SoFiE Financial Econometrics Spring School 2015 - Society for Financial Econometrics
The SoFiE Financial Econometrics Summer School is an annual week-long research-based course for Ph.D. students and new faculty in financial econometrics. The lectures will be organized around four themes: 1. The role of stochastic volatility in option pricing. Options prices as expectations of a Black-Scholes price. The volatility smile and the VIX. 2. Non-linear State-Space models. Exponential affine models. 3. Extensions of the Generalized Method of Moments (GMM): Indirect Inference, Implied-States GMM, GMM with a continuum of moments, XMM. 4. Nonparametric methods to fit the implied volatility surface. Implied binomial trees and maximum entropy.
|Event dates:||2015-06-01 – 2015-06-05|
|Organizer:||Society for Financial Econometrics SoFiE|
|Conference venue:||Brussels, National Bank of Belgium|
|Classification:||C0 - Mathematical and Quantitative Methods. General|
|Event type:||Seminare, Summer Schools, Symposien, Workshops; Seminars, Summer Schools, Symposiums, Workshops|
Persistent link: https://www.econbiz.de/10010406207