SoFiE Financial Econometrics Schools

The SoFiE Financial Econometrics Schools are annual week-long research-based courses for Ph.D. students and new faculty in financial econometrics. For the first two years, the Summer School was held at Oxford University’s Oxford-Man Institute and in 2014 it moved to Harvard University. In 2015 and 2016, it was held in Brussels.

The editorial board for these annual series is made up of Professors Torben Andersen (Northwestern), Luc Bauwens (Catholic University of Louvain), Francis X. Diebold (University of Pennsylvania, past President of SoFiE), Eric Ghysels (University of North Carolina, Chapel Hill, Secretary and Founding Co-President of SoFiE), Ravi Jagannathan (Northwestern and President SoFiE), Per Mykland (University of Chicago and Pr esident-Elect SoFiE), Eric Renault (Brown University and past SoFiE President), Neil Shephard (Harvard University) and Viktor Todorov (Northwestern).
 

UPCOMING: SoFiE Financial Econometrics Schools 2017

SoFiE Financial Econometrics Summer School 2017 at Kellogg

Location: Kellogg School of Management, Northwestern University, 2211 Campus Drive, Evanston, IL 60208

Start date: Monday July 24, 2017 at 12:00
End date: Friday, July 28, 2017 at 12:00
There will be three hours of lectures a day, starting at 14:00 on Monday after registration and finishing at 12:00 Friday. There will also be afternoon (Tuesday-Wednesday-Thursday) sessions for presentations by participants of their own work

The 2017 confirmed lecturers are:
Professor Torben G. Andersen (Kellogg School, Northwestern University)
Professor Viktor Todorov (Kellogg School, Northwestern University)

Title: The Econometrics of Derivatives Markets

Applications: should be sent to catherine.bullard@kellogg.northwestern.edu (with the words ''SoFiE Summer School 2017'' in the subject box). The applications should include a full CV and a motivation letter of half a page explaining why attending this course would be helpful to the applicant’s research. The application deadline is April 10, 2017. Decisions will be emailed by April 21, 2017.

Paper Presentations: Applicants are strongly encouraged to present some of their own work during the afternoon sessions. For this, they are encouraged to include a paper or a long abstract along with the summer school application. All topics in financial econometrics are acceptable, but with some preference given to topics that are in line with the theme of the summer school. Papers will be selected by the organizing committee.

Outline of the Lectures:
Introductory Material
Basic Option Pricing Techniques, including Fourier Inversion Methods;
Introduction to High-Frequency Return Measures.
Topic 1
The econometrics of parametric option pricing inference under alternative asymptotic settings (large and short time spans, large and short cross-section of strikes).
Topic 2
Latent factor extraction and inference from Option Surfaces. Empirical Applications to Return and Risk Predictability.
Topic 3
Nonparametric methods for option pricing and implied risk measures, including option-based volatility and tail indices.
Topic 4
High-frequency Econometrics for Derivatives Data. Real time price and volatility discovery.

Fees:
$200 dollars for academics and $750 dollars for non-academics. Confirmation of admission of selected applicants is conditional on receipt of the fee payment in due time (details to be provided in the admission email).

All accepted participants are expected to be members of the Society for Financial Econometrics or to join before their place is confirmed. See http://sofie.stern.nyu.edu/membership on how to join the society (where a student membership option is available).

Travel Accommodation Costs: Attendees are responsible for their own travel and accommodation costs. A list of suitable local hotels will be provided. During the teaching schedule (Monday-Friday), lunch, coffee and tea will be provided free of charge. A free social event will be organized during the week after teaching on one day where students and faculty can meet informally. Evening meals will not be organized and will be at the participants’ own expense.

Local Organizing Committee:
Torben G. Andersen (Kellogg), Ravi Jagannathan (Kellogg), Nicola Fusari (Johns Hopkins University), Robert Korajczyk (Kellogg), Vadim Linetsky (Northwestern University), Per Mykland (University of Chicago), Viktor Todorov (Kellogg).

Sponsors:
The Society for Financial Econometrics, Kellogg School of Management, The Financial Institutions Center at Kellogg.

Website: SoFiE Financial Econometrics Summer School 2017 at Kellogg 

 

Brussels SoFiE Summer School 2017

Location: Brussels, National Bank of Belgium, Room A,
Rue Montagne aux Herbes Potagères/Warmoesberg 61, 1000 Brussels

Start date: Monday June 26, 2017 at 12:00
End date: Friday, June 30, 2017 at 12:00
There will be three hours of lectures a day, starting at 14:00 on Monday after registration and finishing at 12:00 Friday. There will also be afternoon (Tuesday-Wednesday-Thursday) sessions for presentations by participants of their own work

The 2017 confirmed lecturers are:
Professor Anh Le, Penn State University
Professor Kenneth Singleton, Stanford University

Title: Modelling the Term Structure of Interest Rates

Applications: Should be sent to leonardo.iania@uclouvain.be (with the words `SoFiE School 2017’ in the subject box). The applications should include a full CV and motivation letter (half-page length) explaining why attending this course would be helpful to the applicant’s research work. The application deadline is 2 April 2017. Decisions will be emailed out by 24 April 2017.

