Skip to main content

SF@W Reading Group

Unless otherwise specified, the Stochastic Finance @ Warwick reading group meets on Fridays 2 - 3pm in room MS.A1.01. All are welcome.

Term 1

The topic of the reading group for Term 1 will be Skorokhod Embedding and model-independent option pricing. We will follow lecture notes by David Hobson, which can be found here.

Date Topic Speaker
05/10/2018 Discussion of topic all
12/10/2018 Hobson, Chapter 1 Joe Jerome
19/10/2018 Hobson, Chapters 2.1 - 2.3 Kevin Engelbrecht
26/10/2018 Hobson, Chapters 2.4 - 2.6 Jonathan Muscat
03/11/2018 Hobson, Chapters 2.7 Nazem Khan
10/11/2018 Hobson, Chapters 3.1 - 3.3 Ifan Johnston
16/11/2018 Hobson, Chapters 3.4 - 3.5 (before Example 1) TBA
23/11/2018 Hobson, Chapters 3.4 - 3.5 (after Example 1) TBA
30/11/2018 Hobson, Chapters 3.6 - 3.7 TBA
07/12/2018 TBD TBA


For further information, please contact the reading group organiser Martin Herdegen.


SF@W mailing list

If you would like to be kept informed of stochastic finance related events in the department, please sign up to the sf@w mailing list.