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Contributions published at Quantitative Finance (Erich Walter Farkas)
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Cora Drimus, Stochastic Volatility Modeling in Energy Markets, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2012. (Master's Thesis) |
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Jarno Hartog, Value-at-Risk and Tail Value-at-Risk: A Comparison Study, ETH Zürich, Natural Sciences and Mathematics, 2012. (Bachelor's Thesis) |
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Luca Dominedo, Pricing and Hedging Counterparty Credit Risk, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2012. (Master's Thesis) |
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Dandan Zhao, Co-integration in energy markets, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2012. (Master's Thesis) |
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Gabriel Grigore Drimus, Options on realized variance in Log-OU models, Applied Mathematical Finance, Vol. 19 (5), 2012. (Journal Article) |
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Gabriel Grigore Drimus, Options on realized variance by transform methods: A non-affine stochastic volatility model, Quantitative Finance, Vol. 12 (11), 2012. (Journal Article) |
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Andrea Söldi, Erich Walter Farkas, Vom Reiz, mit dem Geld zu jonglieren, In: Tagesanzeiger, 12 December 2011. (Media Coverage) |
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Erich Walter Farkas, Andrea Söldi, Die Veränderungen in der Finanzwelt mitprägen, In: Tages-Anzeiger, p. 31, 12 December 2011. (Newspaper Article) |
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Christian Raemy, Prediction of derivatives prices using Greeks, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Master's Thesis) |
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Petar Ilic, Performance attribution of convertible bond portfolio, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Master's Thesis) |
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William Vettorato, Real rate swaptions: pricing and calibration, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Master's Thesis) |
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Kinga Kaczmarek, Empirical analysis of fixed income products: the role of interest rates and spread duration in ALM, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Master's Thesis) |
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Nico Achtsis, Optimal execution with temporary and permanent impact functions, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Master's Thesis) |
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Anastasia Filimon, Hedge Fund Fraud prediction using classification algorithms, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Master's Thesis) |
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Robert Huitema, Optimal Portfolio Execution using Market and Limit Orders, 2011. (Other Publication) |
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Robert Huitema, Erich Walter Farkas, William Vettorato, Consistent Pricing of Real Rate Swaptions and Limited Price Indexation (LPI) Swaps in the Jarrow-Yildirim Model, 2011. (Other Publication) |
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Robert Huitema, Nico Achtsis, Optimal Portfolio Execution with Temporary Price Impact, 2011. (Other Publication) |
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Erich Walter Farkas, K. Kaczmarek, P. Middelkamp, Interest rate duration in the credit crisis, 2011. (Other Publication) |
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Gabriel Grigore Drimus, Volatility-of-volatility : A simple model free motivation, In: SSRN, No. 1743495, 2011. (Working Paper) |
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Gabriel Grigore Drimus, Closed-form convexity and cross-convexity adjustments for Heston prices, Quantitative Finance, Vol. 11 (8), 2011. (Journal Article) |