49 citations · 66 across the 5 of their papers we have counts for
7 papers
Geometric Step Options with Jumps. Parity Relations, PIDEs, and Semi-Analytical Pricing
Walter Farkas, Ludovic Mathys
The present article studies geometric step options in exponential Lévy markets. Our contribution is manifold and extends several aspects of the geometric step option pricing litera…
Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps
Walter Farkas, Ludovic Mathys, Nikola Vasiljević
The present article deals with intra-horizon risk in models with jumps. Our general understanding of intra-horizon risk is along the lines of the approach taken in Boudoukh, Richar…
Traces of anisotropic Besov--Lizorkin--Triebel spaces---a complete treatment of the borderline cases
Walter Farkas, Jon Johnsen, Winfried Sickel
Including the previously untreated borderline cases, the trace spaces in the distributional sense of the Besov--Lizorkin--Triebel spaces are determined for the anisotropic (or quas…
Measuring risk with multiple eligible assets
Walter Farkas, Pablo Koch-Medina, Cosimo Munari
The risk of financial positions is measured by the minimum amount of capital to raise and invest in eligible portfolios of traded assets in order to meet a prescribed acceptability…
Beyond cash-additive risk measures: when changing the numéraire fails
Walter Farkas, Pablo Koch-Medina, Cosimo Munari
We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest in a pre-specified eligible asset to ensure it is adequately c…
Capital requirements with defaultable securities
Walter Farkas, Pablo Koch-Medina, Cosimo Munari
We study capital requirements for bounded financial positions defined as the minimum amount of capital to invest in a chosen eligible asset targeting a pre-specified acceptability…
On the Hartree-Fock equations of the electron/positron field
J. -M. Barbaroux, W. Farkas, B. Helffer +1
We study the energy of relativistic electrons and positrons interacting via the second quantized Coulomb potential in the field of a nucleus of charge Z within the Hartree-Fock app…