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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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: Kellogg School of Management, Northwestern University, 2211 Campus Drive, Evanston, IL 60208

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.