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Walter Farkas
SFI Faculty Member
Professor of Quantitative Finance
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 Interests:
His research focuses primarily on mathematical finance and quantitative risk management.
Recent Research:
In a recent study, Prof. Farkas and his coauthors contribute to the option pricing literature by developing a one-factor non-affine stochastic model with endogenously determined micro-foundations. The herding of traders leads to an amplification of the volatility of the asset over the volatility of the fundamentals. Despite the non-affine specificity of the model developed by the researchers, a closed-form option pricing formula can be derived using the Gauss–Hermite methodology. When testing their model on S&P 500 data, they find that their one-factor non-affine model outperforms the affine one-factor Heston model, and rivals the performance of the affine two-factor Heston model.