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

SCHOLARLY PAPERS

21

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7,689

SSRN CITATIONS
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Top 23,799

in Total Papers Citations

16

CROSSREF CITATIONS

25

Scholarly Papers (21)

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 1,060 (26,620)
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
University of Zurich - Department of Banking and Finance, Institute of Banking and Finance, University of Zürich and University of Zurich - Department of Banking and Finance
Downloads 925 (32,288)
Citation 3

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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 914 (32,871)
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 703 (46,973)
Citation 1

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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 - Department of Banking and Finance and ESSEC Business School
Downloads 475 (76,530)
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.

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 403 (93,725)
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

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
University of Zurich - Department of Banking and Finance, ESSEC Business School, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 393 (96,424)
Citation 2

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

8.

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 364 (105,265)
Citation 2

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intrinsic risk measures, monetary risk measures, acceptance sets, coherence, conicity, quasi-convexity, 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 - Department of Banking and Finance
Downloads 353 (109,595)

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implied volatility surface, risk neutral density, discrete dividends

10.

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 315 (123,390)
Citation 1

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

11.

Closed Form Option Pricing Under Generalized Hermite Expansions

Number of pages: 15 Posted: 05 Nov 2013 Last Revised: 21 Mar 2018
Institute of Banking and Finance, University of Zürich, 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 283 (138,122)
Citation 2

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European options, generalized Hermite series expansion, calibration

12.

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 254 (154,223)
Citation 1

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

13.

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 231 (169,109)
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

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, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 202 (191,892)
Citation 2

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

15.

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
University of Lugano, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 195 (198,057)

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

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 194 (198,959)
Citation 1

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

17.

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
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 ScienceBerninaRe Ltd. and University of Zurich - Department of Banking and Finance
Downloads 131 (275,872)

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

18.

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 110 (313,007)
Citation 2

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

19.

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 University of Zurich - Department of Banking and Finance
Downloads 104 (325,208)

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

20.

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 80 (383,172)

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

21.

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