Working Papers

ZORA Publication List

Publications

• 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.

• 2015

  • Necula, Ciprian; Drimus, Gabriel G; Farkas, Walter (2015). A General Closed Form Option Pricing Formula. SSRN 2210359, University of Zurich.
  • Farkas, Walter; Necula, Ciprian; Waelchli, Boris (2015). Herding and Stochastic Volatility. SSRN 2685939, University of Zurich.
  • Farkas, Walter; Gourier, Elise; Huitema, Robert; Necula, Ciprian (2015). A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing. SSRN 2679218, University of Zurich.

• 2013

  • Drimus, Gabriel G; Necula, Ciprian; Farkas, Walter (2013). Closed form option pricing under generalized hermite expansions. SSRN 2349868, University of Zurich.