In Term 3 the Stochastic Finance @ Warwick reading group will meet on Wednesday's 10-11 am in B3.03 in the Zeeman Building for weeks 1 and 2 and on Wednesday's 2-3 pm - weeks 4 onwards. The afternoon sessions will be held in room MS.03 apart from Week 5 when we will be in room the MS04. There is the option to join online via MS Teams. If you want to be added to the MS Teams group, please contact the reading group organiser Dr Jo Kennedy. References for the sessions will be sent via email.

Term 3

The topic of the reading group for Term 3 will be Topics in Fractional Brownian motion.

Term 2

The topic of the reading group for Term 2 and (possibly Term 3) will be Topics in Fractional Brownian motion. In the first couple of sessions we will begin our study with Chapter 1 of the book Stochastic Calculus for Fractional Brownian motionLink opens in a new window by Biagini, Hu, Oksendal and Zhang.

Meetings for this term will be held in MS.04 except for Week 7, 22 February when it will be held in MS.03.

Term 1

The topic of the reading group for Term 1 will be Martingale and Convex Duality Methods. We will follow the textbook "Continuous-time Stochastic Control and Optimization with Financial Applications"Link opens in a new window by Huyen Pham (Springer 2009), which is available online via the library.