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Unless otherwise specified, the Stochastic Finance @ Warwick reading group meets on Fridays 2 - 3pm in room MS.A1.01. All are welcome.

Term 1

The topic of the reading group for Term 1 is Monte Carlo Simulation and Finance. We will follow the lecture notes of Don L. McLeish, which can be found here.

  Topic Speaker
04.10.2019 Discussion of topic all
18.10.2019 McLeish, Chapter 3, p.98-128 Urvashi Behary Paray
25.10.2019 McLeish, Chapter 3, p.128-166 Ruiqi Liu
01.11.2019 McLeish, Chapter 3, p.166-196 Nazem Khan
08.11.2019 McLeish, Chapter 4, p.203-228 Jonathan Muscat
15.11.2019 McLeish, Chapter 4, p.228-252 Osian Shelley
22.11.2019 McLeish, Chapter 5, p.255-278 Joe Jerome
29.11.2019 McLeish, Chapter 5, p.278-p.298 Haodong Sun

Term 2

The topic of the reading group for Term 2 is Stochastic Control and Financial Applications. We will follow the lecture notes of Frank Thomas Seifried.

  Topic Speaker
24.01.2020 Discussion of topic all
31.01.2020 Seifried, Chapter 1 Urvashi Behary Paray
07.02.2020 Seifried, Joe Jerome
14.02.2020 Seifried, Xin Zhi
21.02.2020 Seifried, Nazem Khan
28.02.2020 Seifried, Osian Shelley
06.03.2020 Seifried, Yik-Ming Chow
13.03.2020 Seifried,
Ruiqi Liu

Term 3