SoFiE Financial Econometrics Summer School 2014
Activity: Participating in or organising an event types › Participation 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 2014 → 1 Aug 2014
|Course||SoFiE Financial Econometrics Summer School 2014|
|Period||28/07/2014 → 01/08/2014|