All Publications

ZORA Publication List

Publications

• Journal Article

  • 2024

    • Farkas, W., & Lucescu, P. (2024). Modeling Risk Sharing and Impact on Systemic Risk Mathematics, 12, 2083. https://doi.org/10.3390/math12132083

  • 2023

    • Weingärtner, T., Fasser, F., Reis Sá da Costa, P., & Farkas, W. (2023). Deciphering DeFi: A Comprehensive Analysis and Visualization of Risks in Decentralized Finance Journal of Risk and Financial Management, 16, 454. https://doi.org/10.3390/jrfm16100454

  • 2022

    • Farkas, W., Ferrari, F., & Ulrych, U. (2022). Pricing autocallables under local-stochastic volatility Frontiers of Mathematical Finance, 1, 575–610. https://doi.org/10.3934/fmf.2022008
    • Farkas, W., & Mathys, L. (2022). Geometric step options and Lévy models: Duality, PIDEs, and semi-analytical pricing Frontiers of Mathematical Finance, 1, 1–51. https://doi.org/10.3934/fmf.2021001

  • 2021

    • Dyachenko, A., Farkas, W., & Rieger, M. O. (2021). Volatility Dependent Structured Products The Journal of Investing, 30, 53–60. https://doi.org/10.3905/joi.2020.1.162
    • Farkas, W., Mathys, L., & Vasiljevic, N. (2021). Intra‐Horizon expected shortfall and risk structure in models with jumps Mathematical Finance, 31, 772–823. https://doi.org/10.1111/mafi.12302

  • 2020

    • Farkas, W., Fringuellotti, F., & Tunaru, R. (2020). A Cost-Benefit Analysis of Capital Requirements Adjusted for Model Risk Journal of Corporate Finance, 65, 101753. https://doi.org/10.1016/j.jcorpfin.2020.101753
    • Ettlin, N., Farkas, W., Kull, A., & Smirnow, A. (2020). Optimal Risk-Sharing Across a Network of Insurance Companies Insurance: Mathematics and Economics, 95, 39–47. https://doi.org/10.1016/j.insmatheco.2020.08.002

  • 2019

    • Necula, C., Drimus, G., & Farkas, W. (2019). A general closed form option pricing formula Review of Derivatives Research, 22, 1–40. https://doi.org/10.1007/s11147-018-9144-z

  • 2017

    • Farkas, W., Gourier, E., Huitema, R., & Necula, C. (2017). A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing Journal of Banking and Finance, 77, 249–268. https://doi.org/10.1016/j.jbankfin.2017.01.007

  • 2016

    • Drimus, G., Farkas, W., & Gourier, E. (2016). Valuations of options on discretely sampled variance: A general analytic approximation Journal of Computational Finance, 20(2), 39–66. https://doi.org/10.21314/JCF.2016.314

  • 2015

    • Farkas, W., Koch-Medina, P., & Munari, C. (2015). Measuring risk with multiple eligible assets Mathematics and Financial Economics, 9, 3–27. https://doi.org/10.1007/s11579-014-0118-0
    • Farkas, W., & Schmid, S. (2015). Akkurate Messung der Portfoliorisiken im Pensionskassengeschäft Schweizerische Zeitschrift für Sozialversicherung und berufliche Vorsorge, 59, 406–414.

  • 2014

    • Barone-Adesi, G., Farkas, W., & Koch-Medina, P. (2014). Capital levels and risk-taking propensity in financial institutions Accounting and Finance Research, 3, 85–89. https://doi.org/10.5430/afr.v3n1p85
    • Farkas, W., Koch-Medina, P., & Munari, C. (2014). Capital Requirements with Defaultable Securities Insurance: Mathematics and Economics, 55, 58–67. https://doi.org/10.1016/j.insmatheco.2013.11.009

