SF@W Reading Group
Unless otherwise specified, the Stochastic Finance @ Warwick reading group meets on Wednesday's 2-3pm in MS.04 - with 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.
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.
|18.1.2023||Biagini Chapter 1.1 and 1.2||Osian Shelley|
|25.1.2023||Biagini Chapter 1.3-1.8||Laszlo Udvardi|
Integration: taking stock
Introduction chapter of https://people.math.ethz.ch/~aallan/RP_lecture_notes_Allan.pdf
|15.2.2023||Nourdin Chapter 3.1 Young's pathwise integral||Matthew Keyworth|
|22.2.2023||Nourdin Chapter 3.2 Solving integral equations||Edward Wang|
|01.3.2023||Arbitrage in (frictionless) fractional Brownian motion models||Nikolaos Constantinou|
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.
|05.10.2022||5min research presentations and discussion of topic||all|
|12.10.2022||5min research presentations||all|
|19.10.2022||Pham, Chapter 2.1 and 2.2||Leonardo Baggiani|
|26.10.2022||Pham, Chapter 7.1 and 7.2.1, 7.2.2, 7.2.3 to end Remark 7.2.1||Matthew Keyworth|
|02.11.2022||Pham, Chapter 7.2.3||Aria Ahari|
|09.11.2022||Pham, Chapter 7.2.4||Yifan Sun|
|16.11.2022||Pham, Chapter 7.3.1, 7.3.2||Nikolaos Constantinou|
|23.11.2022||Pham, Chapter 7.3.3 (183-187)||Puru Gupta|
|30.11.2022||Pham, Chapter 7.3.3 (187-191)||Osian Shelley|
|07.11.2022||Pham, Chapter 7.3.3 (191-195), Chapter 7.3.4||Nazem Khan|
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.