Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction

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

Completely revised and greatly expanded, the new edition of this text takes readers who have been exposed to only basic courses in analysis through the modern g

In 1994 and 1998 F. Delbaen and W. Schachermayer published two breakthrough papers where they proved continuous-time versions of the Fundamental Theorem of Asse

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