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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 3

The topic of the reading group for Term 3 will be (Martingale) Optimal Transport. We will (mostly) follow lecture notes by Matthew Thorpe, which can be found here.

Date Topic Speaker
26/04, 03/05 & 10/05 NO reading group ---
17/05 Thorpe Chapter 3.1 & 3.2 Nazem Khan
24/05 Thorpe Chapter 3.3 Ruiqi Liu
31/05 NO reading group ---
07/06 Thorpe Chapter 4.1 Kevin Engelbrecht
14&21/06 NO reading group  ---
28/06 Martingale Optimal Transport Dominic Norgilas

Term 2

The topic of the reading group for Term 2 will be Optimal Transport. We will follow lecture notes by Matthew Thorpe, which can be found here.

Date Topic Speaker
11 & 18/01 Hobson, Chapters 3.6 - 3.7 Ruiqi Liu
18/01 Thorpe Chapter 1.1 Dominic Norgilas
25/01 & 01/02 NO Reading group ---
08&15/02 Thorpe Chapters 1.2 + 1.3 Nazem Khan
15&22/02 Thorpe Chapter 2.1 (before Prop. 2.3) Kevin Engelbrecht
01&08/03 Thorpe Chapter 2.1 (after Prop 2.3) Joe Jerome
15/03 NO Reading group ---

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 Discussion of topic all
12/10 Hobson, Chapter 1 Joe Jerome
19/10 Hobson, Chapters 2.1 - 2.3 Kevin Engelbrecht
26/10 Hobson, Chapters 2.4 - 2.6 Jonathan Muscat
02/11 Hobson, Chapters 2.7 Nazem Khan
09/11 Hobson, Chapters 3.1 - 3.3 Ifan Johnston
16 & 30/11 Hobson, Chapters 3.4 - 3.5 (including Example 1) Urvashi Behary Paray
23/11/2018 CANCELLED ---
30/11 & 7/12 Hobson, Chapters 3.4 - 3.5 (after Example 1) David Woodford

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


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