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Welcome to SoFiE Summer School 2024

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Join us this summer at the Kellogg Global Hub

The Society of Financial Econometrics Summer School of 2024 will take place at Northwestern University’s Kellogg Global Hub from Monday, July 22 to Friday, July 26. 

Scheduled Speakers

Viktor Todorov

Northwestern University

Harold H. Hines Jr. Professor of Risk Management

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Torben Andersen

Northwestern University

Nathan S. and Mary P. Sharp Professor of Finance

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Bryan Kelly

Yale School of Management

Professor of Finance & Associate Director, International Center for Finance

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Oleg Bondarenko

University of Illinois Chicago

Professor, Director of the International Center for Futures and Derivatives (ICFD)

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Topics

“The Econometrics of Derivatives Markets”

The SoFiE Financial Econometrics Summer School in North America will take place at the Kellogg School of Management, Northwestern University, from Monday July 22 through Friday July 26, 2024. 

Topics for the Summer School:

  • Introduction to Financial Market Volatility Estimation and Modeling
  • Review of High-Frequency Econometrics for Financial Data
  • Analysis of Risk Premiums in Continuous-Time Models
  • Econometrics for Parametric Option Pricing Models
  • Nonparametric Methods for Option Pricing with Applications
    • Option-Implied Pricing of Asset Payoffs, including Return Variation Measures
    • Analysis of VIX-Related Measures and the Variance Risk Premium
    • Option-Implied Spot Volatility and Volatility Forecasting
    • Option Tail Measures and Equity Return Predictability
    • Event Study Analysis using Options
  • Option Measurement Errors and Standard Errors for VIX-Type Option Portfolios
  • Econometrics of High-Frequency Option Panels

The editorial board for these annual series is made up of Professors Torben G. Andersen (Northwestern), Luc Bauwens (Catholic University of Louvain), Francis X. Diebold (University of Pennsylvania, past President of SoFiE), Eric Ghysels (University of North Carolina, Chapel Hill, Secretary and Founding Co-President of SoFiE), Ravi Jagannathan (Northwestern and Past President SoFiE), Per Mykland (University of Chicago and President SoFiE), Eric Renault (Brown University and past SoFiE President), Neil Shephard (Harvard University) and Viktor Todorov (Northwestern).

Application Process

Application Process:

Applications should be sent to sofieschool@kellogg.northwestern.edu (with the words “SoFiE Summer School 2024’’ in the subject box). The applications should include a full CV and a motivation letter of half a page explaining why attending this course would be helpful to the applicant’s research. The application deadline is April 12, 2024. Decisions will be emailed by mid-May.

 
Paper presentations: Applicants are strongly encouraged to present some of their own work during the afternoon sessions. For this, they are encouraged to include a paper or a long abstract along with the summer school application. All topics in financial econometrics are acceptable, but with some preference given to topics that are in line with the theme of the summer school. Papers will be selected by the organizing committee.
 
Fee for attending the school: $250 for academics and $900 for non-academics. Confirmation of admission of selected applicants is conditional on receipt of the fee payment in due time (details to be provided in the admission email).
 
All accepted participants are expected to be members of the Society for Financial Econometrics or to 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 and accommodation costs: Attendees are responsible for their own travel and accommodation costs. A list of suitable local hotels will be provided. During the teaching schedule (Monday-Friday), lunch, coffee and tea will be provided free of charge. A free social event will be organized during the week after teaching on one day where students and faculty can meet informally. Evening meals will not be organized and will be at the participants’ own expense.