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.