Conference on Volatility and High Frequency Data

 

Chicago, April 21-22, 2007


The Stevanovich Center for Financial Mathematics



Invited Speakers
Program
Conference Site & Accomodations
Proceedings
Registration

The past ten years have seen enormous developments in measuring volatility of financial instruments. On the econometric side, increased use of sophisticated statistical and probabilistic techniques now permit the transformation of high frequency trading data into increasingly reliable estimates of volatility and related quantities. At the same time, methods for studying implied volatility from derivatives data have made great progress. This conference brings together some of the world's leading scholars to further push the boundaries of our understanding of this field.



Invited Speakers

Yacine Ait-Sahalia, Department of Economics, Princeton University
Torben Andersen, Finance department, Northwestern University
Federico Bandi, Graduate School of Business, University of Chicago
Luca Benzoni, Federal Reserve Bank, Chicago, and Finance Department, Carlson School of Management, University of Minnesota
Henri Berestycki, Ecole des Hautes Etudes en Sciences Sociales, Paris
Tim Bollerslev, Department of Economics, Duke University
Oleg Bondarenko, Department of Finance, University of Illinois at Chicago
Peter Carr Mathematics Department, New York University
Ying Chen Weierstrass-Institute
Dobrislav Dobrev, Finance department, Northwestern University
Robert Engle, Department of Finance, New York University
Rene Garcia, CIREQ / D¨¦partement de sciences ¨¦conomiques, Universit¨¦ de Montr¨¦al
Giampiero M. Gallo, Dipartimento di Statistica "G.Parenti", Universit¨¤ di Firenze
Sandy Grossman, Quantitative Financial Strategies, Inc
Eric Ghysels, Department of Economics, University of North Carolina - Chapel Hill
Jan Hannig, Department of Statistics, Colorado State University
Roger Lee, Department of Mathematics, University of Chicago
Suzanne Lee, College of Management, Georgia Institute of Technology
Yingying Li, Department of Statistics, University of Chicago
Oliver Linton, Department of Economics,University of London
Jean Jacod, Laboratoire de Probabilit¨¦s, Universit¨¦ Paris
Nour Meddahi, Business School, Imperial College London.
Per Mykland, Department of Statistics, University of Chicago
Eric Renault, Department of Economics, University of North Carolina - Chapel Hill
Roberto Reno, Department of Political Economics, University of Siena
Neil Shephard, Department of Economics, University of Oxford
Michael Sorensen, Department of Applied Mathematics and Statistics, University of Copenhagen
Yixiao Sun, Department of Economics, University of California, San Diego
George Tauchen, Department of Economics, Duke University
Yong Zeng, Department of Mathematics and Statistics, University of Missouri, Kansas City
Lan Zhang, Department of Finance, University of Illinois at Chicago

Conference Site and Accomodation

Conference Site:

Intercontinental Hotel
505 North Michigan Avenue
Chicago IL 60611, USA
Tel: +1 312 944 4100
Fax: +1 312 944 1320
E-mail: chicago@interconti.com

Transportation/Map

Proceedings

Registration

The conference is open to all participants. To register, and for questions relating to accomodation, please contact Terri Rossi through terri@math.uchicago.edu

Talks are by invitation only. For academic questions, please contact the organizers through volatility@galton.uchicago.edu