RFE: Conference Listings
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Society for Financial Econometrics SoFiE
- June 01-05, 2015
- SoFiE Financial Econometrics Spring School 2015 - Society for Financial Econometrics
- Brussels, National Bank of Belgium, Belgium
- 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.[gem?_?? den Informationen des Anbieters - according to site editor's information]
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