Thomas Mikosch Elementary stochastic calculus, with finance in view

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

However, stochastic calculus is based on a deep mathematical theory.

This book is suitable for the reader without a deep mathematical background.

It gives an elementary introduction to that area of probability theory, without burdening the reader with a great deal of measure theory.

Applications are taken from stochastic finance.

In particular, the Black-Scholes option pricing formula is derived.

The book can serve as a text for a course on stochastic calculus for non-mathematicians or as elementary reading material for anyone who wants to learn about Ito calculus and/or stochastic finance.