Walter Farkas
Professor
Department of Mathematics
Swiss Finance Institute
Switzerland
Biography
Walter Farkas is Professor of Quantitative Finance at the University of Zurich and a team member of the SFI Knowledge Catalyst, an industry placement program for SFI academic partner institutions’ Master’s students. Prof. Farkas is also an associated Faculty Member at the Department of Mathematics of ETH Zurich and is the program director of the Master of Science in Quantitative Finance, a degree jointly offered by ETH Zurich and the University of Zurich since 2003.
Research Interest
Mathematical finance; Quantitative risk management.
Publications
-
Farkas W, Gourier E, Huitema R, Necula C (2015) A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing.
-
Farkas W, Necula C,Waelchli B (2015) Herding and Stochastic Volatility.
-
Drimus G, Farkas W, Gourier E (2016) Valuations of options on discretely sampled variance. Journal of Computational Finance.
