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   


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