Journal Publications

ZORA Publication List

2023
- Weingärtner, Tim; Fasser, Fabian; Reis Sá da Costa, Pedro; Farkas, Walter (2023). Deciphering DeFi: A Comprehensive Analysis and Visualization of Risks in Decentralized Finance. Journal of Risk and Financial Management, 16(10):454.

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.