Bernt Oksendal - Stochastic Differential Equations: An Introduction with Applications

Solid knowledge of stochastic calculus is necessary to fully benefit from reading advanced asset pricing text books (Duffie or Musiela and Rutkowski). Oksendal is one of the books that provide pretty intuitive tretment of the topic. The book covers number of topics including a solution to Hamiltonian Jakobi Bellman problem (HJB equation).