Profilbild

Prof. Dr. Erich Walter Farkas - Supervised theses

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
vCard Details Team Teaching Publications Supervised theses Conferences

Dissertations (3)

Essays on Nonaffine Option Pricing and Random Forests in the Fields of Finance
Boris Wälchli
Supervisor(s): Erich Walter Farkas, Marc Paolella
University of Zurich, 2015.


Essays in Quantitative Finance
Robert Huitema
Supervisor(s): Erich Walter Farkas, Halil Mete Soner
University of Zurich, 2014.


Essays in quantitative finance
Erdinc Akyildirim
Supervisor(s): Erich Walter Farkas, Halil Mete Soner
University of Zurich, 2013.


Master Theses (59)

Optimal Hedging of FX Exposure for International Asset Allocation
Urban Ulrych
Supervisor(s): Erich Walter Farkas
University of Zurich, 2017.


Counterparty Risk Management for Central Counterparties after the Global Financial Crisis
Simon Skok
Supervisor(s): Erich Walter Farkas
University of Zurich, 2016.


Forecasting Financial Time Series Based on Sentiment Analysis
Ming Deng
Supervisor(s): Erich Walter Farkas
University of Zurich, 2016.


Risk measures: recent developments and new ideas
Alexander Smirnow
Supervisor(s): Erich Walter Farkas
University of Zurich, 2016.


Alternative Investments in Portfolio Optimization
Milan Cvetkovic
Supervisor(s): Erich Walter Farkas
University of Zurich, 2016.


Trade Finance and the New Normal: A Paradigm Shift in Financing and Trading
Valerio Frison
Supervisor(s): Erich Walter Farkas, Mo Mresse
University of Zurich, 2016.


Hedging in Commodity Market: an approach based on Co-integration
Min Feng
Supervisor(s): Erich Walter Farkas, Kevin Meyer
University of Zurich, 2016.


Volatility Models Applied in Energy Commodity Markets
Erika Jansson
Supervisor(s): Erich Walter Farkas, Werner Trabesinger
University of Zurich, 2016.


Portfolio Selection under the Geometric Mean-Downside Risk Framework
Michelle Kuehne
Supervisor(s): Erich Walter Farkas, Ciprian Necula
ETH, 2016.


Pricing Spread Options with Numerical and Analytic Approximations, A Comparative Analysis
Damian Tschirky
Supervisor(s): Erich Walter Farkas, Ciprian Necula, Fulvia Fringuellotti
ETH, 2016.


Impact of new OTC derivatives regulation on the buy side
Kristijan Milosavljevic
Supervisor(s): Erich Walter Farkas, Gerold Studer
University of Zurich, 2016.


Risk Classification for Structured Products for the Investor
Nazish Khan Ashfaq
Supervisor(s): Erich Walter Farkas, Gerold Studer
University of Zurich, 2016.


Market Implied Dependence Between Life and Market risk
Tatyana Soldatova
Supervisor(s): Erich Walter Farkas, Michel Dacorogna
University of Zurich, 2016.


Cybersecurity & Strategy Defense Measures in Swiss Companies
Nicolas Müller
Supervisor(s): Erich Walter Farkas, Ivo Hoppler
University of Zurich, 2015.


A study of nancial constraints in a model for systemic risk
Rafaela Guberovic
Supervisor(s): Erich Walter Farkas
University of Zurich, 2015.


Unilateral CVA/DVA pricing with wrong way risk in the energy market
Markus Regez
Supervisor(s): Erich Walter Farkas, Fulvia Fringuellotti
University of Zurich, 2015.


Appropriate Risk Measures for Risk Parity Strategies in a Rising Interest Environment
Markus Hartmann
Supervisor(s): Erich Walter Farkas
University of Zurich, 2015.


ARMA-FIGARCH-Copula CVaR
David Volkmann
Supervisor(s): Erich Walter Farkas
University of Zurich, 2015.


Conversion and default of contingent convertible bonds - a structural approach
Stephan Krushev
Supervisor(s): Erich Walter Farkas
University of Zurich, 2015.


