Society of Financial Econometrics Summer School 2021

Consumer finance and new technologies: research and practice

"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 19 through Friday July 23, 2021. The lectures and all other activities will take place over Zoom.

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).

If you have questions or concerns, please reach out to the Academic Events Coordinator supporting this event.

Anthony Mangini
Academic Events Coordinator/Kellogg Finance Department
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Invited Talks

Oleg Bondarenko

Oleg Bondarenko is a Professor of Finance at University of Illinois at Chicago. His primary research interests include option pricing, financial econometrics, market microstructure, hedge funds, and rationality of asset pricing. His work has appeared in top Finance and Economics journals. Professor Bondarenko has consulted with several investment firms and has served on the Product Development Committee of Chicago Board Options Exchange (Cboe). His research has been supported by Chicago Mercantile Exchange, Cboe, Canadian Derivatives Institute, among others. He received a MS degree from the Moscow Institute of Physics and Technology and PhD from the California Institute of Technology.

Sebastien Bossu

Sébastien Bossu is Principal at Ogee Group LLC where he runs his startup hedge fund focused on macro option strategies, and serves as adjunct professor at NYU Courant. He has fifteen years’ experience in banking and the financial industry and worked at institutions such as J.P. Morgan, Dresdner Kleinwort and Goldman Sachs. An expert in financial derivatives, Sébastien has published several papers and textbooks in his field and is a regular speaker at international conferences.  He is a graduate from The University of Chicago, HEC Paris, Columbia University and Sorbonne Université (fmr. Pierre-et-Marie-Curie).

Peter Carr

For the last 5 years, Dr. Peter Carr has been the Chair of the Finance and Risk Engineering Department at NYU Tandon School of Engineering. Prior to that, he headed various quant groups in the financial industry for twenty years. He also presently serves as a trustee for the National Museum of Mathematics and WorldQuant University. Prior to joining the financial industry, Dr. Carr was a finance professor for 8 years at Cornell University, after obtaining his Ph.D. from UCLA in 1989. He has over 85 publications in academic and industry-oriented journals and serves as an associate editor for 8 journals related to mathematical finance. He was selected as Quant of the Year by Risk Magazine in 2003 and Financial Engineer of the Year by IAQF/Sungard in 2010. From 2011 to 2014, Dr. Carr was included in Institutional Investor's Tech 50, an annual listing of the 50 most influential people in financial technology. Google Scholar currently ranks Professor Carr third in citations in quantitative finance, second in derivatives, and first in volatility.

Nicola Fusari

Nicola Fusari holds a PhD  from the Swiss Finance Institute at the University of Lugano and he is an Associate Professor of Finance at the Johns Hopkins Carey Business School. His research focuses on theoretical and empirical asset pricing with a particular focus on derivatives markets.

John Hiatt

John Hiatt is Vice President of Derivatives Strategy for Cboe Global Markets. Based in Chicago, Hiatt has worked for Cboe since 1994 and currently helps lead the derivatives strategy team within the multi-asset solutions group. John and his team are responsible for developing new proprietary derivatives products to be listed on Cboe’s derivative markets. Additionally, Cboe’s derivatives strategy team evaluates and proposes changes to existing products, conducts general market research and strategy development. John played a significant role in the development of the Cboe Volatility Index, as well as VIX futures and VIX options contracts based on the index. He is currently heavily focused on making improvements to the settlement of, and the margin treatment for, VIX Index derivatives. He is a CFA charter holder and holds a bachelor’s in aerospace engineering from the Illinois Institute of Technology and a master’s in finance from the DePaul University Charles H. Kellstadt Graduate School of Business.

John C. Hull

John Hull is the Maple Financial Professor of Derivatives and Risk Management at the Joseph L. Rotman School of Management, University of Toronto. His research and teaching have been in the machine learning area in the last few years. He has written four books: Machine Learning in Business: An Introduction to the World of Data Science” (now in its 3rd edition) “Risk Management and Financial Institutions” (now in its 5th edition); "Options, Futures, and Other Derivatives" (now in its 11th edition); "Fundamentals of Futures and Options Markets" (now in its 9th edition). The books have been translated into many languages and are widely used by practicing managers as well as in the classroom. He was in 2016 awarded the title of University Professor (an honor granted to only 2% of faculty at University of Toronto.) He has acted as consultant to many financial institutions throughout the world and has won many teaching awards, including University of Toronto's prestigious Northrop Frye award. Dr. Hull is academic director of FinHub, Rotman’s financial innovation lab. 

Bluford H. Putnam

Blu Putnam is the Chief Economist and Managing Director at CME Group, the operator of futures and options exchanges around the world. He is responsible for leading economic analysis on global financial, commodity, and agricultural markets. Blu’s career has ranged from central banking to investment research to portfolio management. Blu earned his Ph.D. in economics from Tulane University in New Orleans. He has six books on international finance and portfolio management to his credit as well as many academic articles, in such journals as The American Economic Review, the Journal of Finance, American Statistical Association, and the Journal of Applied Corporate Finance, among others. Blu’s 2019 book, Economics Gone Astray, published by the World Scientific Press, and authored with colleagues, Erik Norland and KT Arasu at CME Group, uses case studies to focus on common mistakes economists make, such as assuming behavior is linear (nothing happens in a straight line in economics as in life), forgetting about changes in the regulatory or demographics context, and generally over-simplifying theories in the desire to create more elegant mathematic models, may not, unfortunately, make for good economics.

Parth Shah

Parth Shah is Sr. Associate of Derivatives Strategy for Cboe Global Markets. Parth combines financial theory and quantitative analysis to enhance and develop Cboe's proprietary volatility products and indices. He is especially excited about the prospects of using financial engineering and risk management to convert client goals into tradable derivative products. Additionally, he utilizes machine learning and econometric quantitative research methods to identify the SPX and VIX drivers impacting volume and liquidity microstructure metrics. He has a strong foundation in analyzing precious metal and diamond commodity markets. Parth has a Masters in Finance Degree from the Massachusetts Institute of Technology and a Bachelors of Economics and Business Administration from the University of Michigan, Ann Arbor.

Rasmus Varneskov

Rasmus Tangsgaard Varneskov is a Professor of Statistics and Financial Econometrics with the Department of Finance at Copenhagen Business School (CBS) as well as a research fellow at CREATES and at the Danish Finance Institute. Moreover, he is a Portfolio Manager and the Head of Asset Allocation Research with the Multi Assets investment boutique at Nordea Asset Management. His research interests cover a variety of fields in time series and financial econometrics, high-dimensional statistics, asset pricing and financial economics. Before joining CBS in 2017, Rasmus was a postdoctoral researcher at Kellogg School of Management, Northwestern University.

Event Logistics

Start date: Monday July 19, 2021 at 8:30am CT (U.S. Central Time).

End date: Friday, July 23, 2021 at 12:30pm CT. 

Structure: There will be three morning hour lectures a day delivered by the summer school organizers, followed by select participant presentations in the early afternoon. There will also be some general discussion time and guest speakers in the afternoon sessions.

Location: All SoFiE programming will take place remotely on Zoom.

2021 SoFiE School Itinerary

Application Process

Applications should be sent to (with the words “SoFiE Summer School 2021” 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 May 31st, 2021. Decisions will be emailed by June 15th, 2021.

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.

All accepted participants are expected to be members of the Society for Financial Econometrics or to join before their place is confirmed. See on how to join the society (where a student membership option for $10 is available).

Sponsors: The Society for Financial Econometrics, The Kellogg School of Management, The Financial Institutions Center at Kellogg.