SoFiE Financial Econometrics Summer School 2014: Eight Themes

The lectures (entitled "The Econometrics of Option Pricing") 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.

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