2017-18

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	---
05.&12.06.2018	Lamberton, Chapters 4.1 & 4.2	Shuo Huang
12.&19.06.2018	Lamberton, Chapters 4.3.1 & 4.3.2	Matthew Zeng
26.06.2018	Lamberton, Chapter 4.3.3	John Herman

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.