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Walter Farkas

Professor
Finance
University of Zurich
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 and quantitative risk management.

Publications

  • N°16-65: Intrinsic Risk Measures, W. Farkas and A. Smirnow, 2016.

  • Valuations of options on discretely sampled variance, G. Drimus, W. Farkas, E. Gourier, Journal of Computational Finance, forthcoming, 2016

  • Intrinsic Risk Measure: The More Direct Path to the Acceptance Set

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