topological vector spaces, Fréchet and Banach lattices, acceptance sets, single eligible asset, risk measures, capital adequacy, value-at-risk, tail value-at-risk
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10.
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Bachem, Olivier
Swiss Federal Institute of Technology Zurich - Department of Mathematics Drimus, Gabriel G.
Institute of Banking and Finance, University of Zürich Farkas, Walter
University of Zurich, Department of Banking and Finance
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54
(193,735)
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implied volatility surface, risk neutral density, discrete dividends
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Records 1 -
10
of 10 matches
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