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Stochastic Calculus Course

Stochastic Calculus Course
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

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.
Workload: between 4 and 360 hours

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