Walter Farkas

University of Zurich - Department of Banking and Finance

Professor for Quantitative Finance

Schönberggasse 1

Zürich, 8001

Switzerland

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

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

ETH Zürich

Rämistrasse 101

ZUE F7

Zürich, 8092

Switzerland

  • University of Zurich - Department of Banking and Finance

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    • Tel: +41-44-634 3953
    • Fax: +41-44-634 4345

  • ETH Zürich

SCHOLARLY PAPERS

22

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24

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23

Scholarly Papers (22)

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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, ESSEC Business School and University of Zurich - Department of Banking and Finance
Downloads 1,179 (29,134)
Citation 9

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

2.

A General Closed Form Option Pricing Formula

Review of Derivatives Research, 22 (1), 1-40, (2019) , Swiss Finance Institute Research Paper No. 15-53
Number of pages: 41 Posted: 02 Feb 2013 Last Revised: 04 Jan 2020
Ciprian Necula, Gabriel G. Drimus and Walter Farkas
Bucharest University of Economic Studies, Department of Money and Banking, Institute of Banking and Finance, University of Zürich and University of Zurich - Department of Banking and Finance
Downloads 997 (37,009)
Citation 2

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

3.

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 - Department of Banking and Finance
Downloads 949 (39,710)
Citation 4

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

4.

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 and University of Zurich - Department of Banking and Finance
Downloads 738 (55,896)
Citation 1

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

5.

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

Downloads 514 (88,620)
Citation 5

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 - Department of Banking and Finance and ESSEC Business School
Downloads 514 (87,685)
Citation 3

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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 - Department of Banking and Finance and ESSEC Business School
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options on realized variance, variance swaps, stochastic volatility, discrete sampling, numerical pricing methods

6.

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 - Department of Banking and Finance
Downloads 468 (99,244)

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implied volatility surface, risk neutral density, discrete dividends

7.

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

Journal of Banking and Finance, 77, 249-268, (2017), Swiss Finance Institute Research Paper No. 15-54
Number of pages: 41 Posted: 25 Oct 2015 Last Revised: 16 Oct 2020
Walter Farkas, Elise Gourier, Robert Huitema and Ciprian Necula
University of Zurich - Department of Banking and Finance, ESSEC Business School, University of Zurich - Department of Banking and Finance and Bucharest University of Economic Studies, Department of Money and Banking
Downloads 440 (106,797)
Citation 2

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

8.

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 - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 422 (112,104)
Citation 1

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

9.

Intrinsic Risk Measures

Swiss Finance Institute Research Paper No. 16-65
Number of pages: 19 Posted: 09 Nov 2016 Last Revised: 16 Jan 2018
Walter Farkas and Alexander Smirnow
University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 401 (118,976)
Citation 2

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

10.

Pricing Autocallables under Local-Stochastic Volatility

Swiss Finance Institute Research Paper No. 22-71, Frontiers of Mathematical Finance, Vol. 1, No. 4, December 2022, pp. 575-610
Number of pages: 38 Posted: 12 Sep 2022 Last Revised: 09 Jan 2023
Walter Farkas, Francesco Ferrari and Urban Ulrych
University of Zurich - Department of Banking and Finance, University of Zurich and École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 362 (135,182)

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Exotic Derivatives Pricing, Local-Stochastic Volatility, Implied Volatility Smile Dynamics, Barrier Reverse Convertibles, Quasi-Monte Carlo Methods.

11.

Closed Form Option Pricing Under Generalized Hermite Expansions

Number of pages: 15 Posted: 05 Nov 2013 Last Revised: 21 Mar 2018
Gabriel G. Drimus, Walter Farkas, Ciprian Necula and Anastasiia Sokko
Institute of Banking and Finance, University of Zürich, University of Zurich - Department of Banking and Finance, Bucharest University of Economic Studies, Department of Money and Banking and University of Zurich, Department of Banking and Finance
Downloads 330 (147,599)
Citation 2

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European options, generalized Hermite series expansion, calibration

12.

