Professor of Quantitative Finance
Walter Farkas is Full Professor of Quantitative Finance at the University of Zurich, Associate Professor at the Department of Mathematics at ETH Zurich, and member of the SFI Knowledge Catalyst, an industry placement program for Master’s students enrolled at SFI academic partner institutions. Prof. Farkas also acts as 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.
His research focuses primarily on mathematical finance and quantitative risk management.
In a recent study, Prof. Farkas and his co-authors investigate the impact of cointegration of commodity prices on the premiums of options written on the spreads on the futures prices of these commodities. The authors innovate by developing a model that has an exponential affine structure that allows for an arbitrary number of cointegration relationships. Simulations on pricing spread options reveal that cointegration creates an upward sloping term structure of correlation, which lowers the volatility of spreads, and consequently the price of options on them.