Stochastic Control and Dynamic Asset Allocation (SCDAA), 2017-18

Useful to know

The course lecturer and organiser is David Siska, School of Mathematics, Room 4611.

The course timetable is here: timetable. Last minute changes may only be reflected in MSc timetable.

The course details are here: course details.

TopHat join code is: 531493 and this is the link to the TopHat page.

The course assessment is 100% exam with no choice of questions in the exam. Here is a link to the usual course info sheet.

Preliminary and partial lecture notes

There are some notes to accompany the lectures. Not all the details discussed in the lectures will appear in the notes and only about first 7 weeks of lectures will be covered. In particular Duality theory is not covered.

Download the notes here.

Download the notes, including exercises with most solutions, here (last update 29th April 2018). Note that the exercises and solutions for weeks 1, 3, 5 and 7 are all there (only week 9 is separate below).
Download the hand-written notes for the duality part here (last update 21st March 2018).
Download the problem sheet for week 9 here and the corresponding solution here (last update 15th May 2018).
Download the 2015/16 exam or download the 2015/16 questions and solutions.
Download the 2016/17 exam or download the 2016/17 questions and solutions.

Inevitably, there are mistakes in the lecture notes. Please report those to me! I will keep track of who reported how many mistakes and the "winner" will be announced after the exam. If anything is not clear, ask.

Mistakes found so far:

Sheena Gupta: 7
Yan Lin: 16
Chung Shing Hin: 1

Assessment

The course assessment is 100% exam. The exam takes place in May and all exam questions count towards final mark.

Books

The main recommended book is:

H. Pham - Continuous-time stochastic control and optimization with financial applications, Springer, 2009.

It is available for download via the Library (you might need to use a university computer for this).

Timetable

Week 1: Lecture, Friday 19th Jan, 9-11am, JCMB 6206 and Workshop 1pm in JCMB 5327.
Week 2: Lecture, Friday 26th Jan, 9-11am, JCMB 6206.
Week 3: Lecture, Friday 2nd Feb, 9-11am, JCMB 6206 and Workshop 1pm in JCMB 5327.
Week 4: Lecture, Tuesday 6th Feb, 9-11am, JCMB 1501.
~~Week 5: Workshop, Friday 16th Feb 1pm, JCMB 5327~~ (cancelled, still needs to be rescheduled).
Flexible learning week.
Week 6: Lecture, Tuesday 27th Feb, 9-11am, JCMB 1501 ~~and Lecture, Friday 2nd Mar, 9-11am, JCMB 6206~~ (cancelled due to snow, rescheduled to 6th March).
Week 7: Lecture, Tuesday 6th Mar, 9-11am, JCMB 5328, Lecture, Friday 9th Mar, 9-11am, JCMB 6206 and Workshop 1pm in JCMB 5327.
Week 8: Lecture, Friday 16th Mar, 9-11am.
Week 9: Lecture, Tuesday 20th Mar, 9-11am, JCMB 1501 and Lecture, Friday 23rd Mar, 9-11am, JCMB 6206 and Workshop 1pm in JCMB 5327.
Week 10: -.
Week 11: Lecture, Friday 6th Apr, 9-11am, JCMB 6206 and Workshop 1pm in JCMB 5327.