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I am reading on the Shephard Nielson model. I am just wondering if there are books on processes driven by jump processes?

Can anyone give suggest a reference book for me on this?

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Are you interested specifically in Levy processes, or book on more general semimartingales is also OK? – Ilya Feb 21 '13 at 21:08
@Ilya I am intersted in SDEs driven by Levy processes. Maybe i should have been more specific on the word "processes". I have some knowledge about Levy processes themselves. – Lost1 Feb 21 '13 at 22:35
@Lost1 : As it seems that you financial application in view I recommend the Book by Cont and Tankov untitled "Financial Modelling with Jump Processes" which is really complete. Best regards. – TheBridge Feb 25 '13 at 13:31

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