Stochastic Calculus Roadmap for Quantitative Finance
Feeling stuck on where to start with stochastic calculus? This video gives you the exact roadmap I wish I had (plus sequence to learn). I cover what each topic is, the key subtopics that actually matter, the prerequisites so you don’t waste time, and applications. Plus, there’s a downloadable PDF checklist with topic → subtopics → prerequisites to keep your learning structured.
Download the roadmap PDF: https://shop.beacons.ai/quantify_your...
Chapters:
0:00 Why this roadmap
0:36 Topics:
Topic 0 — Foundations
Topic 1 — Brownian, filtrations, martingales
Topic 2 — Itô calculus
Topic 3 — SDEs and diffusions
Topic 4 — Risk‑neutral and numéraires
Topic 5 — Generators and Feynman–Kac
Topic 6 — Greeks and hedging
Topic 7 — Jumps and Lévy
Topic 8 — SV, local vol, hybrids
Topic 9 — Rough vol
Topic 10 — Americans
Topic 11 — Control and BSDEs
Topic 12 — Term structure
Topic 13 — Filtering
Topic 14 — Numerics
Topic 15 — Calibration
Topic 16 — xVA
12:10 How to study each topic sequentially
Disclaimer: The views expressed here are my own and do not reflect the opinions or endorsements of my employer or any institutions I am affiliated with. This is a suggested way of learning and should be accompanied by thorough reading and may not include some topics.