SoFiE Financial Econometrics Summer School, July 28 - August 1, 2014

The SoFiE Financial Econometrics Summer School is an annual week long research based course for Ph.D. students and new faculty in financial econometrics. For the first two years it was held at Oxford University’s Oxford-Man Institute and has now moved to Harvard University. The editorial board for this annual series is made up of Professors Francis X. Diebold (University of Pennsylvania, past President of SoFiE), Eric Ghysels (University of North Carolina, Chapel Hill, Secretary and past Co-President of SoFiE and Editor of JFEC), Eric Renault (Brown University and SoFiE President) and Neil Shephard (Professor of Economics and of Statistics, Harvard University).

Location: Harvard University

Start date: Monday, July 28, 2014

End date: Friday, August 1, 2014

The 2014 confirmed lecturers are:

Professor Patrick Gagliardini (University of Lugano & the Swiss Finance Institute)

Professor Eric Renault (Brown University)

Title: "The Econometrics of Option Pricing"

The lectures will be organized around eight themes in the following order:

1. The role of stochastic volatility in option pricing. Options prices as expectations of a Black-Scholes price. The volatility smile.

2. Non-linear State-Space models.

3. Extensions of the Generalized Method of Moments (GMM) to accommodate latent variables: Indirect Inference and Implied-States GMM.

4. Nonparametric methods to fit the implied volatility surface. Implied binomial trees and maximum entropy.

5. High-frequency data and option pricing.

6. The Extended Method of Moments (XMM).

7. Volatility risk premium and long memory in volatility.

8. VIX computation and methods for American options.

There are 30 spaces in the School. Applications for places should be sent to rinkel@stat.harvard.edu (including the words Summer School in the subject box). The applications should include a full CV and 1/2 a page about why attending this course would be helpful to their research work. The application deadline is 25 March 2014. Decisions will be emailed out by 1 April 2014.

There will be three hours of lectures a day, starting at 12:00 on Monday and finishing at 13:00 Friday. Participants will also have a chance to make short presentations of their work on this topic, if they wish to.

There is no charge for students and faculty attending this course. Ph.D. level colleagues from industry can also apply, but there will be a modest charge, please email rinkel@stat.harvard.edu for details.

New faculty and industry colleagues will be expected to be members of the Society for Financial Econometrics or join before their place is confirmed. See http://sofie.stern.nyu.edu/membership on how to join the society.

People attending will be required to pay their own travel, but we will offer free accommodation typically in Graduate School of Arts and Sciences residences. Instead of staying there people can choose to stay in a local hotel at their own cost. We will provide, without charge, lunch, coffee and tea during the day at Harvard as well as a summer school dinner.