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.

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:


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


The main recommended book is:

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