---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Mon, 22 Nov 2004 12:19:06 +0100 From: Oliver Blaskowitz <blaskowitz(a)wiwi.hu-berlin.de> Subject: DLS2005: Dynamic Models of Implied Volatility Dear Madams, Dear Sirs, CASE - Center for Applied Statistics and Economics - an interdisciplinary research center of Humboldt-Universität zu Berlin announces the Distinguished Lecture Series 2005 - "Dynamic Models of Implied Volatility" ( Prof. Stewart Hodges, PhD, Warwick University ) on January 27 and 28, 2005, at Deutsche Bank in Berlin. The course outline: 1. Stylised facts 2. Insights from theory 3. Insights from empirical studies 4. Insights and puzzles related to exotic options Abstract: Understanding the dynamics of the implied volatility surface is important for tasks such as hedging derivatives, measuring risk exposures, valuing exotic options and trading volatility. The literature related to these topics has expanded dramatically over the last few years. This series of lectures will attempt a comprehensive survey. We start from the main observed regularities in the shape and dynamics of implied volatility surfaces. We then review what theory can tell us. For example, about how implied volatility is related to local volatility, and about the shape and dynamics of the surface under alternative models. Armed with this theory, we take a more discerning look at the empirical literature, and also consider the nature of risk premia in volatility markets. Finally, we address situations in which model specification is critical, and we take stock of what we know and what remains to be discovered. Fee: The fees for researchers / professionals are 200,- / 400,- Euro (excluding VAT). Further information you find on http://www.case.hu-berlin.de or in the flyer attached to this mail. If you have any more questions about the course and the enrolment procedure, don't hesitate to contact us. Yours sincerely Prof. Dr. Wolfgang Härdle (+49 - 30 - 2093 - 5630) Oliver Blaskowitz (+49 - 30 - 2093 - 5705) Ying Chen (+49 - 30 - 2093 - 5807) Enzo Giacomini (+49 - 30 - 2093 - 5623) [ attachment removed by admin, file apparently available at ] [ http://www.case.hu-berlin.de/DLS2005/DLS2005.pdf (185 kB) ]