Journal Publications

ZORA Publication List

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., & Schmid, S. (2015). Akkurate Messung der Portfoliorisiken im Pensionskassengeschäft Schweizerische Zeitschrift für Sozialversicherung und berufliche Vorsorge, 59, 406–414.
- 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

2014
- 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
- 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

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

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