1. Introduction to Stochastic Calculus for Finance: A New Didactic Approach (Lecture Notes in Economics and Mathematical Systems)

Dieter Sondermann

2.From Measures to Itô Integrals (AIMS Library of Mathematical Sciences)

Ekkehard Kopp

3. Stochastic Integration by Parts and Functional Itô Calculus

Vlad Bally, Lucia Caramellino, Rama Cont (auth.), Frederic Utzet, Josep Vives (eds.)

Thank you so much Professor Babak Jamshidi

See the attached paper

Thank you so much Prof. Salah Uddin

You may get a series of video lectures (total 30 hours) on stochastic calculus and its application in solving some deterministic problems from the following link

https://sites.google.com/site/anindyagoswami/teaching/pde

This course also introduces all prerequisit mathematical ideas in the beginning.

The book/lecture note by Sondermann discusses integration theory where integrand is a deterministic function of the integrator process. Although this is restrictive, but often that is found adequate for some finance applications. This approach is based on a work of Follmer.

Thank you very much Prof.Anindya Goswami.

Can you please provide the title of the book?

In my previous post, I have commented on the book, mentioned by Prof. Babak Jamshidi. The title was provided by him.

Fundamental Books:

Ludwig Arnold Stochastic Differential Equations: Theory and Applications Wiley

Avner Friedman Stochastic Differential Equations and Applications Academic Press

Protter's book: Stochastic integration and differential equations

Thank you Prof. Joao Pereira