Stochastic Calculus Course
This course offers a practical introduction to stochastic calculus, covering essential concepts from Brownian motion to advanced pricing models like Black-Scholes, with hands-on implementation of Monte Carlo simulations and analysis of model extensions.

4 to 360 hours flexible workload
valid certificate in your country
What will I learn?
This Stochastic Calculus Course provides a focused, practical pathway from Brownian motion and Itô calculus to geometric Brownian motion, risk-neutral pricing, and the Black–Scholes formula. You'll learn to derive key results, calculate option prices and Greeks, implement Monte Carlo methods, identify numerical issues, and evaluate model limitations, including stochastic volatility and jump-diffusion extensions.
Elevify advantages
Develop skills
- Price options using Black–Scholes and Monte Carlo in a quick, robust workflow.
- Calculate Delta and key Greeks and interpret their risk implications in actual trades.
- Apply Itô calculus and solve linear SDEs for practical asset price modelling.
- Construct risk-neutral measures and price payoffs via discounted expectations.
- Identify GBM model limitations and compare stochastic volatility and jump models.
Suggested summary
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