SoFiE Financial Econometrics Summer School in North America 2017 "The Econometrics of Derivatives Markets" - Society for Financial Econometrics
All topics in financial econometrics are acceptable, but with some preference given to topics that are in line with the theme of the summer school. Topics: - The econometrics of parametric option pricing inference under alternative asymptotic settings (large and short time spans, large and short cross-section of strikes). - Latent factor extraction and inference from Option Surfaces. Empirical Applications to Return and Risk Predictability. - Nonparametric methods for option pricing and implied risk measures, including option-based volatility and tail indices. - High-frequency Econometrics for Derivatives Data. Real time price and volatility discovery.
|Event dates:||2017-07-24 – 2017-07-28|
|Organizers:||Society for Financial Econometrics SoFiE Kellogg School of Management, Northwestern University, USA|
|Conference venue:||Evanston, IL, Kellogg School of Management, 2211 Campus Drive|
|Classification:||C5 - Econometric Modeling ; G1 - General Financial Markets|
|Event type:||Seminare, Summer Schools, Symposien, Workshops; Seminars, Summer Schools, Symposiums, Workshops|