In addition to extensive coverage of printed sources this site also includes hyperlinks to useful information on the Web. Online textbook by E.T. Jaynes in PS format. The Applied Probability Trust is a non-profit foundation for study and research in the mathematical sciences. It publishes research journals, a student magazine and occasional special volumes. These notes by Alan Bain provide a complete elementary introduction to stochastic integration with respect to continuous semimartingales.
Notes are in .pdf format.
Introductory through advanced topics are covered. An online course by Wlodzimierz Bryc in DVI, PS and HTML format. An online course by Marcus Pivato. Also covers discrete-time Markov processes, Brownian motions, Levy and Poisson processes. Introduction to stochastic analysis applied to finance, option pricing and risk management.