Paper Presentations: Applicants are strongly encouraged to present some of their thesis work during the afternoon sessions. For this, they should preferably append a paper to their application. They can submit an extensive abstract if the paper is not yet finished. Priority in admission to the school will be given firstly to applicants who submit an acceptable paper, secondly to those who submit an acceptable abstract, thirdly to other. The paper topics need not be closely linked to the course but obviously must be in the field of financial econometrics. Papers will be selected by the organizing committee on the basis of their quality.

Schedule:
I) Introduction
(i) Review the salient empirical properties of bond yields (conditional moments, factor structure, etc.) and several of the empirical puzzles related to the distributions of bond yields;
(ii) Review non-arbitrage pricing of default-free bonds; and
(iii) Introduce alternative parametric models for pricing bonds, including affine and linear-rational models.
II) Reduced-Form, Affine Term Structure Models
(i) Alternative normalizations for achieving identification;
(ii) Estimation strategies for dynamic term structure models; and
(iii) Goodness-of-fit of affine models of bond yields.
III) Equilibrium Models of the Term Structure
(i) Pricing bonds in models with long-run risk;
(ii) Habit formation and risk premiums in bond markets; and
(iii) Empirical challenges in matching distributions of yields in equilibrium models.
IV) Spanning Restrictions in Dynamic Term Structure Models
(i) Economic motivations for spanning restrictions;
(ii) Evidence of unspanned factors and their implications for modeling risk premiums in bond markets; and
(iii) Learning in bond markets.
V) Time-Varying Volatility in Bond Markets
(i) Unspanned volatility in bond markets;
(ii) Potential resolutions of the tension between fitting conditional means and variances of yields; and
(iii) Using options data to infer volatilities in bond markets.

Fees:
200 euros for Ph. D. students and faculty members attending this course.
500 euros for Ph.D. level colleagues from other institutions.
Confirmed admission of a selected applicants will be conditional on the fee payment in due time (details will be provided in the admission email).

All accepted participants 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 (where a student membership option is available).

Travel Accommodation Costs: Attendees will be required to pay their own travel and accommodation. No assistance will be offered in this respect. During the teaching schedule (Monday-Friday) at the National Bank of Belgium, lunch, coffee and tea will be provided free of charge. A free social event based on beer tasting will be organized during the week after teaching on one day where students and faculty can meet informally. Evening meals will not be organized and will be at the expense of the participants.

Local Organizing Committee:
Luc Bauwens (UCL), Kris Boudt (VUB), Geert Dhaene (KU Leuven), Christophe Croux (KU Leuven), Leonardo Iania (UCL), Raf Wouters (NBB).

Sponsors:
Center for Operations Research and Econometrics (CORE), FINS@VUB, Fondation Louvain, KU Leuven, Louvain Finance, National Bank of Belgium, TreeTop AM.

Website: TBD 

 

PREVIOUS SCHOOLS:

2016 Summer School
Dates: July 11, 2016 – July 15, 2016
Host: National Bank of Belgium
Location: Brussels, Belgium
Lecturers:
Professor Christian Gourieroux (University of Toronto & CREST)
Professor Jean-Michel Zakoian (University of Lille & CREST)
Theme: "Noncausal Autoregressive Process and the Modelling of Speculative Bubbles"
A recent statistical and econometric literature highlights the importance of mixed causal/noncausal ARMA processes for the modeling of macroeconomic and financial time series. Indeed the nonlinear causal dynamic of such processes can capture unit roots, asymmetric cycles, and bubbles features. The objective of the lectures is to present the notions and concepts of the literature on noncausal processes and to explain how they can be used for the modeling and analysis of speculative bubbles. The focus will be both on the modelling and statistical aspects.
Website: Click here

2015 Spring School
Dates: June 1, 2015 – June 5, 2015
Host: National Bank of Belgium
Location: Brussels, Belgium
Lecturers:
Professor Patrick Gagliardini (University of Lugano & Swiss Finance Institute)
Professor Eric Renault (Brown University)
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.
Website: Click here

2014 Summer School
Dates: July 28, 2014 – August 1, 2014
Host: Department of Statistics at Harvard University
Location: Cambridge, MA USA
Lecturers:
Professor Patrick Gagliardini (University of Lugano & Swiss Finance Institute)
Professor Eric Renault (Brown University)
Topic: "The Econometrics of Option Pricing"
Website: Click here

2013 Summer School
Dates: July 29, 2013 to August 2, 2013
Host: Oxford-Man Institute of Quantitative Finance at the University of Oxford
Location: Oxford, UK
Lecturers:
Professor Andrew Patton (Duke)
Professor Allan Timmermann (UCSD)
Topic: "Financial Forecasting"
Website: Click here

2012 Summer School
Dates: July 30, 2012 to August 3, 2012
Host: Oxford-Man Institute of Quantitative Finance at the University of Oxford
Location: Oxford, UK
Lecturers:
Professor Francis X. Diebold (University of Pennsylvania)
Professor Peter Christoffersen (University of Toronto)
Topic: "New Directions in the Financial Econometrics of Volatility, Correlation, and Option Price Dynamics"
Website: Click here