Walter Farkas

University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance

Professor for Quantitative Finance

Plattenstrasse 14

CH-8032 Zurich, Zurich 8032

Switzerland

http://https://people.math.ethz.ch/~farkas/

ETH Zürich - Department of Mathematics

ETH Zentrum HG-F 42.1

Raemistr. 101

CH-8092 Zurich, 8092

Switzerland

http://https://people.math.ethz.ch/~farkas/

SCHOLARLY PAPERS

16

DOWNLOADS
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5,644

CITATIONS
Rank 33,217

SSRN RANKINGS

Top 33,217

in Total Papers Citations

6

Scholarly Papers (16)

1.

Operational Risk Quantification Using Extreme Value Theory and Copulas: From Theory to Practice

Journal of Operational Risk, 3 (2009), 1--24.
Number of pages: 30 Posted: 15 Jul 2008 Last Revised: 27 Nov 2013
Donato Abbate, Elise Gourier and Walter Farkas
Deloitte AG, Risk and Performance Management Group, Queen Mary, University of London and University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance
Downloads 752 (21,640)
Citation 3

Abstract:

Extreme Value Theory, Copula Theory, Value-at-Risk, Sub-additivity, Coherence

2.

Local Volatility of Volatility for the VIX Market

Review of Derivatives Research, 16(3), 267-293, (2013)
Number of pages: 27 Posted: 11 Dec 2011 Last Revised: 09 Oct 2013
Gabriel G. Drimus and Walter Farkas
Institute of Banking and Finance, University of Zürich and University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance
Downloads 644 (26,122)
Citation 1

Abstract:

VIX futures, VIX options, volatility of volatility, volatility derivatives

3.

American Options with Stopping Time Constraints

Number of pages: 19 Posted: 12 Sep 2005
Daniel Egloff, Markus Leippold and Walter Farkas
QuantAlea GmbH, University of Zurich - Department of Banking and Finance and University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance
Downloads 620 (31,082)
Citation 1

Abstract:

American options, optimal stopping under constraints, out-performance options, management options

Valuation of Options on Discretely Sampled Variance: A General Analytic Approximation

The Journal of Computational Finance, Forthcoming
Number of pages: 33 Posted: 04 Nov 2010 Last Revised: 10 Aug 2014
Gabriel G. Drimus, Walter Farkas and Elise Gourier
Institute of Banking and Finance, University of Zürich, University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance and Queen Mary, University of London
Downloads 425 (55,233)

Abstract:

options on realized variance, variance swaps, stochastic volatility, Monte Carlo

Valuation of Options on Discretely Sampled Variance: A General Analytic Approximation

Journal of Computational Finance, Vol. 20, No. 2, 2016
Number of pages: 28 Posted: 14 Jun 2016
Gabriel G. Drimus, Walter Farkas and Elise Gourier
Institute of Banking and Finance, University of Zürich, University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance and Queen Mary, University of London
Downloads 0
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Abstract:

options on realized variance, variance swaps, stochastic volatility, discrete sampling, numerical pricing methods

5.

A General Closed Form Option Pricing Formula

Swiss Finance Institute Research Paper No. 15-53
Number of pages: 38 Posted: 02 Feb 2013 Last Revised: 17 Jun 2017
Ciprian Necula, Gabriel G. Drimus and Walter Farkas
University of Zurich - Department of Banking and Finance, Institute of Banking and Finance, University of Zürich and University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance
Downloads 373 (32,413)

Abstract:

European options, expansion-based approximation of risk-neutral density, Gauss-Hermite series expansion, calibration

6.

Measuring Risk with Multiple Eligible Assets

Mathematics and Financial Economics, 9 (2015)
Number of pages: 28 Posted: 25 Jan 2012 Last Revised: 05 Nov 2015
Walter Farkas, Pablo Koch-Medina and Cosimo Munari
University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 307 (68,941)

Abstract:

risk measures, multiple eligible assets, acceptance sets, dual representations, set-valued risk measures, superhedging with shortfall risk, optimal risk sharing

7.

