Stochastic Control and Dynamic Asset Allocation (SCDAA), 2021-22

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.  We will see how much will be in person and how much online depending on Covid situation and other constraints. If there are online events then you will find joining information on the course Learn page in "Zoom Links" on the left pane.

The course details are here: course details.

The course Learn page is here: course Learn page.

The Piazza discussion forum is here: Piazza forum.

Partial lecture notes

The lecture notes can be downloaded here (last update 14th March 2022).

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

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 things look:

Problem sheets

These will be added here before each workshop.

Past exam papers

These will be posted when we get closer to the revision time.


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

The continuous assesment will constitute one piece of coursework which made available at the end of Week 5. Coursework deadline: Friday 8th April 2022 at 12:01pm (i.e. one minute after noon Friday of Week 11).

The exam takes place in the May/June exam period 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:

Empty for the moment; find mistakes in the lecture notes and your name will appear. The student who reports the most by the end of the exams will be the winner.

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