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 hereLink opens in a new window.

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 hereLink opens in a new window.

 

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 hereLink opens in a new window.

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.