目录：
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
  

第二本

An Introduction to Stochastic Calculus with Applications to Finance
Ovidiu Calin
Department of Mathematics Eastern Michigan University

Contents:
I Stochastic Calculus

• 1. Basic Notions
• 2. Useful Stochastic Processes
• 3. Properties of Stochastic Processes
• 4. Stochastic Integration
• 5. Stochastic Differentiation
• 6. Stochastic Integration Techniques
• 7. Stochastic Differential Equations
• 8. Application of Brownian Motion
• 9. Martingales and Girsanov's Theorem
  

Ⅱ Applications to Finance

• 10. Modeling Stochastic Rates
• 11. Bond Valuation and Yield Curves
• 12. Modeling Stock Prices
• 13. Risk-Neutral Valuation
• 14. Martingale Measures
• 15. Black-Scholes Analysis
• 16. Black-Scholes for Asian Derivatives
• 17. American Options
• 18. Hints and Solutions