Wednesday, February 5, 2014

SoFiE Summer School

The 2014 SoFiE summer school has just been announced, and will be on The Econometrics of Option Pricing.  Eric Renault and Patrick Gagliardini will co-teach the course, and will be covering topics including:
  • Stochastic volatility in option pricing
  • Non-linear State-Space models
  • Generalized Method of Moments (GMM) with latent variables
  • Indirect Inference and Implied-States GMM
  • Nonparametric fitting of  the implied volatility surface
  • High-frequency data and option pricing.
  • The Extended Method of Moments (XMM)
  • Volatility risk premium and long memory in volatility
  • VIX computation and methods for American options
This looks like a great course and both Eric and Patrick are world-leading experts on these (and other) topics.

The course is open to students and new faculty, as well as Ph.D.-level practitioners.  It is free for academics, and there is a modest charge for others - although travel is not covered.

Applications, including a CV and a half-page statement explaining how the applicant would course would benefit, should be send to rinkel@stat.harvard.edu (including the words Summer School in the subject box). 

See the course website for more information.



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