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Workshop Announcement-National University of Singapore(July 16-20, 2012)

作者:系统管理员 发布时间:2012-04-01

The Risk Management Institute at the National University of Singapore (NUS) is organizing a workshop on July 16-20, 2012. This workshop aims to offer cutting-edge knowledge on selected research topics of interest in risk management. Doctoral students at School of Economics and Wang Yanan Institute for studies in Economics are welcome to participate in this workshop. Partial financial support is possible from NUS and Xiamen University.

VENUE

National University of Singapore, Risk Management Institute

21 Heng Mui Keng Terrace, I3 building, Level 4, Singapore 119613

WORKSHOP OUTLINE

The theme of this year's workshop is "Volatility Models".

Day 1: ARCH/GARCH models – univariate and multivariate

Day 2: Stochastic volatility models and their relation to GARCH models

Day 3: Model-free realized volatilities using high-frequency data

Day 4: VIX and derivatives on VIX

Day 5: Option pricing under GARCH/stochastic volatility

 

The workshop will be led by renowned volatility experts.

Prof. Gurdip Bakshi, University of Maryland

Prof. Jin-Chuan Duan, National University of Singapore

Prof. Per Mykland, University of Chicago

Prof. Lan Zhang, University of Illinois – Chicago

FINANCIAL ASSISTANCE

Doctoral students and post doctoral research fellows without funding support may apply for financial assistance to defray registration fees, housing and airfare. Please provide justification, detailed CV and/or sample of research work for consideration.

For more details, please visit

http://www.rmi.nus.edu.sg/events/santandereflyer.html

http://www.rmi.nus.edu.sg/events/santander_workshop.php

For enquiry, please contact:
Ms Teresa Tang (DID: 6516 7215, Email: rmittyl@nus.edu.sg) or Ms Chris Long (DID: 6516 3380, Email: rmilhc@nus.edu.sg)

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