Anisotropic Stable Levy Copula Processes - Analytical and Numerical Aspects

Mathematical Models and Methods in Applied Sciences Vol. 17, No. 9 (2007) 1405–1443
Number of pages: 39 Posted: 17 May 2006 Last Revised: 08 Jan 2018
Walter Farkas, Nils Reich and Christoph Schwab
University of Zurich - Department of Banking and Finance, ETH Zürich - Department of Mathematics and ETH Zürich - Department of Mathematics
Downloads 326 (149,519)
Citation 1

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

13.

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 - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 266 (184,749)
Citation 1

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

14.

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 - Department of Banking and Finance, Bucharest University of Economic Studies, Department of Money and Banking and University of Zurich - Department of Banking and Finance
Downloads 256 (191,915)
Citation 2

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

15.

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 - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 249 (197,333)
Citation 3

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

16.

Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps

Swiss Finance Institute Research Paper No. 19-76, Forthcoming, Mathematical Finance
Number of pages: 50 Posted: 02 Jan 2020 Last Revised: 12 Jan 2021
Walter Farkas, Ludovic Mathys and Nikola Vasiljevic
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich, Department of Banking and Finance
Downloads 222 (220,429)

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Intra-Horizon Risk, Value at Risk, Expected Shortfall, Levy Processes, Hyper-Exponential Distribution, Risk Decomposition

17.

Capital Levels and Risk-Taking Propensity in Financial Institutions

Accounting and Finance Research, 3 (1), 85-89, (2014) , Swiss Finance Institute Research Paper No. 13-33
Number of pages: 11 Posted: 08 Jun 2013 Last Revised: 09 Jan 2020
Giovanni Barone-Adesi, Walter Farkas and Pablo Koch-Medina
University of Lugano, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 211 (231,215)

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

18.

Optimal Risk-Sharing Across a Network of Insurance Companies

Insurance: Mathematics and Economics, 95, 39-47 (2020), Swiss Finance Institute Research Paper No. 20-52
Number of pages: 23 Posted: 29 Jun 2020 Last Revised: 09 Sep 2020
Nicolas Ettlin, Walter Farkas, Andreas Kull and Alexander Smirnow
University of Basel, Actuarial Science, Department of Mathematics and Computer Science, University of Zurich - Department of Banking and Finance, University of Basel, Actuarial Science, Department of Mathematics and Computer Science and University of Zurich - Department of Banking and Finance
Downloads 178 (269,158)

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risk transfer, risk-based capital, reinsurance, return optimisation, conditional expected shortfall

19.

Geometric Step Options with Jumps: Parity Relations, PIDEs, and Semi-Analytical Pricing

Swiss Finance Institute Research Paper No. 20-11
Number of pages: 49 Posted: 11 Mar 2020 Last Revised: 18 Mar 2020
Walter Farkas and Ludovic Mathys
University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 131 (346,210)
Citation 1

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Geometric Step Options, American-Type Options, Lévy Markets, Jump-Diffusion Disentanglement, Maturity-Randomization

20.

The Dynamics of Heterogeneity and Asset Prices

Swiss Finance Institute Research Paper No. 17-76
Number of pages: 38 Posted: 24 May 2017 Last Revised: 09 Mar 2018
Walter Farkas and Ciprian Necula
University of Zurich - Department of Banking and Finance and Bucharest University of Economic Studies, Department of Money and Banking
Downloads 125 (358,512)

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

21.

A Cost-Benefit Analysis of Capital Requirements Adjusted for Model Risk

Swiss Finance Institute Research Paper No. 20-86, Journal of Corporate Finance, Forthcoming
Number of pages: 44 Posted: 13 Oct 2020 Last Revised: 16 Oct 2020
Walter Farkas, Fulvia Fringuellotti and Radu Tunaru
University of Zurich - Department of Banking and Finance, Federal Reserve Banks - Federal Reserve Bank of New York and University of Sussex
Downloads 123 (362,840)

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Basel framework, capital requirements, cost-benefit analysis, model risk

22.

Volatility Dependent Structured Products

Swiss Finance Institute Research Paper No. 19-64, Forthcoming in The Journal of Investing
Posted: 23 Dec 2019 Last Revised: 23 Nov 2020
Artem Dyachenko, Walter Farkas and Marc Oliver Rieger
University of Trier - Faculty of Economics, University of Zurich - Department of Banking and Finance and University of Trier

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asset pricing, structured products, derivatives