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Are there reference on SDE driven by jump proccesses? e.g. Shepard-Nielson Model

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What kind of a reference are you looking for? There's a lot of stuff on SDEs with jumps out there... – olaker♦ Feb 21 at 16:50
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A book by Cont and Tankov, Financial Modelling with Jump Processes, might be useful. – quasi Feb 21 at 19:22
@olaker just general theory? an introductory one would be good. – Lost1 Feb 21 at 19:47
@Lost1 I added a book in my answer. – Richard Feb 22 at 9:45

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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.

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