Postgraduate Course: Stochastic Control and Dynamic Asset Allocation (MATH11150)
|School||School of Mathematics
||College||College of Science and Engineering
|Credit level (Normal year taken)||SCQF Level 11 (Postgraduate)
||Availability||Not available to visiting students
|Summary||The course presents an introduction to control theory, to a very active area of research, both in pure and applied mathematics. The aim is to learn the basics of the mathematical theory, and to understand some real-world applications, primarily in finance and economics. It offers an opportunity to see the connections between different fields, (controlled dynamical systems, optimization, nonlinear PDEs), and the underlying ideas unifying them.
- Discrete time case: Controlled Markov chains, backward induction,
optimal stopping in discrete time.
- Continuous time case: Controlled ODEs, Controlled diffusion processes, Bellman principle, Hamilton-Jacobi-Bellman equations, optimal stopping in continuous time, variational inequalities, Calculating American options in the Black Scholes model, Optimal investment-consumption problems.
Course Delivery Information
|Academic year 2017/18, Not available to visiting students (SS1)
|Learning and Teaching activities (Further Info)
Lecture Hours 16,
Seminar/Tutorial Hours 4,
Programme Level Learning and Teaching Hours 2,
Directed Learning and Independent Learning Hours
|Assessment (Further Info)
|Additional Information (Assessment)
||Hours & Minutes
|Main Exam Diet S2 (April/May)||Stochastic Control and Dynamic Asset Allocation (MATH11150)||2:00|
| - Knowledge of controlled Markov chains.
- Knowledge of, and a critical understanding of, the theory of optimal stopping in discrete time and continuous time.
- Knowledge of, and a critical understanding of, Hamilton-Jacobi-Bellman equations.
- Knowledge of, and a critical understanding of, variational inequalities.
- Understanding of, and critical assessment of, optimal investment-consumption problems.
| - H. Pham: Continuous-time stochastic control and optimization with financial applications, Series SMAP, Springer 2009.|
- H. M. Soner: Stochastic Optimal Control in Finance, Edizioni della
|Graduate Attributes and Skills
||MSc Financial Modelling and Optimization and MSc Computational Mathematical Finance students only.
|Course organiser||Dr David Siska
Tel: (0131 6)51 9091
|Course secretary||Ms Hannah Burley
Tel: (0131 6)50 4885