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
Preprint, 2020. [arXiv | SSRN]

Teaching

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

Contact details

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