Spring School and Workshop on Volatility Dynamics and Option Prices and Econometrics of Intraday Data
Event details
| Date | 10.04.2017 › 13.04.2017 |
| Hour | 08:00 › 17:00 |
| Speaker |
SPRING SCHOOL Speakers: Peter Christoffersen University of Toronto Sébastien Laurent IAE Aix-Marseille Université Topics of lectures: Part 1. Volatility Dynamics and Option Prices, by Peter Christoffersen Part 2. Econometrics of intraday data, by Sébastien Laurent WORKSHOP Speakers: (in addition to Peter Christoffersen and Sébastien Laurent): Alexandru Badescu University of Calgary Matthias Fengler Universität St. Gallen Mathieu Fournier HEC Montréal Lyudmila Grigoryeva Universität Konstanz Hughes Langlois HEC Paris Loriano Mancini EPFL Roger Quadvlieg Maastricht University |
| Location | |
| Category | Conferences - Seminars |
Volatility modeling appeared more than thirty years ago with the publication in 1982 of a paper where Rob Engle introduced the ARCH model. Volatility modeling is to this day one of the most active research topics in financial econometrics. Despite the enormous advances that we have seen in the past, new approaches are under progress.
The development of econometric models of volatility has taken place simultaneously in academia and in the financial industry. The very difficult situation of the financial sector and the global economy since the 2008 crisis and its dramatic consequences, have made it clear that academics, regulators, and financiers have still a lot of progress to make in their understanding of financial risks. This workshop aims at presenting recent advances in volatility modeling and its applications.
The spring worskhop is a SoFiE co-sponsored joint event.
The development of econometric models of volatility has taken place simultaneously in academia and in the financial industry. The very difficult situation of the financial sector and the global economy since the 2008 crisis and its dramatic consequences, have made it clear that academics, regulators, and financiers have still a lot of progress to make in their understanding of financial risks. This workshop aims at presenting recent advances in volatility modeling and its applications.
The spring worskhop is a SoFiE co-sponsored joint event.
Links
Practical information
- General public
- Free
Organizer
- Luc Bauwens (Université catholique de Louvain; SKEMA Business School)
Youri Kabanov (Université de Franche-Comté)
Juan-Pablo Ortega (Universität St. Gallen; Centre National de la Recherche Scientifique - CNRS)
Contact
- Valérie Krier