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Swiss Finance Institute

November 1-5, 2010 - Professor Tim Bollerslev

The past year has seen some unprecedented changes in day-to-day asset prices within and across most financial markets, clearly highlighting the need for accurate and reliable volatility and correlation measurement, modeling, and forecasting procedures. This course surveys the most prominent volatility and correlation techniques developed over the past two decades, along with their many practical uses ranging from asset and option pricing, portfolio allocation, risk measurement and management, to direct volatility and correlation trading. The discussion is designed to strike a balance between intuition and mathematical rigor and also includes consideration of practical computational issues as well as a guest lecturer from the financial services industry illustrating the importance of volatilities and correlations in financial market risk assessments. The course develops an appreciation and understanding of the importance of time-varying volatility and correlation in financial asset returns, the tools and techniques of modern financial volatility and correlation measurement, modeling and forecasting, as well as the pitfalls and opportunities that arise as the new technologies move forward.

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