All Publications

ZORA Publication List

Publications

• Journal Article

  • 2022

    • Farkas, Walter; Ferrari, Francesco; Ulrych, Urban (2022). Pricing autocallables under local-stochastic volatility. Frontiers of Mathematical Finance, 1(4):575-610.
    • Farkas, Walter; Mathys, Ludovic (2022). Geometric step options and Lévy models: Duality, PIDEs, and semi-analytical pricing. Frontiers of Mathematical Finance, 1(1):1-51.

  • 2021

    • Dyachenko, Artem; Farkas, Walter; Rieger, Marc Oliver (2021). Volatility Dependent Structured Products. The Journal of investing, 30(2):53-60.
    • Farkas, Walter; Mathys, Ludovic; Vasiljevic, Nikola (2021). Intra‐Horizon expected shortfall and risk structure in models with jumps. Mathematical Finance, 31(2):772-823.

  • 2020

    • Farkas, Walter; Fringuellotti, Fulvia; Tunaru, Radu (2020). A Cost-Benefit Analysis of Capital Requirements Adjusted for Model Risk. Journal of Corporate Finance, 65:101753.
    • Ettlin, Nicolas; Farkas, Walter; Kull, Andreas; Smirnow, Alexander (2020). Optimal Risk-Sharing Across a Network of Insurance Companies. Insurance: Mathematics and Economics, 95:39-47.

  • 2019

    • Necula, Ciprian; Drimus, Gabriel; Farkas, Walter (2019). A general closed form option pricing formula. Review of Derivatives Research, 22:1-40.

  • 2017

    • Farkas, Walter; Gourier, Elise; Huitema, Robert; Necula, Ciprian (2017). A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing. Journal of Banking and Finance, 77:249-268.

  • 2016

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

  • 2015

    • Farkas, Walter; Koch-Medina, Pablo; Munari, Cosimo (2015). Measuring risk with multiple eligible assets. Mathematics and Financial Economics, 9(1):3-27.
    • Farkas, Walter; Schmid, Sandro (2015). Akkurate Messung der Portfoliorisiken im Pensionskassengeschäft. Schweizerische Zeitschrift für Sozialversicherung und berufliche Vorsorge, 59(5):406-414.

  • 2014

    • Barone-Adesi, Giovanni; Farkas, Walter; Koch-Medina, Pablo (2014). Capital levels and risk-taking propensity in financial institutions. Accounting and Finance Research, 3(1):85-89.
    • Farkas, Walter; Koch-Medina, Pablo; Munari, Cosimo (2014). Capital Requirements with Defaultable Securities. Insurance: Mathematics and Economics, 55:58-67.

  • 2013

    • Farkas, Walter; Koch-Medina, Pablo; Munari, Cosimo (2013). Beyond cash-additive risk measures: When changing the numeraire fails. Finance and Stochastics, 18(1):145-173.
    • Bachem, Olivier; Drimus, Gabriel; Farkas, Walter (2013). Smooth and Bid-Offer Compliant Volatility Surfaces Under General Dividend Streams. Quantitative Finance, 13(11):1801-1812.
    • Drimus, Gabriel; Farkas, Walter (2013). Local volatility of volatility for the VIX market. Review of Derivatives Research, 16(3):267-293.

  • 2009

    • Gourier, Elise; Abbate, Donato; Farkas, Walter (2009). Operational risk quantification using extreme value theory and copulas: from theory to practice. The Journal of Operational Risk, 4(3):1-24.

  • 2007

    • Farkas, Walter; Reich, N; Schwab, C (2007). Anisotropic stable Levy copula processes-analytical and numerical aspects. Mathematical Models and Methods in Applied Sciences, 17(9):1405-1443.

  • 2006

    • Caetano, Antonio M; Farkas, Walter (2006). Local Growth Envelopes of Besov Spaces of Generalized Smoothness. Zeitschrift für Analysis und ihre Anwendungen, 25(3):265-298.
    • Farkas, Walter; Leopold, H G (2006). Characterisations of function spaces of generalized smoothness. Annali di Matematica Pura ed Applicata, 185:1-62.

  • 2005

    • Barbaroux, J M; Farkas, Walter; Helffer, B; Siedentop, H (2005). On the Hartree-Fock equations of the electron-positron field. Communications in Mathematical Physics, 255(1):131-159.

  • 2001

    • Farkas, Walter (2001). Eigenvalue distribution of some fractal semi-elliptic differential operators. Mathematische Zeitschrift, 236(2):291-320.
    • Farkas, Walter; Jacob, Niels; Schilling, Rene L (2001). Feller semigroups, Lp-sub-Markovian semigroups, and applications to pseudo-differential operators with negative definite symbols. Forum Mathematicum, 13(1):59-90.
    • Farkas, Walter; Jacob, N; Schilling, R L (2001). Function Spaces Related to Continuous Negative Definite Functions: Psi-Bessel Potential Spaces. Dissertationes Mathematicae, 393:1-63.
    • Farkas, Walter; Jacob, Niels (2001). Sobolev spaces on non-smooth domains and Dirichlet forms related to subordinate reflecting diffusions. Mathematische Nachrichten, 224(1):75-104.

