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Mathematical Finance

Master of Science (MSc)

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  1. Thesis-based

    Academic background: Bachelor's degree in mathematical finance or an undergraduate degree in a field related to mathematical finance, such as stochastic processes, probability, statistics, mathematics, economics or finance.

    Course load: One seminar course and five courses at graduate level which must include two courses from List E, one from List F and one from List G.

    Thesis or project: A thesis has to be written and defended orally in front of an exam committee.

    Completion time: On average, two years. The maximum time allowed is four years.

    Is part-time available: Yes. The maximum time allowed is six years.

    Course performance level: Should maintain a minimum cumulative GPA of 3.00 (calculated on a four-point scale) at the end of each registration year and attain at least a B- on each course taken for credit.

    Funding: Funded for up to two years or sponsored.

  2. Course-based

    Academic background: A bachelor's degree in mathematical finance or an undergraduate degree in a field related to mathematical finance, such as stochastic processes, probability, statistics, mathematics, economics or finance.

    Course load: One seminar course and eight courses which must include two courses from List E, two from List F and two from List G (or 2 from List E, three from List F and one from List G (if the courses from List G do not run annually))

    Thesis or project: Must register and attend MATH 600A in Fall and MATH 600B in Winter and obtain a pass grade.

    Completion time: 1-2 years. The maximum time allowed is four years.

    Is part-time available: Yes. The maximum time allowed is six years.

    Course performance level: Should maintain a minimum cumulative GPA of 3.00 (calculated on a four-point scale) at the end of each registration year and attain at least a B- on each course taken for credit.

    Funding: Unfunded.

  • Alexandru Badescu: Mathematical finance, actuarial science
  • Jinniao Qiu: Mathematical finance, analysis, PDE, operation research
  • Deniz Sezer: Mathematical finance, operation research, modelling of wind and solar energy
  • Anatoliy Swishchuk: Mathematical finance, energy market modelling, stochastic calculus, random evolutions, stochastic processes
  • Antony Ware: Computational finance, energy markets modelling, numerical methods

  1. List E courses

    ACSC 515 Models for Financial Economics 
    MATH 681 Stochastic Calculus for Finance 
    MATH 683 Computational Finance

  2. List F courses

    STAT 507 Introduction to Stochastic Processes (or MATH 685 Stochastic Processes)
    MATH 605 Differential Equations III 
    MATH 601 Measure and Integration 
    STAT 701 Theory of Probability I 
    STAT 721 Theory of Estimation

  3. List G courses

    MATH 691.01 Lévy Processes in Finance
    MATH 693.01 Monte Carlo Methods for Quantitative Finance
    MATH 691.05 Stochastic Optimal Control & Applications in Finance
    MATH 693.03 Energy, Commodity and Environmental Finance
    MATH 691.03 Credit Risk
    MATH 693.05 Advanced Topics in Mathematical Finance

    Haskayne Courses:

    FNCE 613 - Investment and Portfolio Management
    FNCE 631 - FinTech
    FNCE 645 - Futures and Options
    FNCE 667 - Financial Risk Management
    FNCE 668 - Topic: Sustainable Finance

    Note: 

A master’s thesis-based student must complete a thesis on a topic to be agreed to by the student and their supervisor.

  • After completion of the thesis, the student must pass a thesis oral examination
  • A master's thesis oral exam committee contains a supervisor, a co-supervisor (if applicable), an examiner (an additional member of the University of Calgary academic staff), and an internal examiner (a member of the University of Calgary academic staff)
  • The exam must be scheduled at least four weeks prior to date of oral exam
  • Examiners must have a copy of the thesis at least three weeks prior to the date of oral exam
  • Final thesis oral examinations are open

More information can be found on the Faculty of Graduate Studies websites under examinations.