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SF@W Reading Group

In Term 3 the Stochastic Finance @ Warwick reading group will meet on Wednesday's 10-11 am in B3.03 in the Zeeman Building for weeks 1 and 2 and on Wednesday's 2-3 pm - weeks 4 onwards. The afternoon sessions will be held in room MS.03 apart from Week 5 when we will be in room the MS04. There is 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. References for the sessions will be sent via email.

Term 3

The topic of the reading group for Term 3 will be Topics in Fractional Brownian motion.

26.4.2023 Wick products and the fractional Black-Scholes model Nikolaos Constantinou
03.5.2023 Wiener integrals Aria Ahari
10.5.2023 No session  
17.5.2023 Divergence integrals Ben Povar 
24.5.2023 Levy characterization of fractional Brownian motion Leo Baggiani
31.5.2023 Rough volatility Osian Shelley
07.6.2023 Rough volatility Edward Wang

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

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