The lectures (entitled "The Econometrics of Option Pricing") will be organized around eight themes in the following order:
- The role of stochastic volatility in option pricing. Options prices as expectations of a Black-Scholes price. The volatility smile.
- Non-linear State-Space models.
- Extensions of the Generalized Method of Moments (GMM) to accommodate latent variables: Indirect Inference and Implied-States GMM.
- Nonparametric methods to fit the implied volatility surface. Implied binomial trees and maximum entropy.
- High-frequency data and option pricing.
- The Extended Method of Moments (XMM).
- Volatility risk premium and long memory in volatility.
- VIX computation and methods for American options.