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SF@W Reading Group

All welcome.

In Term 3, unless otherwise specified, the Stochastic Finance @ Warwick reading group meets on Tuesdays 11 - 12 am in room A1.01.

Term 3

The topic of the reading group for Term 3 is Optimal Stopping. We will continue with the lecture notes of Damien Lamberton, which can be found here.

24.04.&01.&08.05.2018 Lamberton, Chapter 2.3.3 & 2.4 Dominic Norgilas
08.&15.05.2018 Lamberton, Chapters 3.1 & 3.2 Haodong Sun
15.&29.05.2018 Lamberton, Chapter 3.3 Kevin Engelbrecht
22.05.2018 No reading group ---
29.05.2018 Lamberton, Chapters 4.1 & 4.2 Shuo Huang
05.06.2018 Lamberton, Chapters 4.3.1 & 4.3.2 TBA
12.06.2018 Lamberton, Chapter 4.3.3 TBA
19.06.2018 TBA TBA
26.06.2018 TBA TBA

Term 2

The topic of the reading group for Term 2 is Optimal Stopping. We will follow the lecture notes of Damien Lamberton, which can be found here.

 

09.01.2018 Discussion of time & topic all
15&22.01.2018 Lamberton, Chapter 1.1 Kevin Engelbrecht
22&29.01.2018 Lamberton, Chapter 1.2 Shuo Huang
29.01&05.02.2018 Lamberton, Chapters 1.3 & 1.4 Joe Jerome
12.&19.02.2018 Lamberton, Chapter 1.5 Matthew Zeng
19.02&05.03.2018 Lamberton, Chapters 2.1 & 2.2 Haodong Sun
26.02.2018 No reading group ---
05.&12.03.2018 Lamberton, Chapters 2.3.1 & 2.3.2 John Herman

Term 1

The topic of the reading group for Term 1 is Backward Stochastic Differential Equations (BSDEs). We will follow the lecture notes of Bruno Bouchard, which can be found here.

03.10.2017 Discussion of topic all
10.10.2017 Bouchard, Chapters 1.1 and 1.2.1 Dominic Norgilas
17&24.10.2017 Bouchard, Chapter 2.1 Matthew Zeng
24&31.10.2017 Bouchard, Chapter 2.2 (part 1 - before Theorem 2.2) David Woodford
07&14.11.2017 Bouchard, Chapters 2.2 (part 2 - Theorem 2.2) and 2.3 Jonathan Muscat
21&28.11.2017 Bouchard, Chapter 2.4.1 Haodong Sun
28.11&5.12.2017 Bouchard, Chapter 2.4.2 Yuan Wang


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


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