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Joseph Jerome

I am a final year PhD student working in the field of stochastic finance under the joint supervision of Professor David Hobson and Dr Martin Herdegen. Before starting my PhD at Warwick I studied at the University of Bath, spending a year at the Complutense University in Madrid.

Research Interests

My research interests lie in the field of stochastic processes and mathematical finance, particularly in stochastic optimal control and its financial applications. I am currently working on the Merton optimal investment-consumption problem with stochastic differential utility.

Working Papers

Martin Herdegen, David Hobson and Joseph Jerome
The Infinite Horizon Investment-Consumption Problem with Epstein-Zin Stochastic Differential Utility

Publications and Preprints

Martin Herdegen, David Hobson and Joseph Jerome
An elementary approach to the Merton problem

To appear in an upcoming edition of Mathematical Finance.[ArXiv | SSRN]

Martin Herdegen, David Hobson and Joseph Jerome
The Infinite Horizon Investment-Consumption Problem with Epstein-Zin Stochastic Differential Utility

ArXiv

Martin Herdegen, David Hobson and Joseph Jerome
Epstein-Zin Stochastic Differential Utility for positive values of ϱ
Working paper

Talks

Infinite Horizon Stochastic Differential Utility
10th General AMaMeF Conference, June 2021.

The Lifetime Investment and Consumption Problem with Epstein-Zin Stochastic Differential Utility
SIAM Conference on Financial Mathematics and Engineering, June 2021.

Infinite Horizon Stochastic Differential Utility
XXII Workshop On Quantitative Finance, University of Verona, January 2021.

The Lifetime Investment and Consumption Problem with Epstein-Zin Stochastic Differential Utility
Statistics, Probability, Analysis and Applied Mathematics seminar series, January 2021.

The Lifetime Investment and Consumption Problem with Epstein-Zin Stochastic Differential Utility
University of Warwick Stochastic finance seminar, October 2020. Link to the talk.

An elementary approach to the Merton problem
13th European Summer School in Financial Maths, University of Vienna, September 2020.

Teaching
  • Stochastic Processes ST202 (2017)
  • Probability and Stochastic Processes ST908 (2018,2019)
  • Introduction to Probability ST115 (2018,2019)

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Contact details

Mathematical Sciences Building 4.14
Department of Statistics
University of Warwick
Coventry CV4 7AL
Email: J.Jerome@warwick.ac.uk