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)