Law-invariant risk measures
Antoine Lyson
Supervisor(s): Erich Walter Farkas, Cosimo-Andrea Munari
University of Zurich, 2015.


Interest Rate Derivatives, Pricing and Hedging
Alexandre Villard
Supervisor(s): Erich Walter Farkas
University of Zurich, 2014.


Pricing and hedging contingent convertible bonds
Pawel Obara
Supervisor(s): Erich Walter Farkas
University of Zurich, 2014.


Co-Integration in Commodity Markets
Gaetan Jacot
Supervisor(s): Erich Walter Farkas, Ciprian Necula, Robert Huitema
University of Zurich, 2014.


Negative Interest Rates: Empirical Study
Maria Ossowska
Supervisor(s): Erich Walter Farkas
University of Zurich, 2014.


Change of Measure for Stock Prices in Risk-Neutral Valuation
Ioa Gavrila
Supervisor(s): Erich Walter Farkas, Robert Huitema
University of Zurich, 2014.


How to fight White Collor Crime in the German-speaking Area
Moreno Gasser
Supervisor(s): Erich Walter Farkas, Ivo Hoppler
University of Zurich, 2014.


Corporate Risk Management
Polina Ivanova
Supervisor(s): Erich Walter Farkas, Pablo Koch Medina
University of Zurich, 2013.


Trade-level CVA allocation
Benjamin Groth
Supervisor(s): Erich Walter Farkas
University of Zurich, 2013.


No-arbitrage conditions on general topological spaces
Giada Bordogna
Supervisor(s): Erich Walter Farkas, Cosimo-Andrea Munari
ETH Zurich, 2013.


Stability properties of risk measures
Nathalie Schenk
Supervisor(s): Erich Walter Farkas, Cosimo-Andrea Munari
University of Zurich, 2013.


Interessenkonflikte unabhangiger Vermögensverwaltungen in der Schweiz - Eine Qualitative Studie
Olivia Burki
Supervisor(s): Erich Walter Farkas
University of Zurich, 2013.


A short note on indifference pricing
Alexandre Villard
Supervisor(s): Erich Walter Farkas, Cosimo-Andrea Munari
University of Zurich, 2013.


Risk Measures on Probabilities
Luca Trovato
Supervisor(s): Erich Walter Farkas
University of Zurich, 2013.


The detection of bubbles with the FTS-GARCH model and extensions
Martin Pleischl
Supervisor(s): Erich Walter Farkas, Robert Huitema
University of Zurich, 2013.


The use of Financial Networks in a Multi-Factor Pricing Model
Alexey Fedotov
Supervisor(s): Erich Walter Farkas, Robert Huitema
University of Zurich, 2013.


Study and calibration of a LIBOR forward swap model with stochastic volatility
Giorgio Mori
Supervisor(s): Erich Walter Farkas
University of Zurich, 2013.


Cross-Sectional Approach in a Trend-Follower Strategy: Momentum within and Across Asset Classes
Dino Lüssi
Supervisor(s): Erich Walter Farkas
University of Zurich, 2013.


Beschaffungsrichtlinie - Planung, Beschaffung, Abwicklung
Renato Angelico
Supervisor(s): Erich Walter Farkas
University of Zurich, 2013.


Risk measures in market models with transaction costs
Mariangela Rizzo
Supervisor(s): Erich Walter Farkas, Cosimo-Andrea Munari
University of Zurich, 2013.


Trend and Mean Reversion Modelling in a Market with Heterogeneous Investors: A Dynamical Systems Approach
Tolev Seth
Supervisor(s): Erich Walter Farkas
University of Zurich, 2012.


Active Management of Delta Portfolio
Danting Liu
Supervisor(s): Erich Walter Farkas, Paolo Vanini
University of Zurich, 2012.


Risk measures on Orlicz spaces
Stephanie Müller
Supervisor(s): Erich Walter Farkas
University of Zurich, 2012.


Pricing Variance Swaps and Corridor Variance Swaps under General Dividend Streams
Olivier Bachem
Supervisor(s): Erich Walter Farkas
University of Zurich, 2012.


Co-integration in energy markets
Dandan Zhao
Supervisor(s): Erich Walter Farkas
University of Zurich, 2012.


