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Where I can find exercises on stochastic calculus (stochastic integration, SDE)? I'm mostly interested in medium difficulty exercises, preferably not proof-oriented, ideally with solutions. I've already looked through the books of Øksendal, Protter, Kuo. Thank you.

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I think this book by Loic Chaumont and M. Yor nicely fits your requirements. On the bottom of the webpage there is free pdf with table of contents. – Ilya Nov 27 '11 at 21:28
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Small hint: solutions to the exercises from the first three chapters of Protters book are available on his homepage. – Julian Wergieluk Nov 28 '11 at 0:07

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The book Theory of Stochastic Processes: With Applications to Financial Mathematics is probably what you are looking for. Hints and solutions to some problems along with review of needed theory are included.

Also the book of Revuz, Yor Continuous martingales and Brownian motion contains of lot of exercises. Solutions are not included..

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Exercises from the Revuz and Yor's book are paticularly hard IMO (though very interesting), I wouldn't recommand it for someone looking for medium level exercises. Best regards. – TheBridge Nov 28 '11 at 8:55

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