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ACTSC 446Mathematics of Financial Markets

Units
0.50
Faculty
Mathematics
Subject
Actuarial Science

When it runs

  1. F24
  2. W25
  3. S25
  4. F25
  5. W26
  6. S26
  7. F26
  8. W27
  9. S27

Ran in 6 of the last 7 terms. Winter 2027: scheduled, 2 lecture sections. Spring 2027: schedule not out yet.

This course covers mathematical techniques for no-arbitrage pricing and hedging financial derivatives. Topics to be covered can be classified into three broad areas: derivatives markets (options; forwards and futures; other derivatives; put-call parity), discrete-time financial models (binomial models; general multi-period models; Fundamental Theorems of Asset Pricing; risk-neutral probability), and continuous-time financial models (basic stochastic calculus and Itô's lemma; Black-Scholes model; interest rate models and bond pricing).

Prerequisites

Antirequisites

  • Complete all of the following
    • Not completed nor concurrently enrolled in any of the following:
    • Not completed nor concurrently enrolled in:

Leads to

Fall 2026 sections

Enrolment from UW Open Data, which can trail Quest by up to two days. Instructors and rooms: Schedule of Classes.
SectionClassEnrolledMeets
LEC 001613241 / 90MW 16:00–17:20
TUT 101661741 / 90F 10:30–11:20

Winter 2027 sections

Enrolment from UW Open Data, which can trail Quest by up to two days. Instructors and rooms: Schedule of Classes.
SectionClassEnrolledMeets
LEC 00155730 / 120TTh 14:30–15:50
LEC 701221669 / 9999Online or by arrangement

Reviewed on UW Flow

70% liked it30% easy83% useful

From 23 ratings and 7 comments on UW Flow. The most helpful comments, quoted as written, without names. Read them all on UW Flow.

  • Attend all lectures, even if you have done MFE. The class is very theoretical. Also, the slides posted aren't useful on their own. You need to supplement them with the notes in class.

    Dec 2017 · liked it · 1 found this helpfulOn UW FlowRemove this

  • It is very helpful if you plan to write FSA QFI exams. I took with professor Li, and he is the GOAT, explaining concepts so clearly and giving fair exams given that you meticulously go through all his notes and practice problems!

    Apr 2026 · liked itOn UW FlowRemove this

  • Take it with Bin. Goated A446 Prof.

    Apr 2026 · liked itOn UW FlowRemove this

  • I took this course with Mario Ghossoub and would not recommend unless you absolutely have to take it. His lectures were just him basically reading off the slides and he gave such few practice problems to prepare for the midterms or final. The first half of the course was decently easy so it was alright despite his teaching, but the second half of the course was much harder.

    Dec 2024 · didn’t like itOn UW FlowRemove this

  • Super useful if you want to study financial mathematics in the future. This course can easily be the hardest course in Waterloo undergrad, but your professor will not give you those really hard questions.

    Apr 2024 · liked itOn UW FlowRemove this

Discussed on r/uwaterloo

93 posts and comments in 76 threads mention ACTSC 446, May 2012 to December 2024. Quoted word for word, newest first; each reply sits under the post and the comment that started its branch. Search r/uwaterloo for newer posts.

Winter 2024

Fall 2023

Spring 2023

Winter 2023

A course about understanding finance and why ppl don’t chase quant jobs 10 points, 7 comments

“I’ve seen a course called topics in mathematics with application in finance (from an unknown Waterloo of the south impostor school). …”

u/radicaldog1111: “Actsc 221/231 is somewhat similar to what you’ve mentioned. There are also many other actsc courses that are related to mathematical finance”

u/radicaldog1111: “Just looked, there is also actsc372 (corporate finance), actsc271 (intro to investments), actsc445 (quantitative risk management), actsc446 (math of financial markets), actsc454 (predictive analysis), stat374 (quantative foundations for finance) + a handful of other stats …”

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Fall 2022

Winter 2022

Fall 2021

Winter 2021

Most useful algorithmic trading course 10 points, 8 comments

u/composerragingbull: “… Currently, I'm looking at the following: - ECON 423: Time Series Econometrics - ACTSC 446: Mathematical Models in Finance - CS 380: Introduction to Machine Learning - SYDE 572: Introduction to Pattern Recognition - ECE 603: Statistical Signal Processing I'm in eng so I'm limited …”

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Check it elsewhere for Fall 2026

Calendar versions

Undergraduate Calendar