This chapter starts by describing the concept of Brownian Motion for the Stock Price Return, as well as the concept of historic volatility. It discusses the derivatives market and the ideas of hedging and risk neutrality. The chapter then moves to briefly describing the Black‐Scholes Partial Derivatives Equation (PDE). Next, it talks about jump models and level‐dependent volatility models. Here, the chapter mentions the jump‐diffusion process and introduces the concept of leverage. It then refers to two popular level‐dependent approaches: the Constant Elasticity Variance (CEV) model and the Bensoussan‐Crouhy‐ Galai (BCG) model. The chapter also mentions local volatility models, and introduces the concept of Market Price of Risk. The Pricing PDE under stochastic volatility and the risk‐neutral version of it are then discussed. Subsequently, the chapter tackles the subject of stochastic volatility where a few popular models such as the Square‐Root model and GARCH are mentioned.