Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests

Dr. Massimo Guidolin holds a Ph.D. from University of California, San Diego (year 2000).
Event information
Date 21st November 2012
Time 1:00pm - 2:00pm
Venue ICMA Centre, Room G03/04
Event types:
Research Seminars

His curriculum lists periods of employment with the University of Virginia as an assistant professor in financial economics, the Federal Reserve Bank of St. Louis at first as a senior economist and then as an Assistant Vice-President (Financial Markets), and the Accounting and Finance department of Manchester Business School as a chair full professor in Finance. He has also taught courses or held short-term positions at variety of institutions around the world, such as Collegio Carlo Alberto (University of Turin), Olin Business School (Washington University in St. Louis), the Center for Research on Pensions and Welfare (CERP, University of Turin), the University of Insubria (Varese), and Universite' de Montreal in Canada. His teaching has spanned corporate finance, asset pricing theory, empirical finance, derivative pricing, and of course, econometrics both the undergraduate and graduate (MSc. and doctoral) levels. Massimo has published in top economics, econometrics, and finance outlets such as the American Economic Review, the Journal of Financial Economics, the Journal of Econometrics, the Review of Financial Studies, and the Economic Journal. He serves on the editorial board of a number of journals, among them the Journal of Economic Dynamics and Control (Elsevier Press), the International Journal of Forecasting (Elsevier), the Journal of Business Finance and Accounting (Blackwell), and Studies in Nonlinear Dynamics and Econometrics (Berkeley University Press).

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