Klebaner, Fina C. Introduction to stochastic calculus with applications. 2nd ed. (English) Zbl 1077.60001 London: Imperial College Press (ISBN 1-86094-566-X/pbk; 1-86094-555-4/hbk). xiii, 416 p. (2005). From the first edition (1998; Zbl 0926.60002), the book has been revised and expanded; in particular, to many topics more worked out examples and exercises are added. Also, solutions to selected exercises are now provided at the end of the book. A new chapter on bonds and interest rates has been included in the applications in finance section. Altogether, the book, as the first edition, is a welcome addition to the literature on stochastic differential equations. The material is presented mathematically rigorous and the examples and exercises are carefully selected to provide additional insight. The book is very readable and can be recommended to be used in lecture courses and for self-study. Reviewer: Evelyn Buckwar (Berlin) Cited in 1 ReviewCited in 177 Documents MSC: 60-02 Research exposition (monographs, survey articles) pertaining to probability theory 60H05 Stochastic integrals 60H10 Stochastic ordinary differential equations (aspects of stochastic analysis) 60J60 Diffusion processes 60J65 Brownian motion 60J70 Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) Keywords:Brownian motion; ItĂ´ integral; martingales; jump processes; semimartingales; change of probability measure; option pricing; stochastic population dynamics; random oscillators Citations:Zbl 0926.60002 PDFBibTeX XMLCite \textit{F. C. Klebaner}, Introduction to stochastic calculus with applications. 2nd ed. London: Imperial College Press (2005; Zbl 1077.60001)