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 | |
| 08.2.2023 |
Integration: taking stock Introduction chapter of https://people.math.ethz.ch/~aallan/RP_lecture_notes_Allan.pdf |
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 |
| 08.3.2023 | ||
| 15.3.2023 |
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.