  • 2000

    • Farkas, Walter (2000). Atomic and subatomic decompositions in anisotropic function spaces. Mathematische Nachrichten, 209:83-113.
    • Farkas, Walter; Johnsen, J; Sickel, W (2000). Traces of Anisotropic Besov-Lizorkin-Triebel Spaces: A Complete Treatment of the Borderline Cases. Mathematica Bohemica, 125(1):1-37.

  • 1999

    • Farkas, Walter; Triebel, H (1999). The distribution of eigenfrequencies of anisotropic fractal drums. Journal of the London Mathematical Society, 60(01):224-236.
    • Farkas, Walter (1999). The behaviour of the eigenvalues for a class of operators related to some self-affine fractals in R^2. Zeitschrift für Analysis und ihre Anwendungen, 18(4):875-893.

  • 1997

    • Farkas, Walter (1997). An embedding result for generalized Orlicz-Sobolev spaces. Revue Roumaine de Mathématiques Pures et Appliquées, 42(7/8):555-565.

  • 1996

    • Farkas, Walter (1996). On the sharpness of the Orlicz-Sobolev imbedding theorem. Revue Roumaine de Mathématiques Pures et Appliquées, 41(5/6):311-320.

  • 1995

    • Farkas, Walter (1995). A Calderon-Zygmund extension theorem for abstract Sobolev spaces. Mathematical Reports, 47(5/6):379-395.

• Book Section

  • 2018

    • Farkas, Walter; Smirnow, Alexander (2018). Intrinsic Risk Measures. In: Glau, Kathrin; Linders, Daniel; Min, Aleksey; Scherer, Matthias; Schneider, Lorenz; Zagst, Rudi. Innovations in Insurance, Risk- and Asset Management. Munich: World Scientific Publishing, 163-184.

  • 2016

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

• Conference or Workshop item

  • 2017

    • Farkas, Walter; Smirnow, Alexander (2017). Intrinsic risk measures. In: Innovations in Insurance, Risk- and Asset Management, München, 5 April 2017 - 7 April 2017. World Scientific Publishing Co. Pte. Ltd., 163-184.

• Dissertation

  • 2022

    • Fernandez-Arjona Berchansky, Lucio. Machine learning applications in the insurance industry. 2022, University of Zurich, Faculty of Economics.
    • Ulrych, Urban. Applications of statistical learning in quantitative finance. 2022, University of Zurich, Wirtschaftswissenschaftliche Fakultät.

  • 2021

    • Stang, Felix. Essays on arbitrage pricing theory and contagion in a financial network. 2021, University of Zurich, Faculty of Economics.

  • 2020

    • Mathys, Ludovic. American-type exotic options and risk management in Lévy-driven markets. 2020, University of Zurich, Wirtschaftswissenschaftliche Fakultät.
    • Schärer, Steven Patrick. Three Essays on Financial Engineering. 2020, University of Zurich, Faculty of Economics.

  • 2018

    • Bernardi, Simone. Three essays on regulatory, market, and estimation risk. 2018, University of Zurich, Faculty of Economics.
    • Sokko, Anastasiia. Essays in behavioural financial markets and asset pricing. 2018, University of Zurich, Faculty of Economics.

  • 1998

    • Farkas, Walter. Anisotropic function spaces, fractals, and spectra of some elliptic and semi-elliptic differential operators. 1998, Friedrich-Schiller-University of Jena, Wirtschaftswissenschaftliche Fakultät.

• Habilitation

  • 2002

    • Farkas, Walter. Function spaces of generalized smoothness and pseudo-differential operators associated to a continuous negative definite function. 2002, University of Munich, Wirtschaftswissenschaftliche Fakultät.

• Newspaper Article

  • 2011

    • Farkas, Walter; Söldi, Andrea. Die Veränderungen in der Finanzwelt mitprägen. In: Tages-Anzeiger, 12 Dezember 2011, p.31.

  • 2009

    • Farkas, Walter; Gourier, Elise. Zukunft liegt in der Vergangenheit. In: Handelszeitung, 28 Oktober 2009, p.37.
    • Farkas, Walter. Un besoin de contrôle. In: Le Temps, 30 März 2009, online.

• Working Paper

  • 2020

    • Farkas, Walter; Mathys, Ludovic (2020). Geometric Step Options with Jumps: Parity Relations, PIDEs, and Semi-Analytical Pricing. Swiss Finance Institute Research Paper 20-11, University of Zurich.
    • Farkas, Walter; Mathys, Ludovic; Vasiljevic, Nikola (2020). Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps. Swiss Finance Institute Research Paper 19-76, University of Zurich.
    • Ettlin, Nicolas; Farkas, Walter; Kull, Andreas; Smirnow, Alexander (2020). Optimal risk-sharing across a network of insurance companies. Swiss Finance Institute Research Paper 20-52, University of Zurich.

Pagination