3.5 Modelling price processes - jump processes

This paper includes a recap of key ideas behind the mathematics of jump processes: including discussions of Bernouilli trials, the normal distribution, the Poisson distribution and Poisson points. It then discusses:

·        A Poisson process

·        The generalised Poisson process

·        The jump-diffusion process

·        Itô’s lemma for the jump-diffusion process

·        The overall volatility of the jump-diffusion process

·        Relevant correlations

The paper has 12 pages and the Excel has 2 sheets