Lecture Notes

Stochastic Calculus

The intended purpose of these lecture notes is to provide beginners a quick crash course on basic ideas, compuational techniques, and applications of stochastic calculus and stochastic differential equations so readers can advance more easily by filling in gaps with more in-depth knowledge from currently existing so many wonderful books on stochastic calculus and stochastic differential equations.

These lecture notes should be accessible by undergraduate students of mathematics who have taken differential equations and probability. We will also touch applications of stochastic calculus and stochastic differential equations in finance.