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Stochastic Calculus (Udemy.com)

Learn or refresh your stochastic calculus with a full lecture, practical examples and 20+ exercises and solutions.

Created by: Thomas Dacourt

Last updated January 2026

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What you will learn

  • Derive and calculate stochastic processes and integrals
  • Apply the Itô's lemma to a wide range of processes
  • Identify martingales and Brownian motions
  • Stochastic Calculus
  • σ-algebra
  • Measure, Probability
  • Martingale
  • Brownian Motion
  • Itô's Lemma
  • Itô's Process
  • Radon–Nikodym Theorem
  • Girsanov Theorem
  • Stopping Time
  • Optional Stopping Theorem

How it compares

Against the other 127 rated Udemy courses in Math on CourseDuck:

  • Rating4.3 out of 5higher than 7% of them
  • Reviews252#63 of 128 by number of reviews
  • Length2.5 hoursshorter than 88% of them
  • Last updatedJanuary 2026more recently than 61% of them

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Course Description

Are you a maths student who wants to discover or consolidate your stochastic calculus? Are you a professional in the banking or insurance industry who wants to improve your theoretical knowledge?

Well then you’ve come to the right place!

Stochastic Calculus by Thomas Dacourt is designed for you, with clear lectures and over 20 exercises and solutions.

In no time at all, you will acquire the fundamental skills that will allow you to confidently manipulate and derive stochastic processes. The course is:

  • Easy to understand

  • Comprehensive

  • Practical

  • To the point

We will cover the following:

  • σ-algebra

  • Measure

  • Probability

  • Expectation

  • Independence, covariance

  • Conditional expectation

  • Stochastic process

  • Martingale

  • Brownian motion

  • Itô's lemma

  • Itô's process

  • Itô's isometry

  • Stochastic integral

  • Geometric Brownian motion

  • Quadratic variation

  • Integral martingale

  • Girsanov theorem

  • Change of measure

  • Radon nikodym theorem

  • Stopping times

  • Optional stopping theorem

These key concepts form the basis for understanding mathematical option pricing.

Along with the lectures, there are 20+ downloadable exercises with solutions provided which are designed to check and reinforce your understanding.

The instructor

I am Thomas Dacourt and I am currently working as a senior quantitative analyst for a prestigious investment bank in London. I have held various quant positions in equity, commodities and credit in London over the last 10 years. I have studied mathematics and applied mathematics in France and financial engineering in London.

YOU WILL ALSO GET:

  1. Lifetime Access

  2. Q&A section with support

  3. Certificate of completion

  4. 30-day money-back guarantee

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Instructor Details

Thomas Dacourt

I am Thomas Dacourt and I am currently working as a senior quantitative analyst for a prestigious investment bank in London. I have held various quant positions in equity, commodities and credit in London over the last 10 years. I have studied mathematics and applied mathematics in France and financial engineering in London.

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Reviews

4.3

252 ratings on Udemy

Select a bar to show only those reviews.Select the bar again to show every rating.

By Udemy User on 2/23/2026

I find this training excellent and exactly what I need. While the explanations are not exhaustive (comprehensive coverage would require 300+ hours), those with some background in Statistics will be able to understand how it works. This is precisely what I was looking for.

By Abhiram Upadhye on 1/30/2026

Yes, it is an intermediate level in terms of difficulty and assumes that you have a fundamental knowledge of the probability theory.

By Anjali on 11/13/2025

amazing intuition behind the mathematics, also rigourous. pls make more courses

By Gloria Bellini on 4/7/2024

Even if having a solid mathematical background, I felt that in some parts (especially at the end) the lessons were too fast and too many things were given as obvious. I thing that if more examples were added, it would be very easy to understand and to follow.

By CRISTIAN QUINTERO GONZALEZ on 3/21/2024

Very practical example with the rain exercise to explain sigma algebras and F-measurable random variables.

By Shing Cheong Chan on 12/6/2023

Amazing Course! It is very concise and well explained. There is a good balance between theory and concrete examples. The exercises are at a suitable level which help students to consolidate the understanding of the lectures. Highly recommended!

By Igor Jouravlev on 2/15/2023

Very small amount of what a professional needs to know. There are a lot of interesting topics missed. Very much disappointed re the level of instructions.

By Francisco Marcos Teixeira on 9/14/2022

The notation was hard to follow at times, could've spent a bit more covering it.

By Lance Martin on 7/24/2022

I had prior experience in probability theory and discrete stochastic processes coming into this course, but I wanted a little more exposure to Ito calculus and continuous time processes. This course did exactly that, and is the perfect length and difficulty.

By Rohit Pandey on 5/29/2021

Concise Introduction to relatively dense topics , good for intuitive understanding of Stochastic Calculus.

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Overall Score : 86 / 100