SoFiE Financial Econometrics Summer School 2014

Activity: Participating in or organising an event typesParticipation in workshop, seminar, course

Rasmus Søndergaard Pedersen - Participant

Lecturers are: Professor Patrick Gagliardini (University of Lugano & the Swiss Finance Institute) and Professor Eric Renault (Brown University) 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.
28 Jul 20141 Aug 2014

Course

CourseSoFiE Financial Econometrics Summer School 2014
LocationHarvard University
CountryUnited States
CityCambridge, MA
Period28/07/201401/08/2014

ID: 108020378