Financial Calculus: An Introduction to Derivative Pricing
"...a rigorous and accessible account of the probabilistic structure behind the pricing, construction, and hedging of derivative securities....Real examples from stock, currency, and interest rate markets are used.  The text also gives a clear view and introduction to modern mathematical finance for probabilists and statisticians."The Journal of the American Statistical Association"This is an excellent book for anyone who want an intuitive understanding of the use of stochastic calculus in financial engineering."riskbook.com