Stochastic Calculus Course
This course provides a practical introduction to stochastic calculus, focusing on applications in financial modeling, including option pricing and risk management techniques.

from 4 to 360h flexible workload
valid certificate in your country
What will I learn?
This Stochastic Calculus Course gives you a focused, practical path from Brownian motion and Itô calculus to geometric Brownian motion, risk-neutral pricing, and the Black–Scholes formula. You 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 modeling.
- Build risk-neutral measures and price payoffs via discounted expectations.
- Diagnose GBM model limits and compare stochastic volatility and jump models.
Suggested summary
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