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 ...


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


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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