Stochastic Control and Dynamic Asset Allocation (SCDAA), 2020-21

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.  You will find joining information on Learn "Zoom Links" on the left.

The course details are here: course details.

The course Learn page is here: course Learn page.

Partial lecture notes

The lecture notes can be downloaded here (last update January 2021).

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.

Lecture videos

More recorded material will be added as the Semester progresses. You should try to keep up weekly so that you can effectively participate in the Workshops and also so that you are able to complete the continuous assesment.

Tips: as you watch, make notes as you would for a normal lecture. Keep a list of questions you'd like to ask during the interactive sessions. Try watching at 1.5x or 2x speed and pausing as you need.

Plan for the remaining weeks - we'll see how it will look once recorded:

Problem sheets

These will be added here before each workshop.

Past exam papers


The course assessment is 20% continuous assesment and 80% exam.

The continuous assesment will constitute one piece of coursework which can be downloaded here. UPDATE: Coursework deadline: Friday 9th April 2021 at 12:01pm (i.e. one minute after noon Friday of "Week 12").

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:

Lecture notes typos scoreboard:

Cecilia - 3
Galen Cao - 1
Xuejing Wu - 1

That's all this page has to say at the moment.