2020-21
Unless otherwise specified, the Stochastic Finance @ Warwick reading group meets on Fridays 3:30 - 5pm in MS.03 - with 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 Martin Herdegen.
Term 3
The topic of the reading group for Term 3 is Reinforcement Learning in Finance. We will follow the textbook by Matthew Dixon, Igor Halperin and Paul Bilokon, which can be download (with Warwick login) from hereLink opens in a new window.
| 30.04.2021 | Dixon et al., Chapter 9, 3-3.2 (289-296) | Nazem Khan |
| 07.05.2021 | Dixon et al., Chapter 9, 3.3 + proof of Bellmann equation (296-299) | Zhenda Xu |
| 14.05.2021 | Dixon et al., Chapter 9, 4.1-4.3 (300-305) | Yuwei Wang |
| 21.05.2021 | Dixon et al., Chapter 9, 5.1 (307-309) | Joe Jerome |
| 28.05.2021 | Dixon et al., Chapter 9, 5.2-5.3 (309-313) | Miha Bresar |
| 04.06.2021 | Dixon et al., Chapter 9, 5.4+Ex 9.4 (313-316) | László Udvardi |
| 11.06.2021 | Dixon et al., Chapter 9, 5.5+Ex 9.5 (316-321) | Nikolaos Constantinou |
| 18.06.2021 | Dixon et al., Chapter 9, 5.6+Ex 9.6 (322-327) | Urvashi Behary Paray |
| 25.06.2021 | No reading group | --- |
| 02.07.2021 | Dixon et al., Chapter 9, 5.7-5.9 (selection)+Ex 9.7 (331-334) | Osian Shelley |
Term 2
The topic of the reading group for Term 2 is Machine Learning in Finance. We will follow the textbook by Matthew Dixon, Igor Halperin and Paul Bilokon, which can be download (with Warwick login) from hereLink opens in a new window.
| 15.01.2021 | Discussion of topics | all |
| 22.01.2021 | Dixon et al., Chapter 3, 2 (82-85) | László Udvardi |
| 29.01.2021 | Ch. 3 notebook: ML_in_Finance_Bayesian_Linear_Regression | Osian Shelley |
| 05.02.2021 | Dixon et al., Chapter 3, 2.1-2.3 (86-90) | David Bang |
| 12.02.2021 | Dixon et al., Chapter 3, 3.2-3.4 (93-96) | Miha Bresar |
| 19.02.2021 | Ch. 3 notebook: Example-1-GP-BS-Pricing | Urvashi Behary Paray |
| 26.02.2021 | Ch. 3 notebook: Example-2-GP-BS-Derivatives | Joe Jerome |
| 05.03.2021 | Dixon et al., Chapter 4, 2.1-2.2 (112-117) | Nazem Khan |
| 12.03.2021 | Ch. 4 notebook: ML_in_Finance-Deep-Classifiers | Xin Zhi |
| 19.03.2021 | Dixon et al., Chapter 4, 2.3-2.5 (117-123) | Ruiqi Liu |
Term 1
The topic of the reading group for Term 1 is Duality Theory for Optimal Investment. We will follow lecture notes by Chris Rogers, which can be found hereLink opens in a new window.
| 09.10.2020 | Discussion of topic | all |
| 16.10.2020 | Rogers, Chapters 1 | Joe Jerome |
| 23.10.2020 | Rogers, Chapter 2, Example 1 | Puru Gupta |
| 30.10.2020 (online only) | Rogers, Chapter 2, Example 3 | Zhenda Xu |
| 06.11.2020 | Rogers, Chapter 2, Example 4 | Yuwei Wang |
| 13.11.2020 (online only) | Rogers, Chapter 3, until (U5) on p.13 | Miha Bresar |
| 20.11.2020 | Rogers, Chapter 3, after (U5) on p.13 until Lemma 1 p.14 | Osian Shelley |
| 27.11.2020 (online only) | Rogers, Chapter 3, proof of Lemma 1 on p.14 until end of p.16 | Nazem Khan |
| 04.12.2020 | Rogers, Chapter 3, top of p.17 until end of section | David Bang |