2021-22
Term 3
The topic of the reading group for most of Term 3 will be Backward Stochastic Differential Equations. We will follow the textbook "Backward Stochastic Differential Equations" by Jianfeng Zhang (Springer, 2017), which is available online via the library.
| 26.04.2022 | Jumps of local martingales | David Bang |
| 03.05.2022 | Itô's formula and stochastic exponentials with jumps | Miha Bresar |
| 10.05.2022 | Zhang, Chapter 4.0 and 4.1 | Puru Gupta |
| 17.05.2022 | Zhang, Chapter 4.2 | László Udvardi |
| 24.05.2022 | Zhang, Chapter 4.3 | Nazem Khan |
| 31.05.2022 | Zhang, Chapter 4.4 (without Thm 4.4.4) | Yifan Sun |
| 07.06.2022 | Zhang, Chapter 5.1.1 | Edward Wang |
| 14.06.2022 | Zhang, Chapter 5.1.2 & 5.1.3 |
Nikolaos Constaninou |
| 21.06.2022 | Zhang, Chapter 5.2 (without Thm 5.2.4) | Osian Shelley |
| 28.06.2022 | Zhang, Chapter 5.3 | Yuwei Wang |
Term 2
The topic of the reading group for Term 2 will be Lévy processes and stochastic calculus for jump processes. We will be following the textbooks "Fluctuations of Lévy Processes with Applications" by Kyprianou (Springer, 2014) and "Mathematical Finance" by Eberlein and Kallsen (Springer, 2020). Both books are available online via the library
| 18.01.2022 | Kyprianou, Chapter 1.1 | Samuel Baldwin |
| 25.01.2022 | Kyprianou, Chapter 1.2 | Miha Bresar |
| 01.02.2022 | Eberlein/Kallsen, Chapter 2.1 (only advanced concepts) | Aria Ahari |
| 08.02.2022 | Eberlein/Kallsen, Chapter 2.2 (114-123) | Claudia Viaro |
| 15.02.2022 | Eberlein/Kallsen, Chapter 2.5/Kyprianou Chapter 2 | Nikolaos Constantinou |
| 22.02.2022 | Eberlein/Kallsen, Chapter 3.1.1 | Edward Wang |
| 01.03.2022 | Eberlein/Kallsen, Chapter 3.1.2 | Ruiqi Liu |
| 08.03.2022 | Eberlein/Kallsen, Chapter 3.2.1 | László Udvardi |
| 15.03.2022 | Eberlein/Kallsen, Chapter 3.2.3 | David Bang |
Term 1
The topic of the reading group for Term 1 will be Algorithmic and High Frequency Trading. We will be following the textbook "Algorithmic and High-Frequency Trading" by Cartea, Jaimungal and Penalva (CUP, 2015).
| 06.10.2021 | 5min research presentations and discussion of topic | all |
| 13.10.2021 | 5min research presentations | all |
| 20.10.2021 | Key Facts on Market Microstructure | Joe Jerome |
| 27.10.2021 | Optimal Execution with Temporary Price Impact (Cartea et al. 6.1-6.3) | Nikolaos Constantinou |
| 03.11.2021 | Optimal Execution with Temporary and Permanent Price Impact (Cartea et al. 6.5) | Osian Shelley |
| 10.11.2021 | Liquidation with Limit Orders only (Cartea et al. 8.1-8.2) | Ruiqi Liu |
| 17.11.2021 | Liquidation with Limit and Market orders (Cartea et al. 8.4) | Miha Bresar |
| 24.11.2021 | Market Making I (Cartea et al. 10.1-10.2.0) | Yuwei Wang |
| 01.12.2021 | Market Making II (Cartea et al. 10.2.1-10.2.2) | Edward Wang |
| 08.12.2021 | Market Making with Adverse Selection (Cartea et al. 10.4) | Nazem Khan |
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