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Problems and Solutions in Mathematical Finance: Stochastic Calculus, Volume I by Eric Chin, Sverrir Olafsson, Dian Nel

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  1. 11. Let c05-math-1552 be a Poisson process with intensity c05-math-1553 and c05-math-1554 be a standard Wiener process defined on the probability space c05-math-1555 with respect tothe filtration c05-math-1556, c05-math-1557. Suppose c05-math-1558 is an adapted process, c05-math-1559 and c05-math-1560. Let c05-math-1561 be a sequence of independent and identically distributed random variables where each c05-math-1562, c05-math-1563 has a probability mass ...

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