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Summarizing the suggestions in comments: Nicolas Privault's chapter Stochastic Calculus of Jump Processes [available online] provides only a very brief overview. Chapter 11 of Shreve's II volume (Stochastic Calculus for Finance II: Continuous Time Models), called "Introduction to Jump Processes" is a good starting point. Then Cont and Tankov "Financial ...


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http://www.math.tau.ac.il/~uriy/Papers/encyc57.pdf - page 5 in this does that do it?


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This is easy to answer with the meta theorem given in the same chapter. Here you have two sources of randomness (W and N), and one risky asset. Q1: Arbitrage generally happens when you have more assets than the number of random sources, but here it is the other way around, so the answer is yes. Q2: You have one risky asset so you can delta hedge one ...


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