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Prof. Dr. Erich Walter Farkas - Publikationen

Professor of Quantitative Finance
Program Director MSc UZH ETH in Quantitative Finance

@sakraf.retlawbf.uzh.ch
PLM-H304A, Plattenstr. 14, 8032 Zürich
+41 44 634 39 53
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Journal Articles (25)

A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing
Erich Walter Farkas, Elise Gourier, Robert Huitema, Ciprian Necula
In: Journal of Banking and Finance, Vol. 77, p. 249-268, April 2017.


Valuations of options on discretely sampled variance: A general analytic approximation
Gabriel Drimus, Erich Walter Farkas, Elise Gourier
In: Journal of Computational Finance, Vol. 20(2), p. 39-66, 2016.


Measuring risk with multiple eligible assets
Erich Walter Farkas, Pablo Koch Medina, Cosimo-Andrea Munari
In: Mathematics and Financial Economics, Vol. 9 (No. 1), p. 3-27, Januar 2015.


Akkurate Messung der Portfoliorisiken im Pensionskassengeschäft
Erich Walter Farkas, Sandro Schmid
In: Schweizerische Zeitschrift für Sozialversicherung und berufliche Vorsorge, Vol. 59 (No. 5), p. 406-414, 2015.


Capital levels and risk-taking propensity in financial institutions
Giovanni Barone-Adesi, Erich Walter Farkas, Pablo Koch Medina
In: Accounting and Finance Research, Vol. 3 (No. 1), p. 85-89, Januar 2014.


Capital Requirements with Defaultable Securities
Erich Walter Farkas, Cosimo-Andrea Munari, Pablo Koch Medina
In: Insurance: Mathematics and Economics, Vol. 55, p. 58-67, 2014.


Beyond cash-additive risk measures: When changing the numeraire fails
Erich Walter Farkas, Pablo Koch Medina, Cosimo-Andrea Munari
In: Finance and Stochastics, Vol. 18 (No. 1), p. 145-173, November 2013.


Local volatility of volatility for the VIX market
Gabriel Drimus, Erich Walter Farkas
In: Review of Derivatives Research, Vol. 16 (No. 3), p. 267-293, 2013.


Smooth and Bid-Offer Compliant Volatility Surfaces Under General Dividend Streams
Olivier Bachem, Gabriel Drimus, Erich Walter Farkas
In: Quantitative Finance, Vol. 13 (No. 11), p. 1801-1812, 2013.


Operational risk quantification using extreme value theory and copulas: from theory to practice
Elise Gourier, Donato Abbate, Erich Walter Farkas
In: The Journal of Operational Risk, Vol. 4 (No. 3), p. 1-24, 2009.


Anisotropic stable Levy copula processes-analytical and numerical aspects
Erich Walter Farkas, N Reich, C Schwab
In: Mathematical Models and Methods in Applied Sciences, Vol. 17 (No. 9), p. 1405-1443, 2007.


Characterisations of function spaces of generalized smoothness
Erich Walter Farkas, H G Leopold
In: Annali di Matematica Pura ed Applicata, Vol. 185, p. 1-62, 2006.


Local growth envelopes of Besov spaces of generalized smoothness
Antonio M. Caetano, Erich Walter Farkas
In: Zeitschrift für Analysis und ihre Anwendungen, Vol. 25 (No. 3), p. 265-298, 2006.


On the Hartree-Fock equations of the electron-positron field
J M Barbaroux, Erich Walter Farkas, B Helffer, H Siedentop
In: Communications in Mathematical Physics, Vol. 255 (No. 1), p. 131-159, 2005.


Eigenvalue distribution of some fractal semi-elliptic differential operators
Erich Walter Farkas
In: Mathematische Zeitschrift, Vol. 236 (No. 2), p. 291-320, 2001.


Sobolev spaces on non-smooth domains and Dirichlet forms related to subordinate reflecting diffusions
Erich Walter Farkas, Niels Jacob
In: Mathematische Nachrichten, Vol. 224 (No. 1), p. 75-104, 2001.


Feller semigroups, Lp-sub-Markovian semigroups, and applications to pseudo-differential operators with negative definite symbols
Erich Walter Farkas, Niels Jacob, Rene L Schilling
In: Forum Mathematicum, Vol. 13 (No. 1), p. 59-90, 2001.


Function Spaces Related to Continuous Negative Definite Functions: Psi-Bessel Potential Spaces
Erich Walter Farkas, N Jacob, R L Schilling
In: Dissertationes Mathematicae, Vol. 393, p. 1-63, 2001.


Atomic and subatomic decompositions in anisotropic function spaces
Erich Walter Farkas
In: Mathematische Nachrichten, Vol. 209, p. 83-113, 2000.