  • 2013

    • Farkas, W., Koch-Medina, P., & Munari, C. (2013). Beyond cash-additive risk measures: When changing the numeraire fails Finance and Stochastics, 18, 145–173. https://doi.org/10.1007/s00780-013-0220-9
    • Bachem, O., Drimus, G., & Farkas, W. (2013). Smooth and Bid-Offer Compliant Volatility Surfaces Under General Dividend Streams Quantitative Finance, 13, 1801–1812. https://doi.org/10.1080/14697688.2013.842652
    • Drimus, G., & Farkas, W. (2013). Local volatility of volatility for the VIX market Review of Derivatives Research, 16, 267–293. https://doi.org/10.1007/s11147-012-9086-9

  • 2009

    • Gourier, E., Abbate, D., & Farkas, W. (2009). Operational risk quantification using extreme value theory and copulas: from theory to practice Journal of Operational Risk, 4, 1–24.

  • 2007

    • Farkas, W., Reich, N., & Schwab, C. (2007). Anisotropic stable Levy copula processes-analytical and numerical aspects Mathematical Models and Methods in Applied Sciences, 17, 1405–1443. https://doi.org/10.1142/S0218202507002327

  • 2006

    • Caetano, A. M., & Farkas, W. (2006). Local Growth Envelopes of Besov Spaces of Generalized Smoothness Zeitschrift Für Analysis Und Ihre Anwendungen, 25, 265–298.
    • Farkas, W., & Leopold, H. G. (2006). Characterisations of function spaces of generalized smoothness Annali Di Matematica Pura Ed Applicata, 185, 1–62. https://doi.org/10.1007/s10231-004-0110-z

  • 2005

    • Barbaroux, J. M., Farkas, W., Helffer, B., & Siedentop, H. (2005). On the Hartree-Fock equations of the electron-positron field Communications in Mathematical Physics, 255, 131–159. https://doi.org/10.1007/s00220-004-1156-x

  • 2001

    • Farkas, W., & Jacob, N. (2001). Sobolev spaces on non-smooth domains and Dirichlet forms related to subordinate reflecting diffusions Mathematische Nachrichten, 224, 75–104. https://doi.org/10.1002/1522-2616(200104)224:1<75::AID-MANA75>3.0.CO;2-N
    • Farkas, W., Jacob, N., & Schilling, R. L. (2001). Function Spaces Related to Continuous Negative Definite Functions: Psi-Bessel Potential Spaces Dissertationes Mathematicae, 393, 1–63. https://doi.org/10.4064/dm393-0-1
    • Farkas, W., Jacob, N., & Schilling, R. L. (2001). Feller semigroups, Lp-sub-Markovian semigroups, and applications to pseudo-differential operators with negative definite symbols Forum Mathematicum, 13, 59–90. https://doi.org/10.1515/FORM.2001.51
    • Farkas, W. (2001). Eigenvalue distribution of some fractal semi-elliptic differential operators Mathematische Zeitschrift, 236, 291–320. https://doi.org/10.1007/PL00004832

  • 2000

    • Farkas, W., Johnsen, J., & Sickel, W. (2000). Traces of Anisotropic Besov-Lizorkin-Triebel Spaces: A Complete Treatment of the Borderline Cases Mathematica Bohemica, 125, 1–37. http://dml.cz/dmlcz/126262
    • Farkas, W. (2000). Atomic and subatomic decompositions in anisotropic function spaces Mathematische Nachrichten, 209, 83–113. https://doi.org/10.1002/(SICI)1522-2616(200001)209:1<83::AID-MANA83>3.3.CO;2-T

  • 1999

    • Farkas, W. (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, 875–893. https://doi.org/10.4171/ZAA/920
    • Farkas, W., & Triebel, H. (1999). The distribution of eigenfrequencies of anisotropic fractal drums Journal of the London Mathematical Society, 60, 224–236. https://doi.org/10.1112/S002461079900770X

  • 1997

    • Farkas, W. (1997). An embedding result for generalized Orlicz-Sobolev spaces Revue Roumaine de Mathématiques Pures et Appliquées, 42, 555–565.

