SoFiE Financial Econometrics Summer School 2014

Beskrivelse

Lecturers are: Professor Patrick Gagliardini (University of Lugano & the Swiss Finance Institute) and Professor Eric Renault (Brown University) The lectures will be organized around eight themes in the following order: 1. The role of stochastic volatility in option pricing. Options prices as expectations of a Black-Scholes price. The volatility smile. 2. Non-linear State-Space models. 3. Extensions of the Generalized Method of Moments (GMM) to accommodate latent variables: Indirect Inference and Implied-States GMM. 4. Nonparametric methods to fit the implied volatility surface. Implied binomial trees and maximum entropy. 5. High-frequency data and option pricing. 6. The Extended Method of Moments (XMM). 7. Volatility risk premium and long memory in volatility. 8. VIX computation and methods for American options.

Periode	28 jul. 2014 → 1 aug. 2014
Begivenhedstype	Kursus
Placering	Cambridge, MA, USAVis på kort