Traces of Anisotropic Besov-Lizorkin-Triebel Spaces: A Complete Treatment of the Borderline Cases
Erich Walter Farkas, J Johnsen, W Sickel
In: Mathematica Bohemica, Vol. 125 (No. 1), p. 1-37, 2000.


The distribution of eigenfrequencies of anisotropic fractal drums
Erich Walter Farkas, H Triebel
In: Journal of the London Mathematical Society, Vol. 60 (No. 01), p. 224-236, 1999.


The behaviour of the eigenvalues for a class of operators related to some self-affine fractals in R^2
Erich Walter Farkas
In: Zeitschrift für Analysis und ihre Anwendungen, Vol. 18 (No. 4), p. 875-893, 1999.


An embedding result for generalized Orlicz-Sobolev spaces
Erich Walter Farkas
In: Revue Roumaine de Mathématiques Pures et Appliquées, Vol. 42 (No. 7/8), p. 555-565, 1997.


On the sharpness of the Orlicz-Sobolev imbedding theorem
Erich Walter Farkas
In: Revue Roumaine de Mathématiques Pures et Appliquées, Vol. 41 (No. 5/6), p. 311-320, 1996.


A Calderon-Zygmund extension theorem for abstract Sobolev spaces
Erich Walter Farkas
In: Mathematical Reports, Vol. 47 (No. 5/6), p. 379-395, 1995.


Bücher (1)

Functional analysis - exercises and problems
Erich Walter Farkas, L. Pavel
Bucharest University Press, Bucharest, 1994.


Kapitel in Büchern (1)

The Impact of Cointegration on Commodity Spread Options
Erich Walter Farkas, Elise Gourier, Robert Huitema, Ciprian Necula
Herausgeber: Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst
In: Innovations in Derivatives Markets, Springer International Publishing, Cham, p. 421-435, 2016.


Habilitationen (1)

Dissertationen (1)

Anisotropic function spaces, fractals, and spectra of some elliptic and semi-elliptic differential operators
Erich Walter Farkas
Betreuer: H Triebel
Friedrich-Schiller-University of Jena, 1998.


Working Papers (7)

The Dynamics of Heterogeneity and Asset Prices
Erich Walter Farkas, Ciprian Necula
SSRN, No. 2973276, Mai 2017.


Intrinsic Risk Measures
Erich Walter Farkas, Alexander Smirnow
SSRN, No. 2866406, November 2016.


A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing
Erich Walter Farkas, Elise Gourier, Robert Huitema, Ciprian Necula
SSRN, No. 2679218, 2015.


Herding and Stochastic Volatility
Erich Walter Farkas, Ciprian Necula, Boris Waelchli
SSRN, No. 2685939, 2015.


A General Closed Form Option Pricing Formula
Ciprian Necula, Gabriel Drimus, Erich Walter Farkas
SSRN, No. 2210359, 2015.


Closed form option pricing under generalized hermite expansions
Gabriel Drimus, Ciprian Necula, Erich Walter Farkas
SSRN, No. 2349868, Oktober 2013.


American Options with Stopping Time Constraints
Erich Walter Farkas, Daniel Egloff, Markus Leippold
SSRN, No. 798124, 2005.


Sonstiger Forschungsoutput (3)

Intrinsic Risk Measure: The More Direct Path to the Acceptance Set
Erich Walter Farkas, Alexander Smirnow
2017.


Interest rate duration in the credit crisis
Erich Walter Farkas, K. Kaczmarek, P. Middelkamp
2011.


Zeitungsartikel (5)

Die Veränderungen in der Finanzwelt mitprägen
Erich Walter Farkas, Andrea Söldi
Tages-Anzeiger, 12 Dezember 2011.


Les aléas de l’évaluation des risques
Erich Walter Farkas, Elise Gourier
Le Temps, 25 August 2010.


Produits structurés: Comment éviter une nouvelle crise financière
Erich Walter Farkas, Elise Gourier
Banque et Finance, 1 Januar 2010.


Zukunft liegt in der Vergangenheit
Erich Walter Farkas, Elise Gourier
Handelszeitung, 28 Oktober 2009.


Un besoin de contrôle
Erich Walter Farkas
Le Temps, 30 März 2009.


Medienpräsenz (2)

HiddenLevers sorgt für Aufsehen in Zürich, der Welthauptstadt der Vermögensverwaltung
Betrifft: Erich Walter Farkas
GlobeNewswire, 28 Juni 2017.


Vom Reiz, mit dem Geld zu jonglieren
Betrifft: Erich Walter Farkas
Tagesanzeiger, 12 Dezember 2011.