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SUMMARY:Spring School and Workshop on Volatility Dynamics and Option Price
 s and Econometrics of Intraday Data
DTSTART:20170410T080000
DTEND:20170413T170000
DTSTAMP:20260410T063636Z
UID:a3274a59510437de7118d7345ccdb3d4234f399e756390284beabe37
CATEGORIES:Conferences - Seminars
DESCRIPTION:SPRING SCHOOLSpeakers:\nPeter Christoffersen University of Tor
 onto\nSébastien Laurent IAE Aix-Marseille Université\nTopics of lectures
 :\nPart 1. Volatility Dynamics and Option Prices\, by Peter Christoffersen
 \nPart 2. Econometrics of intraday data\, by Sébastien LaurentWORKSHOPSpe
 akers:  (in addition to Peter Christoffersen and Sébastien Laurent):\nAl
 exandru Badescu University of Calgary\nMatthias Fengler Universität St. G
 allen\nMathieu Fournier HEC Montréal\nLyudmila Grigoryeva Universität Ko
 nstanz\nHughes Langlois HEC Paris\nLoriano Mancini EPFL\nRoger Quadvlieg M
 aastricht University\nVolatility 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 res
 earch topics in financial econometrics. Despite the enormous advances that
  we have seen in the past\, new approaches are under progress.\nThe develo
 pment of econometric models of volatility has taken place simultaneously i
 n 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\, a
 nd financiers have still a lot of progress to make in their understanding 
 of financial risks. This workshop aims at presenting recent advances in vo
 latility modeling and its applications.\nThe spring worskhop is a SoFiE co
 -sponsored joint event.
LOCATION:BI A0 448 https://plan.epfl.ch/?room==BI%20A0%20448
STATUS:CONFIRMED
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