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In recent years there has been an increasing demand for methods of stochastic calculus in various disciplines like mathematical finance, engineering or biology. This book, which resumes less initial knowledge than most texts on this subject like \textit{P. Protter} [``Stochastic integration and differential equations. A new approach'' (1990; Zbl 0694.60047)]\ or \textit{I. Karatzas} and \textit{S. E. Shreve} [``Brownian motion and stochastic calculus'' (1988; Zbl 0638.60065)], provides an introduction into the wide field of stochastic analysis and into some of its applications. It starts with some basic results about probability theory and stochastic processes (Chapters 1, 2, 3). In Chapter 4 the author introduces integration with respect to Brownian motion and Itô processes. Stochastic differential equations are treated in Chapter 5. Chapter 6 is devoted to the study of diffusion processes. Chapter 8 gives a brief account of general semimartingale calculus whereas in Chapter 9 pure jump processes are studied. In Chapter 10 it is described what happens to processes when the original measure is changed to an equivalent one (Girsanov transformation). Chapters 11, 12 and 13 are devoted to applications of stochastic calculus in mathematical finance, to biology and to engineering, respectively. This book can be recommended to advanced undergraduate students and practitioners. It provides a good introduction into stochastic analysis, leaving out several of the more technical proofs. The variety of examples and exercises suggests to use the book for self-studies.