Distinguished Lecture Series 2005

Dynamic Models of Implied Volatility

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Stewart Hodges

Financial Options Research Centre

University of Warwick



January 27 - 28, 2005

Location

Deutsche Bank
Unter den Linden 13 / 15
(Eingang Charlottenstrasse)
10117 Berlin

Topics

1. Stylised facts
2. Insights from theory
3. Insights from empirical studies
4. Insights and puzzles related to exotic options


Schedule

January 27, 2005

January 28, 2005


10:00 - 11:00

11:30 - 12:30

12:30 - 14:00

14:00 - 15:00


15:30 - 16:30


17:30 - 18:30


Stylised facts I

Stylised facts II

Lunch

Insights from theory I


Insights from theory II


Computing Lab Experience with XploRe


09:00 - 10:00

10:30 - 11:30

11:30 - 13:00

13:00 - 14:00


14:30 - 15:30


17:30 -


Insights from empirical studies I

Insights from empirical studies II

Lunch

Insights and puzzles related to exotic options I

Insights and puzzles related to exotic options II

Farewell dinner


Slides

Here you can find the slides from the talks.

Enrollment

We ask anyone wishing to participate to detach the reservation part from the leaflet and send it to us by fax.

Organisation

Prof. Dr. Wolfgang Härdle
Dipl. Vw. Oliver Blaskowitz
Ying Chen, M. Sc.
Enzo Giacomini, M. Sc.

CASE - Center for Applied Statistics and Economics

Humboldt-Universität zu Berlin
Wirtschaftswissenschaftliche Fakultät
Spandauer Str. 1
10178 Berlin








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Fax: +49(0)30-2093-5649
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