The key aim of this serial is to study various stochastic models in finance with emphasise on the Monte Carlo simulations with R for these models.In this paper, we will study the linear stochastic differential equation (SDE) model for the asset price.We will define the It calculus and establish the It\hat\hboxo formula.Moreover, as the Monte Carlo simulations with R is our keytopic in this serial, we will review the developments of numerical solutionsin order to highlight this very popular area in the study of SDEs.