Stochastic Control and Dynamic Asset Allocation (SCDAA), 2019-20

Useful to know

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

This is Semester 2 course. The course timetable is here: timetable

The course details are here: course details.

Partial lecture notes

The lecture notes can be downloaded here (last update 14th February 2020).

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.

Problem sheets

Past exam papers


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

Books and other sources

It is recommended that you read / understand / tackle exercises in the relevant parts of:

Outline - expected, we'll see how fast we go: