ABSTRACT
I to’s lemma is the chain rule for stochastic calculus. In this chapter we present Ito’s lemma for Brownian motion and Poisson process driven stochastic differ-
ential equations. It has been said that (almost) all of mathematical finance can be done with just the knowledge of Ito’s lemma. This means that you should make sure that you know (and understand) Ito’s lemma.
