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Society for Financial Econometrics SoFiE

Dates:
June 01-05, 2015
Description:
SoFiE Financial Econometrics Spring School 2015 - Society for Financial Econometrics
Location:
Brussels, National Bank of Belgium, Belgium
Subject:
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]
Notes:
JEL Code:
C
Sponsor:
URL:
http://sofie.stern.nyu.edu/node/531

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