[Forum SIS] ANNOUNCEMENT: SoFiE Financial Econometrics Spring School 2015

[Giuseppe STORTI]

 SoFiE Financial Econometrics Spring School 2015 

 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 in 2014 it moved to Harvard University. In
2015, a Spring School will be organized in Brussels, and a Summer School
at Harvard. The lecturers and topics will differ between the two
Schools.

 The editorial board for these annual series is made up of
Professors 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 and Editor of JFEC), Eric Renault (Brown
Unniversity and SoFiE President), and Neil Shephard (Harvard
University).

 LOCATION: Brussels, National Bank of Belgium

START DATE:
Monday, June 1, 2015

END DATE: Friday, June 5, 2015

 THE 2015
CONFIRMED LECTURERS ARE:

 Patrick Gagliardini _(University of Lugano &
Swiss Finance Institute)_

 Eric Renault _(Brown University)_

 THE
LECTURES WILL BE ORGANIZED AROUND FOUR 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.

 There are 30 spaces in the School.
Applications should be sent to_ luc.bauwens at uclouvain.be [1]_ (including
the words_ 'SoFiE Spring School 2015'_ in the subject line). The
applications should include a full CV and motivation letter of half a
page explaining why attending this course would be helpful to the
applicant's research work. THE APPLICATION DEADLINE IS 6 FEBRUARY 2015.
Decisions will be emailed out by 7 March 2015. Participants will also
have a chance to make short presentations of their work related to the
topics of the lectures, if they wish to and append a full paper to their
applications. The organizing committee will select the papers.

 There
will be three hours of lectures a day, starting at 14:00 on Monday after
registration and finishing at 12:00 Friday. 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
_luc.bauwens at uclouvain.be [2]_ 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 [3]_ on how to join the
society.

 People attending will be required to pay their own travel and
accommodation. We will provide, without charge, lunch, coffee and tea
during the teaching schedule (Monday-Friday) at the National Bank of
Belgium. A social event based on beer tasting will be organized during
the week after teaching one day (probably Thursday) 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), Christophe Croux (KU
Leuven), 
 Geert Dhaene (KU Leuven), Leonardo Iania (UCL), David Veredas
(ULB), Raf Wouters (NBB) 

 Sponsors
Center for Operations Research and
Econometrics (CORE)
FINS at VUB
Fondation Louvain
KU Leuven
Louvain School
of Management Research Institute (ILSM)
National Bank of Belgium
TreeTop
AM
ULB 

 You can join SoFiE at _http://sofie.stern.nyu.edu/membership
[4]_.
Join the _Society for Financial Econometrics (SoFiE) group_ [5]on
Facebook. 

To unsubscribe from this group and stop receiving emails
from it, send an email to sofie_announce+unsubscribe at stern.nyu.edu [6].


--

-----------------------------------------------------------------
Giuseppe
Storti
Associate Professor of Economic Statistics
Dept. of Economics
and Statistics (DiSES)
University of Salerno, Via G. Paolo II 132, 84084
(Fisciano, SA), Italy.
Tel. 0039 089962212 Fax 0039089962049
email:
storti at unisa.it
web:
http://www.unisa.it/docenti/giuseppestorti/index
 

Links:
------
[1]
mailto:luc.bauwens at uclouvain.be
[2] mailto:luc.bauwens at uclouvain.be
[3]
http://sofie.stern.nyu.edu/membership
[4]
http://sofie.stern.nyu.edu/membership
[5]
https://www.facebook.com/groups/sofienyu/
[6]
mailto:sofie_announce+unsubscribe at stern.nyu.edu
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