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Stochastic Calculus & Derivatives

From Brownian motion to Black–Scholes: the continuous-time machinery behind option pricing and hedging, at the depth desk-quant and QR interviews expect.

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2 of 4 lessons available. The rest are in development.

Module 1

Brownian Motion and Itô Calculus

1.Brownian Motion & MartingalesConstruction, scaling, reflection, and the martingales built from Brownian motion.In development30m 2.Itô's LemmaWhy stochastic calculus needs a second-order term, how to apply Itô's lemma, and how to solve geometric Brownian motion.30m

Module 2

Pricing and Hedging

3.Risk-Neutral Pricing & Black–ScholesReplication, the risk-neutral measure and the Black–Scholes formula — and how to read each term.35m 4.Greeks & Dynamic HedgingDelta, gamma, vega and theta, the gamma–theta tradeoff, and hedging PnL.In development35m