Lecture Notes on Stochastic Analysis for Finance

A clear introduction to stochastic calculus by a leading probabilist, from discrete martingales and Brownian motion to Itô's formula and stochastic differential equations. Examples from finance appear throughout, with exercises in every chapter.

Gregory F. Lawler

A course book that goes from option pricing basics to martingales, Brownian motion, Wiener and Itô integrals and Itô's formula. It ends by deriving and solving the Black-Scholes partial differential equation.

Michael J. Kozdron

Graduate lecture notes on continuous-time finance: options and arbitrage, the Black-Scholes model, stochastic integration and pricing in complete markets. A solid bridge between probability theory and financial models.

Universität Münster

Lecture notes on Brownian motion, local martingales, Itô integration, Itô's formula and stochastic differential equations. Rigorous and compact, with pointers to the standard references.

David Prömel, Mathias Trabs