Anisotropic Stable Levy Copula Processes - Analysis and Numerical Pricing Methods

Number of pages: 32 Posted: 17 May 2006
Walter Farkas and Christoph Schwab
University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance and ETH Zürich - Department of Mathematics
Downloads 297 (83,453)

Abstract:

Levy-copula, Levy processes, Pseudo-differential Operators, Wavelet Finite Element Methods

8.

Capital Requirements with Defaultable Securities

Insurance: Mathematics and Economics, 55 (2014), Swiss Finance Institute Research Paper No. 13-66
Number of pages: 24 Posted: 01 Dec 2011 Last Revised: 11 Mar 2014
Walter Farkas, Pablo Koch-Medina and Cosimo Munari
University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 212 (111,293)
Citation 1

Abstract:

acceptance sets, eligible asset, risk measures, capital adequacy, capital efficiency, Value-at-Risk, Tail Value-at-Risk

9.

Smooth and Bid-Offer Compliant Volatility Surfaces Under General Dividend Streams

Quantitative Finance, Vol. 13, No. 11, 1801–1812, (2013), Swiss Finance Institute Research Paper No. 13-68,
Number of pages: 26 Posted: 08 Nov 2012 Last Revised: 23 Dec 2013
Olivier Bachem, Gabriel G. Drimus and Walter Farkas
ETH Zürich - Department of Mathematics, Institute of Banking and Finance, University of Zürich and University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance
Downloads 185 (105,189)

Abstract:

implied volatility surface, risk neutral density, discrete dividends

10.

Beyond Cash-Additive Risk Measures: When Changing the Numeraire Fails

Finance Stochastics, 18(1), 145-173 (2014), Swiss Finance Institute Research Paper No. 13-67
Number of pages: 26 Posted: 09 May 2012 Last Revised: 11 Mar 2014
Walter Farkas, Pablo Koch-Medina and Cosimo Munari
University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 173 (130,506)

Abstract:

risk measures, acceptance sets, general eligible assets, defaultable bonds, cash subadditivity, quasiconvexity, Value-at-Risk, Tail Value-at-Risk, shortfall risk

11.

Capital Levels and Risk-Taking Propensity in Financial Institutions

Swiss Finance Institute Research Paper No. 13-33
Number of pages: 11 Posted: 08 Jun 2013
Swiss Finance Institute at the University of Lugano, University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 138 (148,007)

Abstract:

risk propensity, net tangible value, default option, franchise value

12.

Closed Form Option Pricing Under Generalized Hermite Expansions

Number of pages: 15 Posted: 05 Nov 2013
Gabriel G. Drimus, Ciprian Necula and Walter Farkas
Institute of Banking and Finance, University of Zürich, University of Zurich - Department of Banking and Finance and University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance
Downloads 115 (135,711)

Abstract:

European options, generalized Hermite series expansion, calibration

13.

The Dynamics of Heterogeneity and Asset Prices

Swiss Finance Institute Research Paper No. 17-21
Number of pages: 36 Posted: 24 May 2017
Walter Farkas and Ciprian Necula
University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 0 (396,620)

Abstract:

heterogeneity, asset prices, beliefs, pure-exchange economy, measure-valued stochastic process

14.

Intrinsic Risk Measures

Swiss Finance Institute Research Paper No. 16-65
Number of pages: 28 Posted: 09 Nov 2016 Last Revised: 18 Nov 2016
Walter Farkas and Alexander Smirnow
University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 0 (143,438)

Abstract:

intrinsic risk measures, monetary risk measures, acceptance sets, coherence, conicity, quasi-convexity, value at risk

15.

Herding and Stochastic Volatility

Swiss Finance Institute Research Paper No. 15-59
Number of pages: 33 Posted: 05 Nov 2015 Last Revised: 27 Mar 2017
Walter Farkas, Ciprian Necula and Boris Waelchli
University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 0 (206,074)

Abstract:

herding, non-affine option pricing model, Gauss-Hermite expansion

16.

A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing

Journal of Banking and Finance, Forthcoming, Swiss Finance Institute Research Paper No. 15-54
Number of pages: 41 Posted: 25 Oct 2015 Last Revised: 26 Jan 2017
University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance, Queen Mary, University of London, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 0 (92,746)

Abstract:

Commodities, Cointegration, Futures, Option Pricing, Spread Options, Spark Spread, Crack Spread