Stochastic integral calculus and time series modeling have gained significant importance in the field of economics in recent years. On one hand, they play a crucial role in modeling financial markets, and on the other hand, almost the entire statistical inference of non-stationary time series is based on them. The reader is provided with an introduction to both areas, thereby becoming familiar with the modern methods of mathematical finance theory as well as time series econometrics. The introduction is both elementary and rigorous. The main text contains hardly any mathematical derivations; instead, it presents the concepts and techniques in a more illustrative manner, using examples for clarification. At the end of each chapter, there are over 100 problems and exercises along with complete solutions.