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

10 - 13 April 2017
Organisers :
  • Luc Bauwens
  • Juan-Pablo Ortega

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

Volatility Modeling and Applications
Alexandru Badescu ...

School and Workshop on Dynamical Models in Finance

22 - 24 May 2017
Organisers :
  • Damir Filipovic
  • Juan-Pablo Ortega
  • Luc Bauwens
  • Yuri Kabanov
The development of adequate modeling tools for the dynamical evolution of market prices and interest rates is of strategic importance for the financial industry and is at the core of the interests of much academic research. These models are, for example, the first building blocks in the construction of pricing ...

Professor Darrell Duffie Bernoulli Lecture - Continuous-time random matching

29 May 2017
Organisers :
  • Darrell Duffie

Joint work with Lei Qiao and Yeneng Sun.

We show the existence of independent random matching of a large population in a continuous-time dynamical system, where the matching intensities could be general non-negative jointly continuous functions on the space of type distributions and the time line. In particular, we construct a ...

Final Conference - Stochastic Dynamical Models in Mathematical Finance, Econometrics, and Actuarial Sciences

29 May - 02 June 2017
Organisers :
  • Luc Bauwens
  • Yuri Kabanov
  • Juan-Pablo Ortega

This conference is the last major event of the program “Stochastic dynamical models in mathematical finance, econometrics, and actuarial sciences”. Some of the top researchers in the fields represented in the semester will present their results. The speakers will cover a wide range of topics including stochastic calculus and processes, ...

Professor Robert Engle Bernoulli Lecture - Systemic Risk with Endogenous Cycles

01 June 2017
Organisers :
  • Robert Engle
1 June 2017 - Anthropole - Room 1031 (Unil campus)

This is a CIB-EPFL and the Faculty of Business and Economics (HEC Lausanne) - Unil joint event.

Robert Engle short biography.

Introductory Workshop on Euler Systems and Special Values of L-functions

21 - 25 August 2017
Stay tuned for more information.

Special Cycles on Shimura Varieties and Iwasawa Theory

28 August - 01 September 2017
Stay tuned for more information.

Recent Developments on the Arithmetic of Special Values of L-functions

11 - 15 December 2017
Stay tuned for more information.