2019 SoFiE Financial Econometrics Summer School

SoFiE Financial Econometrics Summer School "The Econometrics of Derivatives Markets"
Date & Time: 
Monday, August 12, 2019 - 08:00 to Friday, August 16, 2019 - 17:00
NYU Shanghai


SoFiE Financial Econometrics Summer School

"The Econometrics of Derivatives Markets"

August 12-August 16, 2019

Volatility Institute, NYU Shanghai, 

1555 Century Avenue, Pudong, Shanghai, China, 200122


The SoFiE Financial Econometrics Schools are annual week-long research-based courses for Ph.D. students and new faculty in financial econometrics. For the first two years, the Summer School was held at Oxford University’s Oxford-Man Institute and in 2014 it moved to Harvard University. In 2015 and 2016, it was held in Brussels. In 2017, The SoFiE Financial Econometrics Summer School took place at the Kellogg School of Management, Northwestern University and in 2018 it was held at the Volatility Institute of NYU Shanghai.

The editorial board for these annual series is made up of professors as follows: 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 President SoFiE)

Per Mykland (University of Chicago and President-Elect SoFiE)

Eric Renault (Brown University and past SoFiE President)

Neil Shephard (Harvard University)

Viktor Todorov (Northwestern)

The SoFiE Financial Econometrics Summer School 2019 is to be held at the Volatility Institute, NYU Shanghai, from Monday August 12 through Friday August 16, 2019.


Course Description:

The course is intended for Ph.D. students and researchers in statistics, econometrics and finance with an introduction to Continuous-Time Finance Theory and Basic Option Pricing Techniques and High-Frequency Return Measures. The course assumes some familiarity with stochastic calculus and mathematical finance but is otherwise self-contained.

This course is open to all students and researchers who apply to attend and are admitted. The course will offer a limited number of course participants an opportunity to present their current research and receive feedback from the instructors and other course participants. Students interested in making a presentation (which is entirely optional) should indicate so on their application and submit the research paper that will form the basis of their presentation. Students who are selected to make a presentation will be informed at the same time as they receive their admission decisions.

Students will be provided with a packet of lecture notes when the course starts.


Professor Torben G. Andersen (Kellogg School, Northwestern University)

Torben G. Andersen is the Nathan S. and Mary P. Sharp Professor of Finance at the Kellogg School of Management, Northwestern University. He is also associated with the NBER in Cambridge, MA, and CREATES, in Aarhus, Denmark. Professor Andersen is a Fellow of the Econometric Society, the Society for Financial Econometrics, and the Society for Economic Measurement. He served as Chair of the Finance Department for the period 2015-2017. Professor Andersen has published widely in asset pricing, empirical finance, time series econometrics, and empirical market microstructure. His work centers on modeling and measurement of return volatility using high-frequency data, and on option pricing with applications to asset pricing, portfolio selection, risk management, and the term structure of interest rates. He has received grants from the National Science Foundation, the Sloan Foundation, and the Institute for Quantitative Research in Finance (the Q-Group). He served as the editor-in-chief for the Journal of Business and Economic Statistics in 2004-2006, Co-Editor for the Journal of Financial Econometrics, 2009-2014, and has served on the editorial board of a number of leading academic journals, and has consulted for trading firms, the Federal Reserve, foreign Central Banks, universities, and consulting firms. He received his PhD in Economics from Yale University in 1992.

Professor Viktor Todorov (Kellogg School, Northwestern University)

Viktor Todorov is Harold H. Hines Jr. Professor of Risk Management and Professor of Finance at the Kellogg School of Management, Northwestern University. Professor Todorov is a Fellow of the Society for Financial Econometrics and the Journal of Econometrics. His research interests are in the areas of theoretical and empirical asset pricing, econometrics and applied probability. He has published extensively in these fields. His recent work focuses on the robust estimation of asset pricing models using high-frequency financial data as well as the development and application of parametric and nonparametric methods of inference for studying risks and risk premia using derivatives markets data. He currently serves as a Co-Editor for Econometric Theory, and is on the editorial board of a number of leading academic journals, including Econometrica and the Journal of Econometrics. He received his PhD in Economics from Duke University in 2007.

Guest Speakers:

QI WANG, Head of Options Product Development, China Financial Futures Exchange 

Qi Wang is Senior Advisor at China Financial Futures Exchange, responsible for options product development business. Prior to this position Mr. Wang was senior analyst in derivatives trading and risk management at Capital Market of Bank of Nova Scotia. Mr. Wang is CFA charter holder and certified FRM, he also serves as Strategic Advisor of CFA Society of Shanghai. Mr. Wang received master degree from McMaster University.

Course Schedule:

Course Outline:

Introductory Material

Continuous-Time Finance and Basic Option Pricing Techniques.

Introduction to High-Frequency Return Measures.

