Wednesday April 13 2011, 14.00 – 16.00 Aula Dini
Thursday April 14 2011, 14.00 – 16.00 Aula Dini
Friday April 15 2011, 11.00 – 13.00 Aula Fermi
Scuola Normale Superiore

Jean-Philippe Bouchaud
Science & Finance, Capital Fund Management, Paris

Lecture 1. (Wednesday April 13) The dynamics of price in financial markets

• Fat tails and intermittent dynamics: empirical facts and models
• High frequency and seasonality effects
• Cross sectional and multivariate effects
• Correlations and copulas

Lecture 2. (Thursday April 14) Price formation and microstructure

• Order book dynamics
• Order flow dynamics
• Impact and liquidity
• Is price dynamics exogenous or endogenous?

Lecture 3. (Friday April 15) The world of financial derivatives

• The worrying ways of financial engineering
• Option pricing: welcome to a non Black-Scholes world
• Volatility modelling: GARCH and multiscale/multifractal frameworks
• The hedge Monte-Carlo method
• The need for “second generation” models