In this rapidly expanding field, continuous time methods play a significant role in asset pricing theory, which is now heavily dependent on continuous time stochastic process theory, and these methods have become an integral part of the growing apparatus of financial econometrics
Both books are designed as graduate textbooks for the emerging field of financial econometrics
It is a demanding book because, as the authors themselves declare, "rewards of financial econometrics
come at a price.
The eye-opening conference will also address such topics as data analytics versus financial econometrics
, behavioral data finance, data security and legal protection and credit risk.
His recently coauthored books published by Wiley in mathematical finance and financial econometrics
include Fat-Tailed and Skewed Asset Return Distributions: Implications for Risk Management, Portfolio selection, and Option Pricing (2005), Operational Risk: A Guide to Basel II Capital Requirements, Models, and Analysis (2007), Financial Econometrics
: From Basics to Advanced Modeling Techniques (2007), and Bayesian Methods in Finance (2008).
He also serves as co-president of The Society for Financial Econometrics
(SoFiE), a global network of academics and practitioners dedicated to the study of financial econometrics
The Vlab currently produces 300 analyses each day over numerous financial series using both classic models as well as some of the latest advances proposed in the financial econometrics
The announcement was made in conjunction with a research presentation by NYU Stern Professor Viral Acharya at the Global Systemic Risk Conference, hosted by the Federal Reserve Bank of New York, the Society for Financial Econometrics
, and the NYU Stern Volatility Institute.
He will highlight how developments in finance theory and financial econometrics
have played a critical role in spurring this innovation and growth.