Pricing and Hedging Counterparty Credit Risk
Luca Dominedo
Supervisor(s): Erich Walter Farkas
University of Zurich, 2012.


Stochastic Volatility Modeling in Energy Markets
Cora Drimus
Supervisor(s): Erich Walter Farkas
University of Zurich, 2012.


Prediction of derivatives prices using Greeks
Christian Raemy
Supervisor(s): Erich Walter Farkas
University of Zurich, 2011.


Real rate swaptions: pricing and calibration
William Vettorato
Supervisor(s): Erich Walter Farkas
University of Zurich, 2011.


Performance attribution of convertible bond portfolio
Petar Ilic
Supervisor(s): Erich Walter Farkas
University of Zurich, 2011.


Empirical analysis of fixed income products: the role of interest rates and spread duration in ALM
Kinga Kaczmarek
Supervisor(s): Erich Walter Farkas
University of Zurich, 2011.


Optimal execution with temporary and permanent impact functions
Nico Achtsis
Supervisor(s): Erich Walter Farkas
University of Zurich, 2011.


Hedge Fund Fraud prediction using classification algorithms
Anastasia Filimon
Supervisor(s): Erich Walter Farkas
University of Zurich, 2011.


Bayesian Filtering for Volatility Estimation
Jens Hinrichsen
Supervisor(s): Erich Walter Farkas
University of Zurich, 2010.


Dependence in commodity markets - empirical evidence and estimation
Kai Schonle
Supervisor(s): Erich Walter Farkas
University of Zurich, 2010.


Economic capital assessment: An application using a conditional copula approach
Olivier Panchaud
Supervisor(s): Erich Walter Farkas
University of Zurich, 2010.


On the mathematical foundations of the Froot-Stein model
Enrique Loubet
Supervisor(s): Erich Walter Farkas
University of Zurich, 2010.


Euler capital allocation and coherent risk measures
Jan Mysicka
Supervisor(s): Erich Walter Farkas
University of Zurich, 2010.


CDO Pricing via Stochastic Filtering
Inna Shkodrova
Supervisor(s): Erich Walter Farkas
University of Zurich, 2010.


Modeling operational risk using extreme-value theory and copulas
Elise Gourier
Supervisor(s): Erich Walter Farkas
University of Zurich, 2008.


Bachelor Theses (10)

An Analysis of Option Pricing Models and Option Price Simulations with a Modified Gram Charlier Type A Series Expansion
Cosima Patrizia Vester
Supervisor(s): Erich Walter Farkas
University of Zurich, 2017.


Capital requirements with defaultable securities: a comparative study
Colin Grab
Supervisor(s): Erich Walter Farkas
University of Zurich, 2016.


A comparison of option pricing models
Fabian Köchli
Supervisor(s): Erich Walter Farkas, Ciprian Necula
University of Zurich, 2016.


The Kalman Filter in Application to a Regression Model
Nicolas Wohlgemuth
Supervisor(s): Erich Walter Farkas, Kevin Meier
University of Zurich, 2016.


Capital Asset Pricing Modell und Aktienbeta
Christian Lützelschwab
Supervisor(s): Erich Walter Farkas
University of Zurich, 2015.


Predictability of limit order book prices
Alexander Wehrli
Supervisor(s): Erich Walter Farkas
University of Zurich, 2015.


VaR and AVaR Based Capital Requirements with Defaultable Securities
Maurice Weber
Supervisor(s): Erich Walter Farkas, Cosimo-Andrea Munari
ETH Zürich, 2015.


Analysis of Convex Risk Measures on L^1
Patrick Zöchbauer
Supervisor(s): Erich Walter Farkas, Cosimo-Andrea Munari
ETH Zürich, 2014.


Risk Measures and Capital Requirements
Sara Svaluto
Supervisor(s): Erich Walter Farkas, Cosimo-Andrea Munari
ETH Zürich, 2012.


Value-at-Risk and Tail Value-at-Risk: A Comparison Study
Jarno Hartog
Supervisor(s): Erich Walter Farkas, Cosimo-Andrea Munari
ETH Zürich, 2012.