Modelling with the It� 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 It� calculus and/or stochastic finance.

Review

"It can be strongly recommended to graduate students and practitioners in the field of finace and economics." -- Mathematics Abstracts, 2000

"this is a well-written book, which makes the difficult object of mathematical finance easy to understand also for non-mathematicians." -- Statistical Papers, 2000

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