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Walter Farkas

SSRN Author Rank: 6,637 by Downloads and 32,884 by Citations

 

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
 

Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute


 c/o University of Geneve
 40, Bd du Pont-d'Arve
 1211 Geneva, CH-6900
 Switzerland
 email address

 

ETH Zürich - Department of Mathematics


 ETH Zentrum HG-F 42.1
 Raemistr. 101
 CH-8092 Zurich, 8092
 Switzerland
 email address

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. Walter Farkas's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
4,873
Total
Citations
6
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Abbate, Donato
Deloitte AG, Risk and Performance Management Group
Gourier, Elise
Queen Mary, University of London
Farkas, Walter
University of Zurich, Department of Banking and Finance
Posted:
15 Jul 08
Last Revised:
27 Nov 13
752
(20,325)
3

2.  
Local Volatility of Volatility for the VIX Market | Show Abstract | Download This Paper | Open PDF in Browser |
Review of Derivatives Research, 16(3), 267-293, (2013)
Number of Pages in PDF File: 27
Drimus, Gabriel G.
Institute of Banking and Finance, University of Zürich
Farkas, Walter
University of Zurich, Department of Banking and Finance
Posted:
11 Dec 11
Last Revised:
09 Oct 13
644
(25,377)
1

3.  
Egloff, Daniel
QuantAlea GmbH
Leippold, Markus
University of Zurich - Department of Banking and Finance
Farkas, Walter
University of Zurich, Department of Banking and Finance
Posted:
12 Sep 05
620
(28,477)
1

4.   Incl. Electronic Paper
Drimus, Gabriel G.
Institute of Banking and Finance, University of Zürich
Farkas, Walter
University of Zurich, Department of Banking and Finance
Gourier, Elise
Queen Mary, University of London
Posted:
04 Nov 10
Last Revised:
14 Jun 16
398
(52,829)
 

5.  
A General Closed Form Option Pricing Formula | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 15-53
Number of Pages in PDF File: 37
Necula, Ciprian
University of Zurich - Department of Banking and Finance
Drimus, Gabriel G.
Institute of Banking and Finance, University of Zürich
Farkas, Walter
University of Zurich, Department of Banking and Finance
Posted:
02 Feb 13
Last Revised:
21 Mar 16
373
(38,211)
 

6.  
Measuring Risk with Multiple Eligible Assets | Show Abstract | Download This Paper | Open PDF in Browser |
Mathematics and Financial Economics, 9 (2015)
Number of Pages in PDF File: 28
Farkas, Walter
University of Zurich, Department of Banking and Finance
Koch-Medina, Pablo
University of Zurich - Department of Banking and Finance
Munari, Cosimo
University of Zurich - Department of Banking and Finance
Posted:
25 Jan 12
Last Revised:
05 Nov 15
307
(65,853)
 

7.  
Farkas, Walter
University of Zurich, Department of Banking and Finance
Schwab, Christoph
ETH Zürich - Department of Mathematics
Posted:
17 May 06
297
(73,623)
 

8.  
Capital Requirements with Defaultable Securities | Show Abstract | Download This Paper | Open PDF in Browser |
Insurance: Mathematics and Economics, 55 (2014), Swiss Finance Institute Research Paper No. 13-66
Number of Pages in PDF File: 24
Farkas, Walter
University of Zurich, Department of Banking and Finance
Koch-Medina, Pablo
University of Zurich - Department of Banking and Finance
Munari, Cosimo
University of Zurich - Department of Banking and Finance
Posted:
01 Dec 11
Last Revised:
11 Mar 14
212
(100,040)
1

9.  
Smooth and Bid-Offer Compliant Volatility Surfaces Under General Dividend Streams | Show Abstract | Download This Paper | Open PDF in Browser |
Quantitative Finance, Vol. 13, No. 11, 1801–1812, (2013), Swiss Finance Institute Research Paper No. 13-68,
Number of Pages in PDF File: 26
Bachem, Olivier
ETH Zürich - Department of Mathematics
Drimus, Gabriel G.
Institute of Banking and Finance, University of Zürich
Farkas, Walter
University of Zurich, Department of Banking and Finance
Posted:
08 Nov 12
Last Revised:
23 Dec 13
185
(104,655)
 

10.  
Beyond Cash-Additive Risk Measures: When Changing the Numeraire Fails | Show Abstract | Download This Paper | Open PDF in Browser |
Finance Stochastics, 18(1), 145-173 (2014), Swiss Finance Institute Research Paper No. 13-67
Number of Pages in PDF File: 26
Farkas, Walter
University of Zurich, Department of Banking and Finance
Koch-Medina, Pablo
University of Zurich - Department of Banking and Finance
Munari, Cosimo
University of Zurich - Department of Banking and Finance
Posted:
09 May 12
Last Revised:
11 Mar 14
173
(119,553)
 

11.  
Capital Levels and Risk-Taking Propensity in Financial Institutions | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 13-33
Number of Pages in PDF File: 11
Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano
Farkas, Walter
University of Zurich, Department of Banking and Finance
Koch-Medina, Pablo
University of Zurich - Department of Banking and Finance
Posted:
08 Jun 13
138
(139,192)
 

12.  
Drimus, Gabriel G.
Institute of Banking and Finance, University of Zürich
Necula, Ciprian
University of Zurich - Department of Banking and Finance
Farkas, Walter
University of Zurich, Department of Banking and Finance
Posted:
05 Nov 13
115
(148,113)
 

13.  
Herding and Stochastic Volatility | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 15-59
Number of Pages in PDF File: 32
Farkas, Walter
University of Zurich, Department of Banking and Finance
Necula, Ciprian
University of Zurich - Department of Banking and Finance
Waelchli, Boris
University of Zurich - Department of Banking and Finance
Posted:
05 Nov 15
0
(229,155)
 

14.  
Farkas, Walter
University of Zurich, Department of Banking and Finance
Gourier, Elise
Queen Mary, University of London
Huitema, Robert
University of Zurich - Department of Banking and Finance
Necula, Ciprian
University of Zurich - Department of Banking and Finance
Posted:
25 Oct 15
Last Revised:
10 Jun 16
0
(131,953)
 


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