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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.

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.

11.1.2023 Planning meeting all
18.1.2023 Biagini Chapter 1.1 and 1.2 Osian Shelley
25.1.2023 Biagini Chapter 1.3-1.8 Laszlo Udvardi
01.2.2023 No session  

Integration: taking stock

Introduction chapter of 

Aria Ahari
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

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.

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.