Stochastic Differential Equations (5th ed.)

The main new feature of the fifth edition is the addition of a new chapter, Chapter 12, on applications to mathematical finance. I found it natural to include this material as another major application of stochastic analysis, in view of the amazing development in this field during the last 10-20 years. Moreover, the close contact between the theoretical achievements and the applications in this area is striking. For example, today very few firms (if any) trade with options without consulting the