The NASDAQ Derivatives Research Project and The Volatility Institute 2017 (Derivatives and Volatility 2017: The State of the Art) | NYU Stern | 27 April 2017 | New York, New York
Venue
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| Event Date | Thu Apr 27 EDT - Fri Apr 28 EDT (over 7 years ago) |
| Location | New York, New York |
| Region | Americas |
Details
"Derivatives and Volatility 2017: The State of the Art" will bring together leading researchers to discuss their work as it relates to the theme. The conference will include presentations from derivatives researchers, Bob Merton, Darrell Duffie, Eduardo Schwartz, John Hull, Alan White, Hayne Leland, and Peter Carr. On the volatility side, presenters include Torben Andersen, Tim Bollerslev, Peter Christoffersen, Frank Diebold, Robert Engle, Eric Ghysels, Paul Glasserman, Bryan Kelly, Michael Wolf, and Liuren Wu. There will also be presentations from practitioners, Blu Putnam, Frank Hatheway, and Bruno Dupire.
Speakers
Speakers for 2017
Peter Carr, “Vol, Skew, and Smile Trading”
Mike Johannes, TBD
Dilip Madan, “Conic Option Pricing: Or How to Price an Option”
Frank Diebold, “The Econometrics of Financial and Macroeconomic
Networks: Retrospect and Prospect”
Michael Wolf, “Large Dynamic Covariance Matrices”
Eric Ghysels, “Granularity and (Downside) Risk in Equity Markets”
Rob Engle
Rob Capellini
Robert Merton, "On the Role of Financial Innovation and Derivative
Markets in Global Economic Growth and Development."
Eduardo Schwartz, “Commodity Pricing Models”
Hayne Leland, “New Results in Dynamic Capital Structure”
John Hull, “Optimal Delta Hedging for Options”
Stephen Figlewski, “An American Call IS Worth More Than a European
Call"
Bryan Kelly, “Forecasting the Distribution of Option Returns”
Torben Andersen, “Unified Inference for Option Panels with Fixed and
Large Time Span”
Peter Christoffersen, “Time-Varying Crash Risk: The Role of Stock
Market Liquidity”
Tim Bollerslev, “Modeling and Forecasting (Un)Reliable Realized
Covariances for More Reliable Financial Decisions”
Darrell Duffie “Good and Bad Unintended Consequences of New
Regulations for Derivatives Markets.”
Liuren Wu, “Decomposing Long Bond Returns”
Ralph Koijen, “An Insurance Market for Market Risk"
Paul Glasserman, “The Market-Implied Probability of Government
Intervention in Distressed Banks”
Blu Putnam, Chief Economist and Managing Director of the Strategic
Intelligence & Analytics team at CME Group
Bruno Dupire, Head of Quantitative Research at Bloomberg L.P.
Frank Hatheway, Chief Economist of the NASDAQ OMX Group Inc.
Sponsors & Partners
No indicated event sponsors.