[FAM-news] DLS2005: Dynamic Models of Implied Volatility (fwd)

Andreas Schamanek schamane at fam.tuwien.ac.at
Mon Nov 22 15:34:58 CET 2004


---------- Forwarded message ----------
From: Walter Schachermayer <wschach at fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Mon, 22 Nov 2004 12:19:06 +0100
From: Oliver Blaskowitz <blaskowitz at 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) ]



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