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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 2

The topic of the reading group for Term 2 will be Optimal Transport. We will follow lecture notes by Luigi Ambrosio and Nicola Gigli, which can be found here.

Date Topic Speaker
11 & 18/01 Hobson, Chapters 3.6 - 3.7 Ruiqi Liu
18 & 25/01 Ambrosio Chapter 1.1 Dominic Norgilas
01/02 NO Reading group ---
08/02 Ambrosio Chapter 1.2 (first part) Nazem Khan
15/02 Ambrosio Chapter 1.2 (second part) TBC
22/02 Ambrosio Chapter 1.3 TBC
01/03 Ambrosio Chapter 1-4 (first part) TBC
08/03 Ambrosio Chapter 1-4 (second part) TBC
15/03 Ambrosio Chapter 1-4 (third part) TBC

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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