Stochastic Calculus

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

Covers the core of stochastic analysis, including Itô's formula, martingale representation and Girsanov's theorem, then moves to stochastic differential equations and the Feynman-Kac formula. The final part applies these tools to quantitative finance.

Melih İşeri