Modeling Score-Driven Time-Variation in Risk-Neutral Densities with an Application to Option Pricing
Justus Holman , Justus Holman
- Research Master Defense
Justus Holman , Justus Holman
Ali Abedi , Ali Abedi
Dewy Jungslager , Dewy Jungslager
Fengtao Wan , Fengtao Wan
Eveline Wilgenkamp , Eveline Wilgenkamp
Faculty: Eran Raviv (research master Business Data Science)
Lucas (Loek) van Montfort , Lucas van Montfort
Keynote by Daniel Effron (London Business School, United Kingdom)
Faculty Lukas Hoesch (Vrije Universiteit Amsterdam) Ronald de Vlaming (Vrije Universiteit Amsterdam)
Faculty: Andrei Levchenko (University of Michigan, United States) and Michael D. König (Vrije Universiteit Amstserdam)
Melika Liporace (Tilburg University) and Rense Corten (Utrecht University)
Hunt Allcott (Stanford University, United States)
Lucian Taylor (University of Pennsylvania, United States)
Mary Beth Watson-Manheim (University of Illinois Chicago, United States)
Angelos Georghiou (University of Cyprus)
Denni Tommasi (University of Bologna, Italy)
PhD students will present their work. Keynotes: Magdalena Rola-Janicka (Tilburg University) and Albert Jan Hummel (University of Amsterdam)
Norman Schürhoff (University of Lausanne, Zwitserland)
Jason Thatcher (Temple University, United States)
Cynthia Balloch (London School of Economics), Michael Johannes (Columbia Business School), Ananth Madhavan (BlackRock), Paul Schneider (University of Lugano), Grigory Vilkov (Frankfurt School of Finance & Management) and Mungo Wilson (University of Oxford)