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STAT 906Computer Intensive Methods for Stochastic Models in Finance

Units
0.50
Level
Graduate
Faculty
Mathematics
Subject
Statistics

When it runs

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

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

Review of basic numerical methods. Simulation of random variables, stochastic processes and stochastic models in finance. Numerical solution of deterministic and stochastic differential equations. Valuation of complex financial instruments and derivative securities. Project and paper.

Prerequisites

None listed.

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.
SectionClassEnrolledMeets
LEC 001605423 / 40MW 10:00–11:20

Discussed on r/uwaterloo

11 posts and comments in 11 threads mention STAT 906, April 2017 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 2023

How hard would it be for to get into MQF? 2 points, 4 comments

“Hi there, For context, I'm going to enter 4th Year Mechanical Engineering this year, and am planning to apply for Quantitative Finance Master's either for MMF at UofT or MQF here. …”

u/LuK413: “… MQF is very theoretical and you will be taking STAT901, 902 and 906 which will require measure theory. …”

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Fall 2020

STAT 340 or STAT 341 9 points, 17 comments

“Trying to decide between STAT 340 with Christiane Lemieux or STAT 341 with Nathaniel Stevens for next term. …”

[deleted]: [deleted]

[deleted]: “… Cs476 and then stat906 will focus specifically on finance modelling. …”

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I taught Stat 231 in Winter 2020, AMA 85 points, 31 comments

“I took Stat 231 in 2015 when I was still in double degree. Later dropped into math finance but finally graduated with stats degree. …”

u/dotuanhiep: “Why did you decide against math finance? Also, did you take or know anything about stats 906? That course seems really cool to me.”

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Winter 2019

Fall 2018

Spring 2018

Winter 2018

CS 476 vs CO 372 0 points, 5 comments

“Generally, which one is harder? And which one is more useful? Appreciate any insights even if you haven't taken the course”

[deleted]: “CS 476 is useful, CO 372 sounds more theoretical and potentially less useful, since the people actually doing the theory in portfolio selection have PhDs... …”

[deleted]: “… UW offers STAT 906 which is a grad-level CS 476, you could look into that. It's a very common course for MQF students. Lastly, don't discount the possibility of just taking both. …”

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Fall 2017

Any way to disable UWCourseLinker from posting? 16 points, 26 comments

“posting a reply to my comment I find the bot annoying.”

u/Jackhofmann: “… STAT 442 STAT 443 STAT 830 STAT 831 STAT 833 STAT 841 STAT 842 STAT 845 STAT 850 STAT 901 STAT 906 STAT 931 STAT 932 STAT 946 STAT 947 STAT 974 STV 100 STV 202 STV 203 STV 400 SUSM 601 SUSM 602 SUSM 620 SUSM 675 SWK 600R SWK 602R SWK 604R SWK 610R SWK 690R SWREN 120R SWREN 220R …”

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Winter 2017

MMATH Computational Math vs MMATH Stats 6 points, 6 comments

“I was just admitted to the MMATH programs: computational math, and statistics (data science specialization). I was wondering what you guys thought of either one of these programs. …”

u/Postmodernist_Cancer: “… Take a look at the Stats courses here, specifically STAT 906 would be of interest to you. There are also the ACTSC courses, 970/971/972 which are Finance 1/2/3 that could be interesting to you. They are a theoretical treatment of Finance. …”

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Check it elsewhere for Fall 2026

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In 42 terms, Fall 2006 to Winter 2024