Are there reference on SDE driven by jump proccesses? e.g. Shepard-Nielson Model
I don't have the original reference here but what about Merton's Jump-Diffusion model?
Stochastic Calculus for Finance II: Continuous-Time Models by Steven Shreve has some chapters about modelling with jump-processes. I think it is a slightly easier introduction to the topic than Cont/Tankov.