ACTSC 969Stochastic Calculus for Quantitative Finance

Units: 0.50
Level: Graduate
Faculty: Mathematics
Subject: Actuarial Science

When it runs

Ran in 3 of the last 7 terms. Winter 2027: not on the schedule. Spring 2027: schedule not out yet.

The course provides an introduction to Itô calculus and stochastic processes in the context of quantitative finance. Topics include: quadratic variation, Itô formula, Itô differential equations, Brownian motion, geometric Brownian motion, martingales, connection between diffusion processes and partial differential equations, Girsanov transform.

Prerequisites

Enrolled in Master of Quantitative Finance (MQF)

Antirequisites

None listed.

Leads to

No course lists it as a requisite.

Fall 2026 sections

Enrolment from UW Open Data, which can trail Quest by up to two days. Instructors and rooms: Schedule of Classes.
Section	Class	Enrolled	Meets
LEC 001	6624	18 / 30	TTh 13:00–14:20

Check it elsewhere for Fall 2026

Graduate Calendar, Fall 2026The official entry
Requirements for Fall 2026Waterloo’s requisite checker
Schedule of Classes, Fall 2026Instructors, rooms, live seats
Quest Class SearchWhere you enrol
Course outlinesSyllabi from past terms (UW login)
UW FlowStudent ratings and reviews
WClassesPast sections back to 2004, and who taught them

Calendar versions

Graduate Calendar

Older Graduate Calendars

In 2 terms, Fall 2023 to Winter 2024