  • 1996

    • Farkas, W. (1996). On the sharpness of the Orlicz-Sobolev imbedding theorem Revue Roumaine de Mathématiques Pures et Appliquées, 41, 311–320. https://www.minet.uni-jena.de/fakultaet/mana/pdffiles/farkas-96.pdf

  • 1995

    • Farkas, W. (1995). A Calderon-Zygmund extension theorem for abstract Sobolev spaces Mathematical Reports, 47, 379–395.

• Book Section

  • 2024

    • Farkas, W., Ferrari, F., & Ulrych, U. (2024). Pricing autocallables under local-stochastic volatility In R. A. Yarrow & D. Madan (Eds.), Peter Carr Gedenkschrift: Research Advances in Mathematical Finance (pp. 329–378). World Scientific Pulishing. https://doi.org/10.1142/9789811280306_fmatter

  • 2018

    • Farkas, W., & Smirnow, A. (2018). Intrinsic Risk Measures In K. Glau, D. Linders, A. Min, M. Scherer, L. Schneider, & R. Zagst (Eds.), Innovations in Insurance, Risk- and Asset Management (pp. 163–184). World Scientific Publishing. https://doi.org/10.1142/9789813272569_0007

  • 2016

    • Farkas, W., Gourier, E., Huitema, R., & Necula, C. (2016). The Impact of Cointegration on Commodity Spread Options In K. Glau, Z. Grbac, M. Scherer, & R. Zagst (Eds.), Innovations in Derivatives Markets (No. 165; pp. 421–435). Springer. https://doi.org/10.1007/978-3-319-33446-2_20

• Conference or Workshop item

  • 2017

    • Farkas, W., & Smirnow, A. (2017). Intrinsic risk measures (K. Glau, D. Linders, A. Min, M. Scherer, L. Schneider, & R. Zagst, Eds.; pp. 163–184). World Scientific Publishing Co. Pte. Ltd. https://doi.org/10.1142/11051

• Dissertation

  • 2025

    • Trutwin, E. M. H. (2025). Sustainable finance and environmental outcomes: a three-part analysis of investment, welfare, and innovation (Dissertation, University of Zurich)

  • 2024

    • Chitsiripanich, S. (2024). New momentum, reversal, and multivariate discrete mixtures for portfolio selection (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-269955
    • Svaton, M. (2024). Essays in volatility (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-260073

  • 2022

    • Ulrych, U. (2022). Applications of statistical learning in quantitative finance (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-218312
    • Fernandez-Arjona Berchansky, L. (2022). Machine learning applications in the insurance industry (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-219615

  • 2021

    • Stang, F. (2021). Essays on arbitrage pricing theory and contagion in a financial network (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-206334

  • 2020

    • Mathys, L. (2020). American-type exotic options and risk management in Lévy-driven markets (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-191458
    • Schärer, S. P. (2020). Three Essays on Financial Engineering (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-189931

  • 2018

    • Bernardi, S. (2018). Three essays on regulatory, market, and estimation risk (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-159522
    • Sokko, A. (2018). Essays in behavioural financial markets and asset pricing (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-165203

  • 1998

    • Farkas, W. (1998). Anisotropic function spaces, fractals, and spectra of some elliptic and semi-elliptic differential operators (Dissertation, Friedrich-Schiller-University of Jena) http://www.math.ethz.ch/~farkas/research/FarkasPhDThesis.pdf

• Edited Scientific Work

  • 2025

    • Fasnacht, D., & Farkas, W. (Eds.). (2025). Innovation in Risk Management: Three AI-Enabled Solutions for Swiss Banking Department of Finance, University of Zurich. https://acrobat.adobe.com/id/urn:aaid:sc:EU:3b19fbfe-73e9-4536-b19a-e1562add18de

Pagination