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Stochastic Calculus Course

Stochastic Calculus Course
flexible workload of 4 to 360h
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

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

What our students say

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