Topic 1

Econometrics of Parametric Option Pricing Inference under Alternative Asymptotic

Settings (large and short time spans, large and short cross-section of strikes).

Topic 2

Latent Factor Extraction and Inference from Option Surfaces.

Empirical Applications to Return and Risk Predictability.

Topic 3

Nonparametric Methods for Option Pricing and Implied Risk Measures.

Nonparametric Volatility and Tail Indices.

Empirical Application to Pricing of Tail Risk in the Cross-Section.

Topic 4

High-Frequency Econometrics for Derivatives Data.

Real Time Price and Volatility Discovery.

Reading List:

"Aggregate Asymmetry in Idiosyncratic Jump Risk," Huidi Lin and Viktor Todorov; Working Paper.

"Nonparametric Spot Volatility from Options," Viktor Todorov; forthcoming, Annals of Applied Probability.

"Tail Risk and Return Predictability for the Japanese Equity Market," Torben G. Andersen, Viktor Todorov and Masato Ubukata; forthcoming Journal of Econometrics.

“The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets,” Torben G. Andersen, Nicola Fusari, and Viktor Todorov; forthcoming; Journal of Business & Economic Statistics.

“Inference for Option Panels in Pure Jump Settings,” Torben G. Andersen, Nicola Fusari, Viktor Todorov and Rasmus Varneskov; forthcoming, Econometric Theory.

“Unified Inference for Nonlinear Factor Models from Panels with Fixed and Long Time Span,” Torben G. Andersen, Nicola Fusari, Viktor Todorov and Rasmus Varneskov; forthcoming, Journal of Econometrics.

"Nonparametric Implied Levy Densities," Likuan Qin and Viktor Todorov, Annals of Statistics, 49, 1025-1060, 2019.

“Introduction,” Torben G. Andersen and Tim Bollerslev; T.G. Andersen and T. Bollerslev (eds.): Volatility, Volume I, Edward Elgar Publishing; Cheltenham, U.K.; Northampton, MA, United States; pages xiii-xli; 2018.

“Short-Term Market Risks Implied by Weekly Options,” Torben G. Andersen, Nicola Fusari and Viktor Todorov, Journal of Finance 72, 1335-1386, 2017.

“The Risk Premia Embedded in Index Options,” Torben G. Andersen, Nicola Fusari and Viktor Todorov; Journal of Financial Economics 117, 558-584, 2015.

“Parametric Inference and Dynamic State Recovery from Option Panels,” Torben G. Andersen, Nicola Fusari and Viktor Todorov; Econometrica 83, 1081-1145, 2015.

“Exploring Return Dynamics via Corridor Implied Volatility,” Torben G. Andersen, Oleg Bondarenko and Maria Gonzalez-Perez; Review of Financial Studies 28, 2902-2945, 2015.

“The Fine Structure of Equity-Index Option Dynamics,” Torben G. Andersen,  Oleg Bondarenko, Viktor Todorov and George Tauchen; Journal of Econometrics 187, 532-546, 2015.

"Tail Risk Premia and Return Predictability," Tim Bollerslev, Viktor Todorov and Lai Xu, Journal of Financial Economics, 118, 113-134, 2015.

"Time-Varying Jump Tails," Tim Bollerslev and Viktor Todorv, Journal of Econometrics183, 168-180, 2014.

"Tails, Fears and Risk Premia," Tim Bollerslev and Viktor Todorov, Journal of Finance66, 2165-2211, 2011.

“Parametric and Nonparametric Measurements of Volatility,” Torben G.

Andersen, Tim Bollerslev and Francis X. Diebold; Y. Ait-Sahalia and L.P. Hansen (eds.): Handbook of Financial Econometrics, Volume 1 – Tools and Techniques; North Holland; pp. 67-137, 2010.


Applicants should register and submit electronical materials through the following registration website:


The applications should include a full CV and motivation letter (half-page length) explaining why attending this course would be helpful to the applicant’s research work. All materials should be in pdf version. The application deadline is 1 May 2019. Decisions will be emailed out by 15 May 2019.


Paper Presentations:

Applicants are encouraged to present some of their thesis work during the morning session of the last day (Friday). For this, they should preferably append a paper to their application. They can submit an extensive abstract if the paper is not yet finished. The paper topics need not be closely linked to the course but obviously must be in the field of financial econometrics. Papers will be selected by the organizing committee on the basis of their quality.


$250 for Ph. D. students and faculty members attending this course.

$500 for Ph.D. level colleagues from other institutions.

Confirmed admission of a selected applicants will be conditional on the fee payment in due time (details will be provided in the admission email).

All accepted participants will be expected to be members of the Society for Financial Econometrics or 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 Accommodation Costs:

Attendees will be required to pay their own travel and accommodation. No assistance will be offered in this respect. During the teaching schedule (Monday-Friday) at NYU Shanghai, lunch, coffee and tea will be provided free of charge. Evening meals will not be organized and will be at the expense of the participants.