September 16, 2019
September 20, 2019
250 euros for Ph.D. students or academics attending this course. 750 euros for other participants.
National Bank of Belgium, Room A, Rue Montagne aux Herbes Potagères/Warmoesberg 61,
The 2019 SoFiE Financial Econometrics School will be held in Brussels on September 16-20. This year's topic is Dynamic Pricing with Discrete Time Affine Processes
The SoFiE Financial Econometrics Schools are annual week-long research-based courses for Ph.D. students and new faculty in financial econometrics. For the first two years, the Summer School was held at Oxford University’s Oxford-Man Institute and in 2014 it moved to Harvard University. In 2015 and 2016, it was held in Brussels. Since 2017, The SoFiE Financial Econometrics Summer School takes place in North America, Asia and Europe. The 2019 European edition will continue to take place in Bruxelles, at the National Bank of Belgium and is co-organised by the National Bank of Belgium, the Free Universtiy of Brussels, the KULeuven and the UCLouvain.
The editorial board for these annual series is made up of the following professors:
Torben G. Andersen(Northwestern University)
Luc Bauwens (Catholic University of Louvain)
Francis X. Diebold (University of Pennsylvania, past President of SoFiE)
Eric Ghysels (University of North Carolina, Chapel Hill, Founding Co-President of SoFiE)
Per Mykland (University of Chicago and President SoFiE)
Eric Renault (Brown University and past SoFiE President)
Neil Shephard (Harvard University)
Viktor Todorov (Northwestern University)
Local organizing committee: Luc Bauwens (UCL), Kris Boudt (VUB, UGhent), Geert Dhaene (KU Leuven), Leonardo Iania (UCL), Raf Wouters (NBB).
Alain Monfort is Honorary Professor at ENSAE (Ecole Nationale de la Statistique et de l'Administration Economique) and researcher at CREST (Centre de Recherche en Economie et Statistique) in Paris. He previously was Professor at Ecole Polytechnique, Director of Studies of ENSAE, Director of the Resarch Department of INSEE (the French statistical institute) and Director of CREST. He is graduated from Ecole Polytechnique de Paris and ENSAE. He had various editorial activities, in particular he served as co-editor of Econometrica and he founded the Annals of Economics and Statistics. He is author or co-author of ten books and of more than ninety research articles in probabilty, statistics, econometric theory and financial econometrics.
Jean-Paul Renne is an Assistant Professor at the Faculty of Business and Economics of the University of Lausanne. He previously worked as an economist and researcher at the Banque de France. Jean-Paul Renne is graduated from the Ecole Polytechnique de Paris and Ecole Nationale des Ponts et Chaussées (ENPC) in France. He also holds a Master degree in Public Actions from the ENPC and a PhD in Applied Mathematics from Paris-Dauphine University. His research focuses on the modelling of time series, with applications to the dynamics of interest rates and the pricing of credit and systemic risks.
This course shows how discrete time affine processes can be used to derive asset prices and to model their dynamics. A first part presents the discrete-time affine processes and their properties. It highlights the richness of these processes and shows how they can conveniently be incorporated within asset-pricing frameworks. A second part presents various applications. It focuses in particular on the pricing of commodity-related financial products, interest rates, credit, liquidity, contagion and systemic risks.
Part I: Discrete Time Affine Processes and Asset Pricing Strategies
a) Multi-horizon Laplace Transforms, Truncated Laplace Transforms
b) Discrete Time Affine Processes (Markov Chains, Switching Gaussian, Gamma, V-ARG, Wishart processes)
c) Absence of Arbitrage Opportunity, Stochastic Discount Factor, Risk-Neutral Dynamics, Modeling Strategies
Part II: Applications
a) Pricing of Commodity Derivatives (Forwards, Futures, Options), Convenience Yields
b) Pricing of Risk Free and Defaultable Bonds
c) Disentangling Credit and Liquidity Risks
d) Pricing Credit Events, Disastrous Defaults and Contagion
There will be three hours of lectures a day, starting at 14:00 on Monday after registration and finishing at 12:00 on Friday. There will also be afternoon sessions for presentations by selected participants. The speakers will participate to this afternoon sessions.
Applicants are encouraged to present some of their work during two afternoon sessions of the last day. For this, they should preferably append a paper to their application. They can submit an extensive abstract if the paper is not yet finished. The paper topics need not be closely linked to the course but obviously must be in the field of financial econometrics. Papers will be selected by the organizing committee on the basis of their quality.
They should be sent to firstname.lastname@example.org (with the words "SoFiE School 2019" in the subject box). The applications should include a full CV and motivation letter of half a page explaining why attending this course would be helpful to the applicant's research work. The application deadline is 15 May 2019. Decisions will be emailed out by 01 June 2019.
Fee attending the school:
250 euros for Ph.D. students or academics attending this course
750 euros for other participants
All accepted participants will be expected to be members of the Society for Financial Econometrics or join before their place is confirmed. See http://sofie.stern.nyu.edu/membership on how to join the society (where a student membership option is available).
Travel accomodation costs:
People attending will be required to pay their own travel and accomodation. No assistance will be offered in this respect. During the teaching schedule (Monday-Friday) at the National Bank of Belgium, lunch, coffee and tea will be provided free of charge. Evening meals will not be organized and will be at the expense of the participants.
Center for Operations Research and Econometrics (CORE), FINS@VUB, Foundation Louvain, KU Leuven, Louvain Finance, National Bank of Belgium, TreeTop AM