2010-2011

November 11, 2010

Implied volatility asymptotics in affine stochastic volatility models with jumps

Antoine Jacquier   
Technical University of Berlin

November 11, 2010

Large-time asymptotics for general stochastic volatility models

Martin Forde                                                                                        Dublin City University

November 23, 2010

Long-term Behaviors and Implied Volatilities for General Affine Diffusions

Kyoung-Kuk Kim                                                                                  KAIST

March 3, 2011

Asymptotic behavior of the implied volatility in stochastic asset price models with and without moment explosions

Archil Gulisashvili                                                                               Ohio University

March 4, 2011

Toxicity and Volatility in High Frequency Markets

Maureen O'Hara                                                                                  Cornell University

 

March 9, 2011

Volatility Forecasting Models

Iryna Okhrin                                                                                        European University Vladrina

March 10, 2011

Properties of Hierarchical Archimedean Copulas (Paper)

Ostap Okhrin                                                                                       Humboldt University Vladrina

March 31, 2011

Near-expiration behavior of implied volatility for exponential Levy models

Jose Figueroa-Lopez                                                                           Purdue University

April 8, 2011

Financial Engineering and the Credit Crisis

Paul Embrechts                                                                                    ETH Zürich

April 14, 2011

Measuring Market Speed

Kevin Sheppard                                                                                   Oxford University

May 6, 2011

Modeling Financial Contagion Using Mutually Exciting Jump Processes (Paper)

Yacine Aït-Sahalia                                                                               Princeton University

June 8, 2011

Conditional moment models under weak identification

Bertille Antoine                                                                                   Simone Fraser University

 

June 9, 2011

Generalized Method of Moments with Tail Trimming (Paper)

Eric Renault                                                                                         University of North Carolina at Chapel Hill
Brown University

June 10, 2011

Factors on Demand: Building a Platform for Portfolio Managers, Risk Managers and Traders

Attilio Meucci                                                                                              Kepos Capital LP and Baruch College

 

June 15 - 17, 2011

Fourth Annual SoFie Conference

(Joint Conference: Society of Financial Econometrics (SoFiE) and Stevanovich Center)