Table of Contents

# Preliminaries from Calculus # Concepts of Probability Theory # Basic Stochastic Processes # Brownian Motion Calculus # Stochastic Differential Equations # Diffusion Processes # Martingales # Calculus for Semimartingales # Pure Jump Processes # Change of Probability Measure # Applications in Finance: Stock and FX Options # Applications in Finance: Bonds, Rates and Options # Applications in Biology # Applications in Engineering and Physics

Reviews

"The material in the book is presented concisely ... it contains many worked out examples while the stochastic calculus is presented in a concentrated but transparent form." Professor Robert Liptser Tel Aviv University Reviews of the First Edition "... hard to find books on stochastic analysis which present such a wide spectrum of results with relatively modest prerequisites." Mathematical Reviews "It provides a good introduction to stochastic analysis, leaving out several of the more technical proofs. The variety of examples and exercises suggests to use the book for self-studies." Zentralblatt MATH