Modelling with the Ito integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, ch

This important book provides information necessary for those dealing with stochastic calculus and pricing in the models of financial markets operating under unc

This is an introduction to probabilistic and statistical concepts necessary to understand the basic ideas and methods of stochastic differential equations. Base

In this edition two new chapters, 9 and 10, on mathematical finance are added. They are written by Dr. Farid AitSahlia, ancien eleve, who has taught such a cour

This book presents a concise treatment of stochastic calculus and its applications. It gives a simple but rigorous treatment of the subject including a range of