2010-14

Summer term 2014

Venue: A1.01. Usual time: Fridays @ 2pm

The idea is to individual presentations on their own work by members of the group

Spring term 2014

Venue: C1.06. Usual time: Fridays @ 2pm

We will continue to look at `A mathematical theory of financial bubbles' by Philipp Protter and related papers from the finance literature. In addition there will be several external speakers.

Autumn term 2013

Venue: C1.06. Usual time: Fridays @ 3pm

We will look at `A mathematical theory of financial bubbles' by Philipp Protter

Summer term 2013

Venue: A1.01. Usual time: Wednesdays @ 11am (beginning 1st May)

The idea is to continue to discuss Local Times in Finance, including working through Revuz and Yor, and passport options.

Spring term 2013

Venue: A1.01. Usual time: Mondays @ 2pm

The idea is to discuss Local Times in Finance, beginning with the paper by Carr and Jarrow on Stop-loss Start-gain strategies

Autumn term 2012

Venue: C1.06. Usual time: Thursdays @ 2pm

Pricing and Hedging of Derivative securities textbook written by Lars Tyge Nielsen.

Spring term 2012

Venue: B3.02 (Maths) Time: Wednesdays @ 1pm

Stochastic control in finance.

Autumn term 2011

Venue: C1.06. Time: Wednesdays @ 11

Stochastic control in finance.

Summer term 2011

Venue: C1.06. Time: Wednesdays @ 11

The suggested subject is local volatility models, the work of Dupire and Neuberger and extensions.

Spring term 2011

Venue: B3.02. Time: Wednesdays @1

Stochastic volatility models

Winter term 2010

Venue: C1.06. Time: Mondays @10

Methods for Mathematical Finance, to be based on the book of Karatzas and Shreve of the same title, and with an emphasis on utility maximisation and duality