I have learnt the basics about distributions and random variables. Now, I would like to know more, in particular what can be applied to financial mathematics. I have seen that Itô Calculus is crucial, then I searched about it on web pages, however I cannot understand much.
Do you recommend any book, paper e on this subject?
Intuitive Book for the Overview: - Stochastic Differential Equations - B. Oksendal
Standard Book with all important Concepts: - Stochastic Integration and Differential Equations - P. Protter
Very rigorous Book as a foundation: - Brownian Motion and Stochastic Calculus - Karatzas and Shreve