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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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