Spring School and Workshop on Volatility Dynamics and Option Prices and Econometrics of Intraday Data

10 - 13 April 2017

Room : BI A0 448

Organiser

Luc Bauwens, Université catholique de Louvain
Juan-Pablo Ortega, Universität St. Gallen

SPRING SCHOOL
Speakers:
Loriano Mancini EPFL
Sébastien Laurent IAE Aix-Marseille Université

Part 1.:
Volatility Dynamics and Option Prices
Lecture by Loriano Mancini
Monday 10 April
10:00-12:00 Lecture 1
14:00-16:00 Lecture 2
Tuesday 11 April
10:00-12:00 Lecture 3

Part 2.:
Econometrics of intraday data
Lecture by Sébastien Laurent
Wednesday 12 April
14:00-16:00 Lecture 1
Thursday 13 April
10:00-12:00 Lecture 2
Thursday 13 April
14:00-16:00 Lecture 3

WORKSHOP
Volatility Modeling and Applications
Speakers:
Alexandru Badescu University of Calgary
Matthias Fengler Universität St. Gallen
Mathieu Fournier HEC Montréal
Lyudmila Grigoryeva Universität Konstanz
Hughes Langlois HEC Paris
Sébastien Laurent IAE Aix-Marseille Université
Rogier Quaedvlieg Maastricht University
Rainer von Sachs Université catholique de Louvain

Volatility modeling appeared more than thirty years ago with the publication in 1982 of a paper where Rob Engle introduced the ARCH model. Volatility modeling is to this day one of the most active research topics in financial econometrics. Despite the enormous advances that we have seen in the past, new approaches are under progress.

The development of econometric models of volatility has taken place simultaneously in academia and in the financial industry. The very difficult situation of the financial sector and the global economy since the 2008 crisis and its dramatic consequences, have made it clear that academics, regulators, and financiers have still a lot of progress to make in their understanding of financial risks. This workshop aims at presenting recent advances in volatility modeling and its applications.

Schedule of workshop
Tuesday 11 April
13:30-14:15 Paper 1 - Mathieu Fournier HEC Montréal
14:15-15:00 Paper 2 - Alexandru Badescu University of Calgary
15:00-15:30 Coffee break
15:30-16:15 Paper 3 - Matthias Fengler Universität St. Gallen
16:15-17:00 Paper 4 - Lyudmila Grigoryeva Universität Konstanz
Wednesday 12 April
09:00-09:45 Paper 5 - Sébastien Laurent IAE Aix-Marseille Université
09:45-10:30 Paper 6 - Rogier Quaedvlieg Maastricht University
10:30-11:00 Coffee break
11:00-11:45 Paper 7 - Rainer von Sachs Université catholique de Louvain
11:45-12:30 Paper 8 - Hughes Langlois HEC Paris

Book of abstracts of the workshop
Sébastien Laurent Spring School slides

The spring worskhop is a SoFiE co-sponsored joint event.
Name University Dates of visit
Damien Ackerer EPFL 10/04/2017 - 13/04/2017
Artem Ahanin National Research University Higher School of Economics 10/04/2017 - 13/04/2017
Omer Deniz Akyildiz Carlos III University of Madrid 10/04/2017 - 13/04/2017
Ugochukwu Michael Anyanwu LUISS Guido Carli 10/04/2017 - 13/04/2017
Alexandru Badescu University of Calgary 01/04/2017 - 30/04/2017
Philippe Deschamps UNIFR 10/04/2017 - 13/04/2017
Timo Dimitriadis Universität Konstanz 10/04/2017 - 13/04/2017
Mengqi Du Lancaster University 10/04/2017 - 13/04/2017
Matthias Fengler Universität St. Gallen 09/04/2017 - 13/04/2017
Mathieu Fournier HEC Montréal 09/04/2017 - 14/04/2017
Lyudmila Grigoryeva Universität Konstanz 01/04/2017 - 30/06/2017
Max-Olivier Hongler EPFL 10/04/2017 - 13/04/2017
Hugues Langlois HEC Paris 10/04/2017 - 13/04/2017
Sébastien Laurent Aix-Marseille Université 11/04/2017 - 13/04/2017
Younhee Lee Chungnam National University 10/04/2017 - 13/04/2017
Loriano Mancini EPFL 10/04/2017 - 13/04/2017
Ashraf Mohamed UNINE 10/04/2017 - 13/04/2017
Rogier Quaedvlieg Erasmus University Rotterdam 09/04/2017 - 14/04/2017
Julie Schnaitmann Universität Konstanz 10/04/2017 - 13/04/2017
Stefan Tappe Leibniz Universität Hannover 03/04/2017 - 30/06/2017
Michael Tseng EPFL 10/04/2017 - 13/04/2017
Rainer von Sachs Université catholique de Louvain 09/04/2017 - 14/04/2017
Rainer von Sachs Université catholique de Louvain 10/04/2017 - 13/04/2017
Hao Xue EPFL 10/04/2017 - 13/04/2017
Name University Dates of visit
Alexandru Badescu University of Calgary 01/04/2017 - 30/04/2017
Matthias Fengler Universität St. Gallen 09/04/2017 - 13/04/2017
Mathieu Fournier HEC Montréal 09/04/2017 - 14/04/2017
Lyudmila Grigoryeva Universität Konstanz 01/04/2017 - 30/06/2017
Hugues Langlois HEC Paris 10/04/2017 - 13/04/2017
Sébastien Laurent Aix-Marseille Université 11/04/2017 - 13/04/2017
Loriano Mancini EPFL 10/04/2017 - 13/04/2017
Rogier Quaedvlieg Erasmus University Rotterdam 09/04/2017 - 14/04/2017
Rainer von Sachs Université catholique de Louvain 10/04/2017 - 13/04/2017
Monday 10 April
09:00-10:00 Registration
10:00-12:00 Lecture 1 School - Loriano Mancini EPFL
14:00-16:00 Lecture 2 School - Loriano Mancini EPFL

Tuesday 11 April
10:00-12:00 Lecture 3 School - Loriano Mancini EPFL
13:30-14:15 Paper 1 WS - Mathieu Fournier HEC Montréal
14:15-15:00 Paper 2 WS - Alexandru Badescu University of Calgary
15:00-15:30 Coffee break
15:30-16:15 Paper 3 WS - Matthias Fengler Universität St. Gallen
16:15-17:00 Paper 4 WS - Lyudmila Grigoryeva Universität Konstanz

Wednesday 12 April
09:00-09:45 Paper 5 WS - Sébastien Laurent IAE Aix-Marseille Université
09:45-10:30 Paper 6 WS - Rogier Quaedvlieg Maastricht University
10:30-11:00 Coffee break
11:00-11:45 Paper 7 WS - Rainer von Sachs Université catholique de Louvain
11:45-12:30 Paper 8 WS - Hughes Langlois HEC Paris
14:00-16:00 Lecture 1 School - Sébastien Laurent IAE Aix-Marseille Université

Thursday 13 April
10:00-12:00 Lecture 2 School - Sébastien Laurent IAE Aix-Marseille Université
14:00-16:00 Lecture 3 School - Sébastien Laurent IAE Aix-Marseille Université