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Spring School 2015

From GARCH and Stochastic Volatility to Realized Volatility and Options

Spring Course

From GARCH and Stochastic Volatility to Realized Volatility and Options


Professor Torben G. Andersen

Kellogg School of Management, Northwestern University, USA



June 8-9, 2015

Faculty of Economics, University of Coimbra



Course Description: The last decade has seen tremendous growth in the availability of high‐ frequency data, new financial instruments and markets. This course explores the framework that is developing to explore the information in high‐frequency data for return dynamics and asset pricing, with a focus on the risk‐return trade‐off. It will be focused on liquid markets to bring out new issues in “pure” form. The course intends to inspire ideas for future research.

This course is suitable for researchers, academics, MA and PhD students and employees of national and international institutions.

The applications  deadline is May 8th, 2015.