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Stochastic Calculus Course

Stochastic Calculus Course
from 4 to 360h flexible workload
valid certificate in your country

What will I learn?

This Stochastic Calculus Course provides a focused, practical route 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, calculate option prices and Greeks, apply Monte Carlo methods, identify numerical challenges, and evaluate model limitations, including extensions to stochastic volatility and jump-diffusion.

Elevify advantages

Develop skills

  • Price options using Black–Scholes and Monte Carlo in a quick, reliable workflow.
  • Calculate Delta and key Greeks and explain their risk implications in actual trades.
  • Use Itô calculus and solve linear SDEs for practical asset price modelling.
  • Construct risk-neutral measures and price payoffs through 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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