Wolfram U

Introduction to Stochastic Processes for Finance Research and Trading

  • Interactive Course
  • 1 h
  • Intermediate
  • 1 Certification

Estimated Time: 1 h

Course Level: Intermediate

Requirements: The course requires a basic understanding of both probability theory (in particular probability distributions) and linear algebra. This course requires minimal experience with Wolfram Language.

Certification Levels: Completion


Learn about modeling financial data with stochastic processes for quantitative research and trading from an expert in quantitative finance. Instructor Jonathan Kinlay is a longtime user of Wolfram Language and an expert in investment research, hedge fund investing and quantitative finance. Analysts and portfolio managers in the financial sector often rely on computational models for managing assets and optimizing investment portfolios. Modeling stochastic processes helps you make sense of and predict outcomes in random data, such as stock prices. The stochastic processes in this course include a random walk, the Wiener process and geometric Brownian motion. The course will cover the models' properties and applications in analyzing financial data. Examples demonstrate modeling a stock Index and stock returns, as well as option pricing and sensitivity analysis.

Featured Products & Technologies: Wolfram Language (available in Mathematica and Wolfram|One)

You'll Learn To

  • Model random walks and compute moments
  • Calculate the PDF and CDF of a random walk process
  • Model a Wiener process and compute its moments and distribution properties
  • Explore stationarity and independence properties of random processes
  • Simulate stock price paths using geometric Brownian motion
  • Model stock returns
  • Derive option pricing formula from the PDF of stock price

Certifications Available

  • Completion Certificate

    Certify your completion of this course by watching course videos and completing all quizzes.

    Track My Progress

About This Interactive Course

It's free and easy to get started with open interactive courses using the Wolfram Cloud—sign in with your Wolfram ID or create one. No plan is required. This interactive course includes video lessons, quizzes, practice problems and a scratch notebook, all in an easy-to-use interface. From the interactive course, click Track My Progress to chart your certification progress as you go. Recommended best practice for completing this interactive course is to start with Lesson 1 and progress through the video lessons, taking each quiz in the order it appears in the table of contents.