Friday, February 7, 2014

2014 SoFiE Financial Econometrics Summer School at Harvard

The 2014 Society for Financial Econometrics (SoFiE) Summer School in Financial Econometrics will take place July 28 - August 1 at Harvard University. This is the third annual edition; 2012 and 2013 were highly successful, and I'm certain that 2014 will be as well. The topic is the econometrics of option pricing, and the lecturers are Patrick Gagliardini (University of Lugano and the Swiss Finance Institute) and Eric Renault (Brown University). Students are typically drawn from top Ph.D. programs, world-wide. For additional information, and to apply for admission, go to Application deadline is March 25!

The event has an interesting history that traces largely to the vision and energy of Neil Shephard. While still at Oxford running the Oxford-Man Institute of Quantitative Finance, he had the idea, he asked SoFiE to partner with him (I was SoFiE President at the time), and he generously donated Oxford's beautiful facilities and fine administrative services. Now that he's moved to Harvard, the summer school has moved with him. Thanks, Neil, for your many wonderful ongoing contributions to econometrics education.

Here's a detailed 2014 course outline:
1. Stochastic-volatility option pricing. Options prices as expected Black-Scholes price. Volatility smiles.
2. Non-linear State-Space models.
3. GMM with latent variables: Indirect Inference and Implied-States GMM.
4. Nonparametric fitting of implied volatility surfaces. Implied binomial trees and maximum entropy
5. High-frequency data and option pricing
6. Extended Method of Moments (XMM).
7. Volatility risk premium and long memory in volatility.
8. VIX computation and methods for American options.