Stochastic Calculus Course
This course equips learners with essential stochastic calculus tools for financial modeling, covering Brownian motion, Itô processes, option pricing via Black-Scholes and Monte Carlo, risk management with Greeks, and advanced extensions like stochastic volatility.

flexible workload of 4 to 360h
valid certificate in your country
What will I learn?
This Stochastic Calculus Course provides a focused, practical path from Brownian motion and Itô calculus to geometric Brownian motion, risk-neutral pricing, and the Black–Scholes formula. You will learn to derive key results, compute option prices and Greeks, implement Monte Carlo methods, diagnose numerical issues, and assess model limitations, including stochastic volatility and jump-diffusion extensions.
Elevify advantages
Develop skills
- Price options with Black–Scholes and Monte Carlo in a fast, robust workflow.
- Compute Delta and key Greeks and interpret their risk meaning in real trades.
- Apply Itô calculus and solve linear SDEs for practical asset price modelling.
- Build risk-neutral measures and price payoffs via discounted expectations.
- Diagnose GBM model limits and compare stochastic volatility and jump models.
Suggested summary
Before starting, you can change the chapters and the workload. Choose which chapter to start with. Add or remove chapters. Increase or decrease the course workload.What our students say
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